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 17:58:46 +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/t1278525533sfs5jrd4yqxdezc.htm/, Retrieved Wed, 07 Jul 2010 19:58:53 +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/t1278525533sfs5jrd4yqxdezc.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	1 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.97589	10.6903	0
2	0.951723	10.4256	0
3	0.928856	10.1751	0
4	0.908575	9.9529	0
5	0.89112	9.7617	0
6	0.871493	9.5467	0
7	0.850855	9.3206	0
8	0.826579	9.0547	0
9	0.802863	8.7949	0
10	0.779972	8.5442	0
11	0.757845	8.3018	0
12	0.734968	8.0512	0
13	0.706999	7.7448	0
14	0.678875	7.4367	0
15	0.651191	7.1334	0
16	0.626472	6.8627	0
17	0.604851	6.6258	0
18	0.58132	6.368	0
19	0.556493	6.0961	0
20	0.529243	5.7976	0
21	0.50411	5.5222	0
22	0.479922	5.2573	0
23	0.456944	5.0056	1e-06
24	0.433491	4.7487	3e-06
25	0.406283	4.4506	1e-05
26	0.379145	4.1533	3.1e-05
27	0.352757	3.8643	9.1e-05
28	0.328123	3.5944	0.000236
29	0.306606	3.3587	0.000525
30	0.283891	3.1099	0.001169
31	0.26062	2.8549	0.002537
32	0.234936	2.5736	0.005641
33	0.2121	2.3234	0.010919
34	0.190551	2.0874	0.019485
35	0.169972	1.862	0.032528
36	0.149478	1.6375	0.052078
37	0.125306	1.3727	0.086209
38	0.101611	1.1131	0.133947
39	0.078545	0.8604	0.195636
40	0.056883	0.6231	0.267194
41	0.03894	0.4266	0.335229
42	0.020001	0.2191	0.413474
43	0.000497	0.0054	0.497831
44	-0.020595	-0.2256	0.410947
45	-0.03879	-0.4249	0.335826
46	-0.056135	-0.6149	0.269882
47	-0.072887	-0.7984	0.213098
48	-0.089501	-0.9804	0.164423
49	-0.109296	-1.1973	0.11678
50	-0.128173	-1.4041	0.081442
51	-0.145704	-1.5961	0.056548
52	-0.162217	-1.777	0.039051
53	-0.175735	-1.9251	0.028293
54	-0.189812	-2.0793	0.01986
55	-0.204959	-2.2452	0.013293
56	-0.220525	-2.4157	0.008606
57	-0.233081	-2.5533	0.005962
58	-0.244653	-2.68	0.004198
59	-0.256548	-2.8103	0.002891
60	-0.268231	-2.9383	0.001979

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.97589	10.6903	0
2	-0.013379	-0.1466	0.441861
3	0.014908	0.1633	0.435274
4	0.042352	0.4639	0.321764
5	0.049366	0.5408	0.294831
6	-0.052298	-0.5729	0.283894
7	-0.025952	-0.2843	0.38834
8	-0.084063	-0.9209	0.179485
9	-0.003479	-0.0381	0.484833
10	-0.00654	-0.0716	0.471502
11	-0.003648	-0.04	0.484095
12	-0.034037	-0.3729	0.354955
13	-0.112168	-1.2287	0.110787
14	-0.017385	-0.1904	0.42464
15	-0.009386	-0.1028	0.459139
16	0.03212	0.3519	0.362779
17	0.039873	0.4368	0.331524
18	-0.0438	-0.4798	0.316119
19	-0.028338	-0.3104	0.378388
20	-0.044927	-0.4921	0.311757
21	0.024786	0.2715	0.39323
22	-0.012273	-0.1344	0.446638
23	-0.002004	-0.022	0.491262
24	-0.028381	-0.3109	0.378211
25	-0.072368	-0.7927	0.214744
26	-0.013899	-0.1523	0.439622
27	-0.004079	-0.0447	0.482217
28	-0.00832	-0.0911	0.463764
29	0.031169	0.3414	0.366684
30	-0.030491	-0.334	0.369479
31	-0.0117	-0.1282	0.449114
32	-0.045127	-0.4943	0.310984
33	0.035816	0.3923	0.347748
34	-0.009451	-0.1035	0.458858
35	-0.00902	-0.0988	0.460729
36	-0.01682	-0.1842	0.427064
37	-0.06523	-0.7146	0.238133
38	-0.009808	-0.1074	0.457307
39	-0.008209	-0.0899	0.464248
40	-0.020888	-0.2288	0.409702
41	0.038241	0.4189	0.338017
42	-0.027444	-0.3006	0.382105
43	-0.014472	-0.1585	0.437151
44	-0.026282	-0.2879	0.386959
45	0.034342	0.3762	0.353717
46	-0.020464	-0.2242	0.411504
47	-0.017041	-0.1867	0.426115
48	-0.019321	-0.2117	0.416369
49	-0.050852	-0.5571	0.289264
50	-0.005411	-0.0593	0.476416
51	0.007396	0.081	0.467779
52	-0.031094	-0.3406	0.366994
53	0.021621	0.2368	0.406591
54	-0.016596	-0.1818	0.428025
55	-0.026054	-0.2854	0.38791
56	-0.004295	-0.0471	0.481276
57	0.034554	0.3785	0.352857
58	-0.016966	-0.1859	0.426438
59	-0.033965	-0.3721	0.355248
60	-0.014692	-0.1609	0.436204

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525533sfs5jrd4yqxdezc/1m23a1278525523.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525533sfs5jrd4yqxdezc/1m23a1278525523.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525533sfs5jrd4yqxdezc/2wclv1278525523.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/07/t1278525533sfs5jrd4yqxdezc/2wclv1278525523.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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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