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TIJDREEKS A - 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, 26 Jul 2010 15:45:51 +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/26/t12801591441oefsb5w8evzks2.htm/, Retrieved Mon, 26 Jul 2010 17:45:46 +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/26/t12801591441oefsb5w8evzks2.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:

Hoes Isabelle

Dataseries X:

» Textbox « » Textfile « » CSV «

698 697 696 694 714 713 698 688 689 689 690 692 688 679 677 673 694 690 673 659 657 654 644 643 638 626 621 615 640 633 620 610 601 595 585 584 580 574 560 550 580 569 551 536 535 526 517 512 510 501 496 491 524 514 495 479 479 467 451 459 461 460 452 449 483 470 442 419 419 406 393 396 390 389 373 371 407 391 357 327 321 317 300 304 296 296 283 279 319 295 255 227 228 233 210 219 212 209 201 198 245 216 173 144 143 152 127 141 129 127 113 117 174 143 103 81 92 104 81 89

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.975684	10.6881	0
2	0.950008	10.4068	0
3	0.927873	10.1643	0
4	0.905603	9.9204	0
5	0.879883	9.6386	0
6	0.854066	9.3558	0
7	0.833784	9.1337	0
8	0.814808	8.9258	0
9	0.790184	8.656	0
10	0.765711	8.3879	0
11	0.743467	8.1443	0
12	0.720274	7.8902	0
13	0.691827	7.5786	0
14	0.662248	7.2546	0
15	0.636207	6.9693	0
16	0.610191	6.6843	0
17	0.581656	6.3717	0
18	0.554105	6.0699	0
19	0.532194	5.8299	0
20	0.512017	5.6089	0
21	0.487185	5.3368	0
22	0.463044	5.0724	1e-06
23	0.441013	4.8311	2e-06
24	0.418264	4.5819	6e-06
25	0.391038	4.2836	1.9e-05
26	0.363401	3.9809	5.9e-05
27	0.339296	3.7168	0.000154
28	0.315528	3.4564	0.000379
29	0.289033	3.1662	0.000979
30	0.263866	2.8905	0.002283
31	0.24358	2.6683	0.004339
32	0.224786	2.4624	0.00761
33	0.202422	2.2174	0.014239
34	0.180773	1.9803	0.024981
35	0.161341	1.7674	0.039851
36	0.141017	1.5448	0.062519
37	0.117228	1.2842	0.100779
38	0.093265	1.0217	0.154497
39	0.072827	0.7978	0.213286
40	0.05362	0.5874	0.279027
41	0.032015	0.3507	0.363212
42	0.012288	0.1346	0.446575
43	-0.002904	-0.0318	0.487337
44	-0.01668	-0.1827	0.427663
45	-0.034013	-0.3726	0.355055
46	-0.050783	-0.5563	0.289522
47	-0.065275	-0.7151	0.237983
48	-0.080178	-0.8783	0.190765

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.975684	10.6881	0
2	-0.040602	-0.4448	0.328644
3	0.061427	0.6729	0.251153
4	-0.01865	-0.2043	0.419231
5	-0.078279	-0.8575	0.196437
6	-0.012204	-0.1337	0.446937
7	0.092924	1.0179	0.155379
8	0.010192	0.1116	0.455645
9	-0.112915	-1.2369	0.109266
10	-0.001433	-0.0157	0.49375
11	0.006277	0.0688	0.472647
12	-0.037165	-0.4071	0.342322
13	-0.096788	-1.0603	0.145579
14	-0.032843	-0.3598	0.359823
15	0.023915	0.262	0.396896
16	-0.022728	-0.249	0.401903
17	-0.036328	-0.398	0.345686
18	0.003436	0.0376	0.485017
19	0.06816	0.7467	0.228366
20	0.015091	0.1653	0.434488
21	-0.074755	-0.8189	0.207234
22	0.008198	0.0898	0.464296
23	-0.010501	-0.115	0.454305
24	-0.028756	-0.315	0.376651
25	-0.067437	-0.7387	0.230754
26	-0.017868	-0.1957	0.422573
27	0.00869	0.0952	0.462161
28	-0.018508	-0.2027	0.419841
29	-0.036283	-0.3975	0.345865
30	0.001883	0.0206	0.491787
31	0.038536	0.4221	0.336839
32	0.007139	0.0782	0.468896
33	-0.045931	-0.5031	0.307893
34	0.004307	0.0472	0.481226
35	-0.013476	-0.1476	0.441442
36	-0.030678	-0.3361	0.368706
37	-0.04023	-0.4407	0.330112
38	-0.016946	-0.1856	0.426523
39	0.00495	0.0542	0.478423
40	0.001277	0.014	0.494433
41	-0.029373	-0.3218	0.374094
42	0.009815	0.1075	0.457279
43	0.027714	0.3036	0.380982
44	0.007206	0.0789	0.468606
45	-0.045869	-0.5025	0.308129
46	0.001314	0.0144	0.494269
47	-0.013276	-0.1454	0.442308
48	-0.019545	-0.2141	0.415415

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/26/t12801591441oefsb5w8evzks2/12qb31280159149.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/26/t12801591441oefsb5w8evzks2/12qb31280159149.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/26/t12801591441oefsb5w8evzks2/22qb31280159149.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/26/t12801591441oefsb5w8evzks2/22qb31280159149.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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