Home » date » 2010 » Jul » 07 »

Kelly Janbroers - 2de zit - Stap 20/A

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 07 Jul 2010 17:51:02 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525063d3fhyzl31nh4kbf.htm/, Retrieved Wed, 07 Jul 2010 19:51:05 +0200

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525063d3fhyzl31nh4kbf.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

33 32 31 29 49 48 33 23 24 24 25 27 24 21 15 21 49 48 35 36 51 50 61 63 61 62 58 65 93 94 86 88 102 107 121 127 125 128 117 127 160 162 153 160 177 178 196 212 212 211 204 216 248 250 240 249 275 277 286 302 290 290 277 285 311 300 291 299 332 337 343 360 353 351 341 348 381 358 353 358 399 409 407 419 418 421 414 424 463 437 430 436 474 489 482 492 502 500 493 504 538 516 502 501 541 571 559 569 576 573 562 570 597 573 562 556 600 630 624 634

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	3 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.020244	0.2208	0.412797
2	-0.439239	-4.7915	2e-06
3	-0.171113	-1.8666	0.032208
4	0.205142	2.2378	0.013546
5	0.17914	1.9542	0.026513
6	-0.233725	-2.5496	0.006027
7	0.084691	0.9239	0.178713
8	0.16924	1.8462	0.033675
9	-0.148327	-1.6181	0.054149
10	-0.393618	-4.2939	1.8e-05
11	-0.010804	-0.1179	0.45319
12	0.834951	9.1082	0
13	0.016632	0.1814	0.428166
14	-0.424257	-4.6281	5e-06
15	-0.16159	-1.7627	0.040255
16	0.179083	1.9536	0.02655
17	0.202329	2.2072	0.014611
18	-0.206353	-2.251	0.013109
19	0.009584	0.1045	0.458455
20	0.136882	1.4932	0.069015
21	-0.13074	-1.4262	0.078214
22	-0.309518	-3.3764	0.000496
23	-0.035268	-0.3847	0.350563
24	0.663837	7.2416	0
25	0.027656	0.3017	0.381707
26	-0.377162	-4.1143	3.6e-05
27	-0.138183	-1.5074	0.067179
28	0.15759	1.7191	0.044098
29	0.206078	2.2481	0.013207
30	-0.176768	-1.9283	0.028099
31	-0.024506	-0.2673	0.394838
32	0.08301	0.9055	0.183506
33	-0.131335	-1.4327	0.077283
34	-0.222973	-2.4323	0.008245
35	-0.007564	-0.0825	0.467189
36	0.513379	5.6003	0
37	0.019718	0.2151	0.41503
38	-0.339463	-3.7031	0.000162
39	-0.101975	-1.1124	0.1341
40	0.15928	1.7375	0.042439
41	0.183404	2.0007	0.02385
42	-0.140503	-1.5327	0.064001
43	-0.059599	-0.6502	0.258424
44	0.038408	0.419	0.337992
45	-0.118813	-1.2961	0.098724
46	-0.143534	-1.5658	0.060029
47	0.028826	0.3145	0.376863
48	0.380224	4.1478	3.2e-05
49	-0.009757	-0.1064	0.457707
50	-0.295508	-3.2236	0.000817
51	-0.06573	-0.717	0.237381
52	0.182289	1.9885	0.024523
53	0.166372	1.8149	0.036029
54	-0.100603	-1.0974	0.13733
55	-0.058859	-0.6421	0.261031
56	0.029023	0.3166	0.376048
57	-0.098354	-1.0729	0.14274
58	-0.094666	-1.0327	0.151922
59	0.061741	0.6735	0.250962
60	0.273527	2.9838	0.001728

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.020244	0.2208	0.412797
2	-0.439829	-4.798	2e-06
3	-0.185317	-2.0216	0.022732
4	0.01171	0.1277	0.449287
5	0.044454	0.4849	0.314308
6	-0.207707	-2.2658	0.012635
7	0.265646	2.8979	0.002237
8	0.054684	0.5965	0.275975
9	-0.144713	-1.5786	0.058537
10	-0.346878	-3.784	0.000122
11	-0.106264	-1.1592	0.124346
12	0.732721	7.993	0
13	-0.100724	-1.0988	0.137044
14	0.123712	1.3495	0.089862
15	0.057413	0.6263	0.266159
16	-0.166795	-1.8195	0.035673
17	-0.093231	-1.017	0.155602
18	0.036962	0.4032	0.34376
19	-0.107452	-1.1722	0.121737
20	-0.010116	-0.1104	0.456159
21	-0.011665	-0.1273	0.449477
22	0.102843	1.1219	0.132085
23	-0.070088	-0.7646	0.22302
24	-0.066552	-0.726	0.234634
25	0.05201	0.5674	0.285769
26	-0.010087	-0.11	0.456285
27	-0.014474	-0.1579	0.437405
28	0.067806	0.7397	0.230475
29	-0.032336	-0.3527	0.362453
30	-0.038161	-0.4163	0.338976
31	0.052292	0.5704	0.284728
32	-0.153542	-1.6749	0.048286
33	-0.082545	-0.9005	0.184848
34	0.030502	0.3327	0.369958
35	0.102126	1.1141	0.133749
36	-0.050298	-0.5487	0.292125
37	0.061809	0.6743	0.250728
38	-0.025421	-0.2773	0.391011
39	-0.033155	-0.3617	0.359116
40	0.003167	0.0346	0.486247
41	-0.022885	-0.2496	0.401647
42	0.006852	0.0747	0.470271
43	-0.096401	-1.0516	0.147553
44	-0.006146	-0.067	0.473331
45	0.024288	0.265	0.395752
46	-0.028664	-0.3127	0.377533
47	0.049164	0.5363	0.296372
48	0.002799	0.0305	0.487845
49	-0.08448	-0.9216	0.17931
50	0.048349	0.5274	0.299438
51	-0.057983	-0.6325	0.264132
52	0.0682	0.744	0.22918
53	0.03995	0.4358	0.331884
54	0.075112	0.8194	0.207104
55	0.071704	0.7822	0.217827
56	0.072756	0.7937	0.214482
57	-0.025494	-0.2781	0.390706
58	-0.005167	-0.0564	0.477573
59	-0.025259	-0.2755	0.391688
60	-0.057651	-0.6289	0.26531

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525063d3fhyzl31nh4kbf/1o6va1278525059.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525063d3fhyzl31nh4kbf/1o6va1278525059.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525063d3fhyzl31nh4kbf/2o6va1278525059.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525063d3fhyzl31nh4kbf/2o6va1278525059.ps (open in new window)

Parameters (Session):

par1 = 0.1 ; par2 = 0.99 ; par3 = 0.01 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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