Home » date » 2010 » Jul » 08 »

Kelly Janbroers - 2de zit - Stap 17/B

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 08 Jul 2010 15:05:35 +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/08/t1278601532718deu7c6q9qfv1.htm/, Retrieved Thu, 08 Jul 2010 17:05:32 +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/08/t1278601532718deu7c6q9qfv1.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 «

268 267 266 264 262 261 262 264 265 265 266 268 260 264 265 262 258 265 273 273 270 263 260 257 248 248 237 228 225 231 243 250 246 240 236 235 225 230 225 221 231 234 249 257 253 252 245 239 229 232 222 218 223 221 230 234 237 226 215 211 203 202 187 179 181 172 182 180 175 163 160 151 145 140 125 122 124 108 115 116 104 98 101 91

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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.948083	8.6893	0
2	0.898038	8.2307	0
3	0.842946	7.7257	0
4	0.788178	7.2238	0
5	0.742267	6.803	0
6	0.695798	6.3771	0
7	0.644302	5.9051	0
8	0.601389	5.5118	0
9	0.558573	5.1194	1e-06
10	0.515474	4.7244	5e-06
11	0.478045	4.3814	1.7e-05
12	0.438496	4.0189	6.3e-05
13	0.392569	3.598	0.00027
14	0.348741	3.1963	0.000981
15	0.303332	2.7801	0.003353
16	0.264665	2.4257	0.00871
17	0.232549	2.1313	0.017991
18	0.200652	1.839	0.034724
19	0.162067	1.4854	0.070595
20	0.129624	1.188	0.119085
21	0.098197	0.9	0.185349
22	0.072027	0.6601	0.255485
23	0.054038	0.4953	0.310851
24	0.033724	0.3091	0.37901
25	0.013129	0.1203	0.452254
26	-0.006564	-0.0602	0.476086
27	-0.019526	-0.179	0.429202
28	-0.024049	-0.2204	0.413041
29	-0.025988	-0.2382	0.40616
30	-0.03145	-0.2882	0.386933
31	-0.04463	-0.409	0.341775
32	-0.057341	-0.5255	0.300296
33	-0.070839	-0.6493	0.258973
34	-0.081653	-0.7484	0.228165
35	-0.085875	-0.7871	0.216732
36	-0.093865	-0.8603	0.196039
37	-0.098328	-0.9012	0.185031
38	-0.101244	-0.9279	0.178055
39	-0.100043	-0.9169	0.180908
40	-0.097339	-0.8921	0.187437
41	-0.091557	-0.8391	0.201887
42	-0.092346	-0.8464	0.199876
43	-0.105785	-0.9695	0.16753
44	-0.122395	-1.1218	0.132579
45	-0.144082	-1.3205	0.095122
46	-0.164335	-1.5062	0.067889
47	-0.180797	-1.657	0.050622
48	-0.200915	-1.8414	0.034545
49	-0.215346	-1.9737	0.025853
50	-0.230939	-2.1166	0.018627
51	-0.242672	-2.2241	0.014412
52	-0.249932	-2.2907	0.012244
53	-0.254979	-2.3369	0.010912
54	-0.265274	-2.4313	0.008586
55	-0.284707	-2.6094	0.005368
56	-0.308797	-2.8302	0.002909
57	-0.332545	-3.0478	0.001541
58	-0.349412	-3.2024	0.000963
59	-0.357605	-3.2775	0.000762
60	-0.365841	-3.353	6e-04

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.948083	8.6893	0
2	-0.00814	-0.0746	0.470354
3	-0.075963	-0.6962	0.244109
4	-0.028464	-0.2609	0.397412
5	0.059896	0.549	0.292246
6	-0.029189	-0.2675	0.394861
7	-0.086831	-0.7958	0.21419
8	0.053888	0.4939	0.311337
9	-0.010042	-0.092	0.463446
10	-0.041219	-0.3778	0.353275
11	0.018654	0.171	0.43233
12	-0.029828	-0.2734	0.392615
13	-0.096073	-0.8805	0.190544
14	-0.021335	-0.1955	0.422721
15	-0.025176	-0.2307	0.40904
16	0.029878	0.2738	0.392443
17	0.020518	0.1881	0.425645
18	-0.018433	-0.1689	0.433125
19	-0.098955	-0.9069	0.183516
20	0.025495	0.2337	0.407906
21	0.003929	0.036	0.485681
22	0.0078	0.0715	0.471591
23	0.041922	0.3842	0.350891
24	-0.026857	-0.2461	0.403084
25	-0.026406	-0.242	0.404681
26	-0.019309	-0.177	0.429977
27	0.068776	0.6303	0.265092
28	0.055244	0.5063	0.306981
29	-0.011083	-0.1016	0.459668
30	-0.040245	-0.3689	0.356583
31	-0.078556	-0.72	0.236767
32	-0.003902	-0.0358	0.485777
33	-0.012759	-0.1169	0.453592
34	-0.011183	-0.1025	0.459306
35	0.039895	0.3656	0.357776
36	-0.040816	-0.3741	0.354643
37	0.024015	0.2201	0.413163
38	0.006679	0.0612	0.475668
39	0.035206	0.3227	0.373874
40	-0.019871	-0.1821	0.427965
41	0.003382	0.031	0.487673
42	-0.040098	-0.3675	0.357082
43	-0.12784	-1.1717	0.122321
44	-0.033134	-0.3037	0.381064
45	-0.057381	-0.5259	0.300169
46	-0.035402	-0.3245	0.373196
47	-0.001883	-0.0173	0.493134
48	-0.040272	-0.3691	0.356493
49	0.045512	0.4171	0.338826
50	-0.039927	-0.3659	0.357665
51	0.011891	0.109	0.45674
52	0.002364	0.0217	0.491383
53	-0.01046	-0.0959	0.461927
54	-0.03655	-0.335	0.369235
55	-0.120793	-1.1071	0.135709
56	-0.053761	-0.4927	0.311746
57	-0.032296	-0.296	0.383983
58	0.008294	0.076	0.469794
59	0.050967	0.4671	0.32081
60	-0.018281	-0.1675	0.43367

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/08/t1278601532718deu7c6q9qfv1/1cvq51278601532.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/08/t1278601532718deu7c6q9qfv1/1cvq51278601532.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/08/t1278601532718deu7c6q9qfv1/2cvq51278601532.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/08/t1278601532718deu7c6q9qfv1/2cvq51278601532.ps (open in new window)

Parameters (Session):

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

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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