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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: Tue, 20 Jul 2010 11:33:54 +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/t1279625657txek4j3n4rcu3fj.htm/, Retrieved Tue, 20 Jul 2010 13:34:17 +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/t1279625657txek4j3n4rcu3fj.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:

Vanhille Olivier

Dataseries X:

» Textbox « » Textfile « » CSV «

568 567 566 564 584 583 568 558 559 559 560 562 563 552 552 555 575 567 548 541 544 546 551 550 546 532 523 528 555 543 525 517 519 521 520 516 509 494 484 482 508 500 480 467 471 482 481 477 471 455 441 434 459 448 432 414 415 423 425 427 415 399 386 377 397 379 361 350 348 363 367 365 354 327 312 307 335 317 298 286 288 303 310 301 293 264 255 251 279 253 233 226 232 245 250 242 230 196 188 181 212 186 166 155 157 173 182 182 168 131 114 106 134 103 83 74 83 96 95 100

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	0.975952	10.691	0
2	0.949743	10.4039	0
3	0.925222	10.1353	0
4	0.902842	9.8901	0
5	0.87819	9.6201	0
6	0.851975	9.3329	0
7	0.825936	9.0477	0
8	0.8014	8.7789	0
9	0.774308	8.4821	0
10	0.751104	8.2279	0
11	0.7309	8.0066	0
12	0.712538	7.8055	0
13	0.688401	7.5411	0
14	0.663625	7.2697	0
15	0.639319	7.0034	0
16	0.616061	6.7486	0
17	0.591165	6.4759	0
18	0.565616	6.196	0
19	0.540763	5.9238	0
20	0.516971	5.6631	0
21	0.490177	5.3696	0
22	0.46665	5.1119	1e-06
23	0.444854	4.8731	2e-06
24	0.424873	4.6542	4e-06
25	0.400329	4.3854	1.3e-05
26	0.376407	4.1233	3.5e-05
27	0.353913	3.8769	8.7e-05
28	0.332175	3.6388	0.000203
29	0.307975	3.3737	5e-04
30	0.283178	3.1021	0.001198
31	0.259318	2.8407	0.002645
32	0.236855	2.5946	0.005325
33	0.211812	2.3203	0.011007
34	0.189427	2.0751	0.020058
35	0.16897	1.851	0.033316
36	0.150082	1.6441	0.05139
37	0.127436	1.396	0.082648
38	0.105914	1.1602	0.124129
39	0.085689	0.9387	0.174892
40	0.06597	0.7227	0.235647
41	0.044197	0.4842	0.314581
42	0.022275	0.244	0.40382
43	0.001745	0.0191	0.492392
44	-0.017519	-0.1919	0.42407
45	-0.039575	-0.4335	0.332706
46	-0.05983	-0.6554	0.256732
47	-0.077762	-0.8518	0.198001
48	-0.094147	-1.0313	0.15223

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.975952	10.691	0
2	-0.057631	-0.6313	0.264517
3	0.024179	0.2649	0.395783
4	0.029211	0.32	0.374767
5	-0.062538	-0.6851	0.24731
6	-0.038763	-0.4246	0.335933
7	-0.009069	-0.0993	0.460515
8	0.011088	0.1215	0.451764
9	-0.070571	-0.7731	0.220502
10	0.077797	0.8522	0.197895
11	0.042088	0.4611	0.322797
12	0.019431	0.2129	0.4159
13	-0.123872	-1.357	0.088672
14	-0.013518	-0.1481	0.441264
15	-0.018369	-0.2012	0.420434
16	-0.012579	-0.1378	0.445315
17	-0.035437	-0.3882	0.34928
18	-0.02266	-0.2482	0.402191
19	0.002498	0.0274	0.489107
20	-0.000541	-0.0059	0.497641
21	-0.059903	-0.6562	0.256475
22	0.050006	0.5478	0.292427
23	0.000706	0.0077	0.496919
24	0.00655	0.0717	0.471461
25	-0.091667	-1.0042	0.158661
26	0.008826	0.0967	0.461569
27	-0.002278	-0.025	0.490065
28	-0.020916	-0.2291	0.409581
29	-0.045941	-0.5033	0.307852
30	-0.027121	-0.2971	0.383453
31	0.000942	0.0103	0.495891
32	-0.00226	-0.0248	0.490144
33	-0.041443	-0.454	0.32533
34	0.028493	0.3121	0.377744
35	0.005412	0.0593	0.476411
36	-0.003151	-0.0345	0.48626
37	-0.069375	-0.76	0.224383
38	0.011056	0.1211	0.4519
39	-0.01554	-0.1702	0.432559
40	-0.028699	-0.3144	0.376889
41	-0.032396	-0.3549	0.36165
42	-0.020661	-0.2263	0.410666
43	0.006507	0.0713	0.471645
44	-0.007954	-0.0871	0.465356
45	-0.041045	-0.4496	0.326895
46	0.004034	0.0442	0.482414
47	0.012381	0.1356	0.446172
48	-0.008178	-0.0896	0.464383

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/20/t1279625657txek4j3n4rcu3fj/1br6l1279625630.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/20/t1279625657txek4j3n4rcu3fj/1br6l1279625630.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/20/t1279625657txek4j3n4rcu3fj/2br6l1279625630.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/20/t1279625657txek4j3n4rcu3fj/2br6l1279625630.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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