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Autocorrelatie

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 02 May 2010 08:32:53 +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/May/02/t1272789289l1n3yc5kj9tzo51.htm/, Retrieved Sun, 02 May 2010 10:34:51 +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/May/02/t1272789289l1n3yc5kj9tzo51.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

2,17 2,18 2,18 2,18 2,17 2,17 2,18 2,17 2,18 2,17 2,17 2,17 2,17 2,17 2,17 2,17 2,17 2,17 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,18 2,19 2,19 2,19 2,20 2,20 2,21 2,21 2,21 2,20 2,21 2,20 2,21 2,21 2,22 2,22 2,23 2,24 2,24 2,25 2,25 2,32 2,36 2,37 2,37 2,37 2,38 2,38 2,41 2,42 2,43 2,44 2,44 2,44 2,43 2,43 2,43 2,42 2,42 2,42 2,42 2,42

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.969629	8.2276	0
2	0.936036	7.9425	0
3	0.89863	7.6251	0
4	0.860134	7.2985	0
5	0.818595	6.946	0
6	0.771791	6.5489	0
7	0.724081	6.144	0
8	0.670467	5.6891	0
9	0.614088	5.2107	1e-06
10	0.553712	4.6984	6e-06
11	0.492382	4.178	4.1e-05
12	0.432368	3.6688	0.000232
13	0.374621	3.1788	0.00109
14	0.319687	2.7126	0.004172
15	0.271148	2.3008	0.012152
16	0.221929	1.8831	0.031861
17	0.174433	1.4801	0.071603
18	0.12612	1.0702	0.144061
19	0.07799	0.6618	0.255117
20	0.032264	0.2738	0.392522
21	-0.00507	-0.043	0.482902
22	-0.0268	-0.2274	0.410375
23	-0.048939	-0.4153	0.339592
24	-0.068946	-0.585	0.280178
25	-0.089362	-0.7583	0.225384
26	-0.107918	-0.9157	0.181436
27	-0.124751	-1.0585	0.146672
28	-0.141584	-1.2014	0.11677
29	-0.156694	-1.3296	0.093925
30	-0.17194	-1.459	0.074463
31	-0.18519	-1.5714	0.060238
32	-0.199299	-1.6911	0.04757
33	-0.211412	-1.7939	0.038514
34	-0.226066	-1.9182	0.029524
35	-0.240536	-2.041	0.022458
36	-0.255007	-2.1638	0.016899
37	-0.266072	-2.2577	0.013499
38	-0.277001	-2.3504	0.010747
39	-0.285662	-2.4239	0.008933
40	-0.295597	-2.5082	0.007194
41	-0.304394	-2.5829	0.005915
42	-0.312605	-2.6525	0.004911
43	-0.318589	-2.7033	0.004279
44	-0.325255	-2.7599	0.003664
45	-0.330239	-2.8022	0.003258
46	-0.335767	-2.8491	0.002857
47	-0.340567	-2.8898	0.002545
48	-0.343278	-2.9128	0.002384

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.969629	8.2276	0
2	-0.069272	-0.5878	0.279256
3	-0.078633	-0.6672	0.25338
4	-0.032002	-0.2715	0.393373
5	-0.06709	-0.5693	0.285471
6	-0.106322	-0.9022	0.184987
7	-0.029726	-0.2522	0.40079
8	-0.118735	-1.0075	0.158535
9	-0.070623	-0.5993	0.275442
10	-0.088034	-0.747	0.228751
11	-0.04446	-0.3773	0.353548
12	-0.008419	-0.0714	0.471623
13	0.011235	0.0953	0.462157
14	0.011757	0.0998	0.460406
15	0.082764	0.7023	0.242386
16	-0.051913	-0.4405	0.330448
17	-0.011421	-0.0969	0.461534
18	-0.058032	-0.4924	0.31196
19	-0.057987	-0.492	0.312095
20	-0.02729	-0.2316	0.408768
21	0.087766	0.7447	0.229433
22	0.200631	1.7024	0.046496
23	-0.06138	-0.5208	0.302042
24	-0.025967	-0.2203	0.413116
25	-0.04747	-0.4028	0.344146
26	-0.032396	-0.2749	0.392095
27	-0.031138	-0.2642	0.396186
28	-0.045137	-0.383	0.351423
29	-0.046964	-0.3985	0.34572
30	-0.070093	-0.5948	0.276933
31	-0.034076	-0.2891	0.38665
32	-0.052485	-0.4453	0.328703
33	0.019661	0.1668	0.433986
34	-0.051859	-0.44	0.330613
35	0.013483	0.1144	0.454617
36	0.010897	0.0925	0.463292
37	0.018816	0.1597	0.436798
38	-0.034824	-0.2955	0.384235
39	-0.007998	-0.0679	0.473039
40	-0.069574	-0.5904	0.278399
41	0.005773	0.049	0.480532
42	0.027997	0.2376	0.406448
43	0.063799	0.5414	0.294967
44	-0.074637	-0.6333	0.264268
45	-0.00121	-0.0103	0.495918
46	-0.072605	-0.6161	0.269895
47	-0.011439	-0.0971	0.461473
48	-0.01088	-0.0923	0.463349

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/02/t1272789289l1n3yc5kj9tzo51/1i7uj1272789171.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272789289l1n3yc5kj9tzo51/1i7uj1272789171.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272789289l1n3yc5kj9tzo51/2i7uj1272789171.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272789289l1n3yc5kj9tzo51/2i7uj1272789171.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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