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Tijdreeks 1 - Stap 21

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 24 Jul 2010 16:10:16 +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/24/t1279987812c1lh1cfmxll3uk9.htm/, Retrieved Sat, 24 Jul 2010 18:10:14 +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/24/t1279987812c1lh1cfmxll3uk9.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:

Habimana Christelle

Dataseries X:

» Textbox « » Textfile « » CSV «

900 899 898 896 916 915 900 890 891 891 892 894 896 889 878 883 901 897 881 866 867 866 862 871 865 856 847 859 870 872 856 839 829 825 822 827 822 812 810 816 820 823 810 793 777 772 765 765 753 742 736 740 742 742 728 707 699 696 689 692 673 653 642 648 654 653 630 609 598 601 592 591 568 538 523 530 529 534 513 491 480 478 462 461 437 411 400 405 395 407 385 366 349 343 332 327 306 276 269 268 260 274 247 226 212 199 188 179 155 124 117 116 105 112 86 64 53 42 32 24

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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.970646	10.0872	0
2	0.943373	9.8038	0
3	0.919128	9.5519	0
4	0.891841	9.2683	0
5	0.864154	8.9806	0
6	0.837114	8.6995	0
7	0.809419	8.4117	0
8	0.784307	8.1508	0
9	0.758208	7.8795	0
10	0.732746	7.6149	0
11	0.709244	7.3707	0
12	0.681651	7.0839	0
13	0.656984	6.8276	0
14	0.633849	6.5872	0
15	0.608791	6.3267	0
16	0.581427	6.0424	0
17	0.555225	5.7701	0
18	0.52833	5.4906	0
19	0.50175	5.2143	0
20	0.47499	4.9362	1e-06
21	0.450364	4.6803	4e-06
22	0.426706	4.4345	1.1e-05
23	0.400182	4.1588	3.2e-05
24	0.375908	3.9065	8.2e-05
25	0.351747	3.6555	0.000199
26	0.329078	3.4199	0.000443
27	0.300347	3.1213	0.001155
28	0.27291	2.8362	0.002726
29	0.249917	2.5972	0.005354
30	0.224399	2.332	0.010777
31	0.197343	2.0509	0.021351
32	0.167236	1.738	0.042534
33	0.141422	1.4697	0.072275
34	0.115086	1.196	0.117157
35	0.088047	0.915	0.181111
36	0.061432	0.6384	0.262277
37	0.037146	0.386	0.350117
38	0.012658	0.1315	0.447795
39	-0.008609	-0.0895	0.464438
40	-0.028222	-0.2933	0.38493
41	-0.048113	-0.5	0.309045
42	-0.067992	-0.7066	0.240669
43	-0.089407	-0.9291	0.177444
44	-0.110355	-1.1468	0.126991
45	-0.132937	-1.3815	0.084986
46	-0.156007	-1.6213	0.053938
47	-0.177603	-1.8457	0.033837
48	-0.198618	-2.0641	0.020702

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.970646	10.0872	0
2	0.021082	0.2191	0.413495
3	0.039558	0.4111	0.340908
4	-0.061627	-0.6404	0.261619
5	-0.022179	-0.2305	0.409074
6	-0.009267	-0.0963	0.46173
7	-0.02381	-0.2474	0.402518
8	0.030521	0.3172	0.375857
9	-0.030013	-0.3119	0.377858
10	0.000557	0.0058	0.497698
11	0.014484	0.1505	0.440316
12	-0.081163	-0.8435	0.200414
13	0.033646	0.3497	0.363637
14	0.003505	0.0364	0.485503
15	-0.033177	-0.3448	0.365462
16	-0.059593	-0.6193	0.268507
17	-0.00596	-0.0619	0.475361
18	-0.025418	-0.2642	0.396083
19	-0.013895	-0.1444	0.442726
20	-0.016104	-0.1674	0.433701
21	0.0203	0.211	0.416656
22	-0.002781	-0.0289	0.488499
23	-0.058332	-0.6062	0.272827
24	0.013283	0.138	0.445234
25	-0.02453	-0.2549	0.399634
26	0.020333	0.2113	0.416522
27	-0.122341	-1.2714	0.103157
28	-0.007227	-0.0751	0.470135
29	0.050039	0.52	0.302057
30	-0.052945	-0.5502	0.291651
31	-0.034626	-0.3598	0.359834
32	-0.099176	-1.0307	0.152501
33	0.057793	0.6006	0.274681
34	-0.031798	-0.3305	0.370848
35	-0.032017	-0.3327	0.36999
36	-0.019748	-0.2052	0.418888
37	0.004518	0.047	0.481319
38	-0.000217	-0.0023	0.499104
39	0.015099	0.1569	0.437804
40	0.003908	0.0406	0.483842
41	-0.010552	-0.1097	0.456441
42	-0.013749	-0.1429	0.443322
43	-0.059663	-0.62	0.268268
44	-0.02773	-0.2882	0.386881
45	-0.045639	-0.4743	0.318123
46	-0.02399	-0.2493	0.401795
47	-0.004646	-0.0483	0.480792
48	-0.030519	-0.3172	0.375865

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279987812c1lh1cfmxll3uk9/1vlpj1279987810.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279987812c1lh1cfmxll3uk9/1vlpj1279987810.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279987812c1lh1cfmxll3uk9/2vlpj1279987810.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/24/t1279987812c1lh1cfmxll3uk9/2vlpj1279987810.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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