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TIJDREEKS B - STAP 17

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Jul 2010 13:14:20 +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/29/t1280409329p8wknplqvattwys.htm/, Retrieved Thu, 29 Jul 2010 15:15:31 +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/29/t1280409329p8wknplqvattwys.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 «

158 157 156 154 152 151 152 154 155 155 156 158 156 152 145 141 140 145 143 141 144 139 141 142 141 132 122 122 127 128 122 123 128 128 128 129 124 121 109 110 107 107 104 110 114 118 117 122 113 106 102 111 106 110 105 104 106 110 107 111 101 105 108 124 122 128 124 121 125 134 126 126 111 117 118 128 127 129 124 113 120 127 114 107

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.918002	8.4136	0
2	0.847522	7.7677	0
3	0.787324	7.2159	0
4	0.757195	6.9398	0
5	0.711605	6.522	0
6	0.69021	6.3259	0
7	0.646882	5.9288	0
8	0.614916	5.6358	0
9	0.581369	5.3283	0
10	0.576634	5.2849	0
11	0.549978	5.0406	1e-06
12	0.509335	4.6681	6e-06
13	0.422664	3.8738	0.000106
14	0.357104	3.2729	0.000773
15	0.313753	2.8756	0.002554
16	0.287793	2.6377	0.004972
17	0.253432	2.3227	0.011306
18	0.223011	2.0439	0.022047
19	0.179351	1.6438	0.05198
20	0.146281	1.3407	0.091818
21	0.116925	1.0716	0.143478
22	0.102921	0.9433	0.174119
23	0.05915	0.5421	0.294586
24	0.006072	0.0556	0.477877
25	-0.062589	-0.5736	0.283873
26	-0.107775	-0.9878	0.16305
27	-0.128527	-1.178	0.121068
28	-0.138599	-1.2703	0.103745
29	-0.159638	-1.4631	0.073585
30	-0.180526	-1.6545	0.050874
31	-0.202503	-1.856	0.033482
32	-0.219554	-2.0122	0.023699
33	-0.230613	-2.1136	0.018758
34	-0.248812	-2.2804	0.012558
35	-0.290448	-2.662	0.004653
36	-0.328818	-3.0137	0.001706
37	-0.358229	-3.2832	0.000748
38	-0.379036	-3.4739	0.000407
39	-0.368825	-3.3803	0.00055
40	-0.353182	-3.237	0.000865
41	-0.338531	-3.1027	0.001306
42	-0.339326	-3.11	0.001278
43	-0.332772	-3.0499	0.001531
44	-0.325132	-2.9799	0.001885
45	-0.318189	-2.9163	0.002271
46	-0.326267	-2.9903	0.001828
47	-0.340189	-3.1179	0.001247
48	-0.358999	-3.2903	0.000732
49	-0.357963	-3.2808	0.000754
50	-0.34393	-3.1522	0.001124
51	-0.308658	-2.8289	0.00292
52	-0.282	-2.5846	0.005739
53	-0.260742	-2.3897	0.009549
54	-0.255561	-2.3423	0.010767
55	-0.234592	-2.1501	0.017212
56	-0.203553	-1.8656	0.032794
57	-0.183173	-1.6788	0.048453
58	-0.179977	-1.6495	0.051388
59	-0.176507	-1.6177	0.054737
60	-0.166692	-1.5278	0.065165

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.918002	8.4136	0
2	0.030487	0.2794	0.390305
3	0.032011	0.2934	0.384976
4	0.166631	1.5272	0.065234
5	-0.08772	-0.804	0.211844
6	0.147497	1.3518	0.09003
7	-0.118094	-1.0824	0.141097
8	0.036563	0.3351	0.369189
9	0.019481	0.1785	0.429363
10	0.119146	1.092	0.138979
11	-0.075864	-0.6953	0.244392
12	-0.130727	-1.1981	0.117118
13	-0.291979	-2.676	0.004478
14	-0.021851	-0.2003	0.420878
15	0.097631	0.8948	0.186725
16	-0.008629	-0.0791	0.468574
17	0.01536	0.1408	0.444193
18	-0.036019	-0.3301	0.371065
19	-0.042452	-0.3891	0.349103
20	-0.000911	-0.0084	0.496679
21	-0.026144	-0.2396	0.405606
22	0.032656	0.2993	0.382725
23	-0.106954	-0.9803	0.164888
24	-0.046142	-0.4229	0.336725
25	-0.112301	-1.0293	0.153157
26	-0.035312	-0.3236	0.373507
27	0.081167	0.7439	0.229505
28	-0.006819	-0.0625	0.475159
29	0.01808	0.1657	0.434392
30	-0.014464	-0.1326	0.447428
31	0.014747	0.1352	0.446403
32	-0.049753	-0.456	0.324785
33	0.013456	0.1233	0.45107
34	-0.086368	-0.7916	0.215418
35	-0.078324	-0.7179	0.237419
36	0.030705	0.2814	0.389543
37	-0.040161	-0.3681	0.356868
38	-0.079832	-0.7317	0.233204
39	0.111719	1.0239	0.154406
40	0.041393	0.3794	0.352683
41	0.109186	1.0007	0.159921
42	-0.054009	-0.495	0.310945
43	-0.001416	-0.013	0.494838
44	0.005736	0.0526	0.479101
45	-0.021019	-0.1926	0.423853
46	-0.042812	-0.3924	0.347887
47	-0.044629	-0.409	0.341777
48	-0.067483	-0.6185	0.268964
49	-0.002655	-0.0243	0.490321
50	0.034213	0.3136	0.377314
51	0.021567	0.1977	0.421894
52	0.020772	0.1904	0.424738
53	0.028125	0.2578	0.398609
54	-0.031208	-0.286	0.38778
55	0.063054	0.5779	0.282438
56	0.104901	0.9614	0.169546
57	-0.04657	-0.4268	0.3353
58	-0.027141	-0.2487	0.402081
59	-0.049407	-0.4528	0.325921
60	0.02349	0.2153	0.415033

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/29/t1280409329p8wknplqvattwys/1seit1280409258.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/29/t1280409329p8wknplqvattwys/1seit1280409258.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/29/t1280409329p8wknplqvattwys/2seit1280409258.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/29/t1280409329p8wknplqvattwys/2seit1280409258.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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