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tijdreeks 1 - stap 21

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Tue, 20 Jul 2010 11:08:30 +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/20/t1279624214cju4ve5er68ix7y.htm/, Retrieved Tue, 20 Jul 2010 13:10:14 +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/20/t1279624214cju4ve5er68ix7y.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 de Walle Mathias
 
Dataseries X:
» Textbox « » Textfile « » CSV «
239 238 237 235 233 232 233 235 236 236 237 239 238 237 244 230 237 244 239 240 230 228 231 228 225 227 238 214 222 233 228 218 203 209 207 203 195 199 207 182 181 189 186 174 153 158 153 147 143 156 168 142 146 150 145 133 111 115 109 105 96 112 127 107 116 125 120 107 86 87 79 83 75 89 104 86 98 98 85 74 49 54 47 56
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.141208-1.28650.100928
2-0.208505-1.89960.030481
30.0546730.49810.309867
40.1029530.93790.175498
50.0720190.65610.256779
6-0.573245-5.22251e-06
70.0908930.82810.205001
80.1146981.0450.149539
90.0868340.79110.215572
10-0.20274-1.84710.034152
11-0.109747-0.99980.160146
120.7805687.11130
13-0.147593-1.34460.091202
14-0.197977-1.80370.037457
156.9e-056e-040.499751
160.1278261.16450.123769
170.0559180.50940.305898
18-0.468891-4.27182.6e-05
190.0959620.87430.19225
200.0626590.57090.28482
210.0813370.7410.230388
22-0.190853-1.73880.042893
23-0.089715-0.81730.208035
240.5584965.08811e-06
25-0.153811-1.40130.082429
26-0.11051-1.00680.15848
27-0.021568-0.19650.422353
280.0845460.77020.22167
290.0457440.41680.338968
30-0.330834-3.0140.001709
310.0744720.67850.249678
320.0011640.01060.495783
330.0872980.79530.214347
34-0.154984-1.4120.080848
35-0.052346-0.47690.317344
360.3663243.33740.000634
37-0.144637-1.31770.095614
38-0.050864-0.46340.322147
39-0.025449-0.23190.408611
400.0424820.3870.349862
410.0399030.36350.358564
42-0.158357-1.44270.076434
430.0677860.61760.269278
44-0.046909-0.42740.335112
450.0798220.72720.234571
46-0.088937-0.81030.210054
47-0.035291-0.32150.374315
480.2152611.96110.026609


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.141208-1.28650.100928
2-0.233093-2.12360.018341
3-0.015696-0.1430.44332
40.0661410.60260.274218
50.1200771.0940.13857
6-0.553632-5.04381e-06
7-0.064563-0.58820.278997
8-0.15045-1.37070.087088
90.2315712.10970.018948
10-0.22763-2.07380.020599
11-0.053785-0.490.312711
120.6051875.51350
130.0237680.21650.414549
14-0.019192-0.17480.430813
15-0.04758-0.43350.332898
160.0309110.28160.389472
17-0.004966-0.04520.482012
180.1633141.48790.070288
19-0.002213-0.02020.491983
20-0.155555-1.41720.080087
21-0.112728-1.0270.153701
220.0084770.07720.469312
230.0061860.05640.477598
24-0.129939-1.18380.119936
25-0.100382-0.91450.181547
260.0762610.69480.244569
270.0196620.17910.429135
28-0.151793-1.38290.085202
29-0.038868-0.35410.362081
300.066460.60550.273256
31-0.042748-0.38950.34897
32-0.025533-0.23260.408317
330.0334030.30430.380825
34-0.050235-0.45770.324197
350.0021470.01960.492221
36-0.018308-0.16680.43397
37-0.003177-0.02890.488491
38-0.132019-1.20270.116247
390.0035670.03250.487076
400.0034820.03170.487385
410.0478890.43630.33188
420.0636260.57970.281858
430.03790.34530.365375
44-0.019336-0.17620.430298
45-0.035802-0.32620.372558
460.065760.59910.275367
470.0286390.26090.397402
480.0305380.27820.390771
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Jul/20/t1279624214cju4ve5er68ix7y/1gef11279624106.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jul/20/t1279624214cju4ve5er68ix7y/1gef11279624106.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Jul/20/t1279624214cju4ve5er68ix7y/2gef11279624106.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jul/20/t1279624214cju4ve5er68ix7y/2gef11279624106.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; 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')
 




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Creative Commons License

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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