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TIJDREEKS A - 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: Mon, 26 Jul 2010 16:27:37 +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/t12801616725o69ch58bau7ohg.htm/, Retrieved Mon, 26 Jul 2010 18:27:53 +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/t12801616725o69ch58bau7ohg.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.0177730.19390.423299
2-0.350778-3.82650.000104
3-0.194738-2.12430.017856
40.1099691.19960.116335
50.1605321.75120.041244
6-0.336052-3.66590.000185
70.1434921.56530.060083
80.0887870.96850.167368
9-0.166081-1.81170.036275
10-0.277401-3.02610.001518
110.0433250.47260.318675
120.8281719.03430
13-0.014469-0.15780.437427
14-0.319328-3.48350.000347
15-0.167049-1.82230.035461
160.1015751.10810.135037
170.1100691.20070.116125
18-0.295921-3.22810.000805
190.0985651.07520.142226
200.086960.94860.172367
21-0.13285-1.44920.074953
22-0.224593-2.450.00787
230.0569380.62110.267854
240.6797977.41570
25-0.027768-0.30290.381243
26-0.303335-3.3090.00062
27-0.138845-1.51460.06626
280.0890670.97160.166609
290.0863880.94240.173954
30-0.240421-2.62270.004932
310.0562120.61320.270457
320.076090.830.204089
33-0.088151-0.96160.169098
34-0.171561-1.87150.031865
350.0624980.68180.248354
360.5487375.9860
37-0.043722-0.4770.317136
38-0.28054-3.06030.001366
39-0.121325-1.32350.094103
400.0924221.00820.1577
410.078490.85620.196796
42-0.197995-2.15990.016394
430.0369620.40320.343758
440.0675960.73740.23117
45-0.047353-0.51660.303212
46-0.139732-1.52430.065044
470.053310.58150.280989
480.4408324.80892e-06
49-0.044817-0.48890.312909
50-0.226223-2.46780.007508
51-0.111115-1.21210.113933
520.0890880.97180.166552
530.0672850.7340.2322
54-0.164562-1.79520.037584
550.0508620.55480.290021
560.0416290.45410.325286
57-0.022096-0.2410.404968
58-0.115298-1.25780.105472
590.0484380.52840.299106
600.3468513.78370.000122


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.0177730.19390.423299
2-0.351205-3.83120.000103
3-0.205473-2.24140.013426
4-0.020515-0.22380.411653
50.0302950.33050.37081
6-0.399488-4.35791.4e-05
70.279673.05080.001407
8-0.178427-1.94640.026981
9-0.255798-2.79040.003066
10-0.298913-3.26080.000725
110.0064560.07040.471987
120.6942057.57290
13-0.004282-0.04670.481411
140.2016552.19980.014877
150.1060841.15720.124746
16-0.014654-0.15990.436634
17-0.130506-1.42370.078582
180.0796460.86880.193343
19-0.223543-2.43860.008111
200.0519770.5670.285892
21-0.054315-0.59250.277318
22-0.021702-0.23670.406634
23-0.043657-0.47620.317387
240.0441220.48130.315587
25-0.070329-0.76720.22224
26-0.011604-0.12660.449741
27-0.015015-0.16380.435088
28-0.051849-0.56560.286364
290.0344990.37630.353668
300.0583380.63640.262872
31-0.035399-0.38620.350036
32-0.001346-0.01470.494157
330.0880810.96080.169289
34-0.050251-0.54820.292299
350.0357910.39040.348457
36-0.008253-0.090.464207
37-0.054862-0.59850.275332
38-0.030393-0.33150.370408
39-0.024997-0.27270.392786
40-0.021263-0.23190.408488
410.0283580.30930.378799
420.0063840.06960.472297
430.0473730.51680.303137
440.013630.14870.441028
450.0341840.37290.354944
46-0.02669-0.29120.385719
47-0.022434-0.24470.403546
48-0.034832-0.380.352322
490.0145520.15870.43707
500.0783490.85470.197221
510.007760.08470.46634
520.0559450.61030.271419
530.0117720.12840.449017
54-0.017496-0.19090.424479
550.0838790.9150.181019
56-0.076269-0.8320.203538
57-0.007131-0.07780.469063
580.0166390.18150.428138
59-0.009304-0.10150.459663
60-0.068937-0.7520.226765
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Jul/26/t12801616725o69ch58bau7ohg/1jza01280161654.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jul/26/t12801616725o69ch58bau7ohg/1jza01280161654.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Jul/26/t12801616725o69ch58bau7ohg/2jza01280161654.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Jul/26/t12801616725o69ch58bau7ohg/2jza01280161654.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; 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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Software written by Ed van Stee & Patrick Wessa


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