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Tijdreeks 1 - Stap 20

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 19 Jul 2010 10:59:35 +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/19/t12795379636gc41ucwjaw9ijq.htm/, Retrieved Mon, 19 Jul 2010 13:12:45 +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/19/t12795379636gc41ucwjaw9ijq.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:

Van Puyenbroeck Cassandra

Dataseries X:

» Textbox « » Textfile « » CSV «

349 348 347 345 365 364 349 339 340 340 341 343 341 343 341 335 355 357 337 325 336 338 337 328 326 327 319 310 320 322 303 292 303 315 311 307 308 312 309 310 309 304 287 275 290 298 294 286 294 292 287 281 280 271 264 259 271 279 279 273 286 286 280 277 269 255 252 245 257 267 261 258 271 262 258 253 236 228 235 226 231 235 227 222 233 221 218 220 204 196 208 190 191 194 179 162 179 176 168 170 153 142 155 136 136 144 135 114 135 132 123 123 103 97 113 108 111 121 111 97

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.967132	10.5944	0
2	0.938194	10.2774	0
3	0.917315	10.0487	0
4	0.890751	9.7577	0
5	0.860338	9.4245	0
6	0.833856	9.1344	0
7	0.80107	8.7753	0
8	0.773244	8.4705	0
9	0.749943	8.2152	0
10	0.722433	7.9139	0
11	0.700659	7.6753	0
12	0.680083	7.4499	0
13	0.642342	7.0365	0
14	0.609611	6.678	0
15	0.58516	6.4101	0
16	0.557084	6.1026	0
17	0.52429	5.7433	0
18	0.497302	5.4477	0
19	0.466723	5.1127	1e-06
20	0.441613	4.8376	2e-06
21	0.419549	4.5959	5e-06
22	0.393862	4.3145	1.7e-05
23	0.371626	4.071	4.2e-05
24	0.351814	3.8539	9.4e-05
25	0.319738	3.5026	0.000324
26	0.291519	3.1934	0.000898
27	0.272661	2.9869	0.001709
28	0.252807	2.7694	0.003255
29	0.228775	2.5061	0.006773
30	0.20975	2.2977	0.011656
31	0.189002	2.0704	0.020279
32	0.172935	1.8944	0.030289
33	0.159614	1.7485	0.041469
34	0.142198	1.5577	0.060969
35	0.125857	1.3787	0.085277
36	0.112661	1.2341	0.109782
37	0.091545	1.0028	0.158981
38	0.071519	0.7835	0.217453
39	0.057178	0.6264	0.266135
40	0.041324	0.4527	0.325798
41	0.022048	0.2415	0.404782
42	0.005773	0.0632	0.474841
43	-0.010191	-0.1116	0.455649
44	-0.02137	-0.2341	0.407653
45	-0.031239	-0.3422	0.366396
46	-0.042763	-0.4684	0.32016
47	-0.053725	-0.5885	0.278642
48	-0.061627	-0.6751	0.250457

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.967132	10.5944	0
2	0.044074	0.4828	0.315057
3	0.113477	1.2431	0.108131
4	-0.084708	-0.9279	0.177652
5	-0.068884	-0.7546	0.225989
6	0.019589	0.2146	0.415225
7	-0.116222	-1.2731	0.102713
8	0.070337	0.7705	0.221259
9	0.038575	0.4226	0.336684
10	-0.046096	-0.505	0.307258
11	0.08945	0.9799	0.16456
12	-0.025641	-0.2809	0.389642
13	-0.255224	-2.7958	0.003015
14	0.022431	0.2457	0.403158
15	0.04353	0.4768	0.31717
16	0.005111	0.056	0.477721
17	-0.06198	-0.679	0.249235
18	0.032033	0.3509	0.363137
19	-0.037064	-0.406	0.342728
20	0.045265	0.4959	0.310451
21	-0.00168	-0.0184	0.492674
22	-0.028584	-0.3131	0.377367
23	0.021528	0.2358	0.406983
24	-0.012243	-0.1341	0.446769
25	-0.131425	-1.4397	0.076279
26	0.001412	0.0155	0.493842
27	0.051419	0.5633	0.287153
28	0.054437	0.5963	0.276039
29	-0.024995	-0.2738	0.392351
30	0.006415	0.0703	0.472046
31	-0.021306	-0.2334	0.407927
32	0.020168	0.2209	0.412763
33	0.002046	0.0224	0.49108
34	-0.035497	-0.3888	0.349038
35	-0.006451	-0.0707	0.471891
36	-0.002818	-0.0309	0.487712
37	-0.050367	-0.5517	0.291077
38	-0.026581	-0.2912	0.385707
39	-0.018034	-0.1975	0.421866
40	0.012057	0.1321	0.44757
41	-0.009637	-0.1056	0.458049
42	-0.023024	-0.2522	0.400654
43	0.003011	0.033	0.486872
44	0.028838	0.3159	0.376312
45	-0.003873	-0.0424	0.483116
46	0.013035	0.1428	0.443349
47	-0.011004	-0.1205	0.452126
48	-0.007567	-0.0829	0.467038

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/19/t12795379636gc41ucwjaw9ijq/121a71279537174.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/19/t12795379636gc41ucwjaw9ijq/121a71279537174.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/19/t12795379636gc41ucwjaw9ijq/221a71279537174.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/19/t12795379636gc41ucwjaw9ijq/221a71279537174.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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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