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Autocorrelation Function (financiele situatie van de gezinnen)

*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, 03 May 2010 20:12:20 +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/May/03/t12729176120d02ytqyo3m8h6a.htm/, Retrieved Mon, 03 May 2010 22:13:34 +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/03/t12729176120d02ytqyo3m8h6a.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 «

1 1 3 3 1 1 -2 1 1 -1 -4 -2 -1 -5 -4 -5 0 -2 -4 -6 -2 -2 -2 1 -2 0 -1 2 3 2 3 4 5 5 4 5 6 4 6 6 3 5 5 5 3 5 5 6 6 5 4 4 0 2 3 3 2 3 5 6 6 5 4 7 5 6 5 6 5 6 6 6 6

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	0.845313	7.2224	0
2	0.789677	6.747	0
3	0.752392	6.4284	0
4	0.754727	6.4484	0
5	0.702296	6.0004	0
6	0.614468	5.25	1e-06
7	0.555558	4.7467	5e-06
8	0.499921	4.2713	2.9e-05
9	0.474729	4.0561	6.2e-05
10	0.371535	3.1744	0.001099
11	0.328433	2.8061	0.003212
12	0.27819	2.3769	0.010042
13	0.210392	1.7976	0.038189
14	0.138083	1.1798	0.120958
15	0.096728	0.8264	0.205623
16	0.050131	0.4283	0.334839
17	-0.024145	-0.2063	0.418567
18	-0.01969	-0.1682	0.433433
19	-0.060825	-0.5197	0.302426
20	-0.065105	-0.5563	0.289869
21	-0.083224	-0.7111	0.239654
22	-0.089404	-0.7639	0.223705
23	-0.112917	-0.9648	0.168925
24	-0.11087	-0.9473	0.173312
25	-0.108603	-0.9279	0.178258
26	-0.118937	-1.0162	0.156445
27	-0.115432	-0.9863	0.163633
28	-0.128972	-1.1019	0.137054
29	-0.126926	-1.0845	0.140866
30	-0.107036	-0.9145	0.181728
31	-0.090353	-0.772	0.221311
32	-0.121447	-1.0376	0.15143
33	-0.103525	-0.8845	0.18966
34	-0.107601	-0.9193	0.180471
35	-0.131996	-1.1278	0.131553
36	-0.142043	-1.2136	0.114404
37	-0.144372	-1.2335	0.110671
38	-0.149466	-1.277	0.102818
39	-0.16767	-1.4326	0.078124
40	-0.18908	-1.6155	0.055258
41	-0.224398	-1.9173	0.02956
42	-0.210919	-1.8021	0.037829
43	-0.225189	-1.924	0.029126
44	-0.261015	-2.2301	0.014407
45	-0.292398	-2.4983	0.007366
46	-0.28489	-2.4341	0.008688
47	-0.281385	-2.4042	0.009374
48	-0.307815	-2.63	0.005204

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.845313	7.2224	0
2	0.263175	2.2486	0.013779
3	0.143324	1.2246	0.112338
4	0.215195	1.8386	0.035019
5	-0.057945	-0.4951	0.311013
6	-0.213045	-1.8203	0.03641
7	-0.082444	-0.7044	0.241712
8	-0.101645	-0.8685	0.193995
9	0.057183	0.4886	0.313303
10	-0.194957	-1.6657	0.050029
11	0.06314	0.5395	0.295601
12	0.012992	0.111	0.45596
13	-0.151642	-1.2956	0.099593
14	-0.065692	-0.5613	0.288167
15	0.065169	0.5568	0.289681
16	-0.064306	-0.5494	0.292194
17	-0.115565	-0.9874	0.163357
18	0.254237	2.1722	0.016544
19	0.011435	0.0977	0.461218
20	0.030718	0.2625	0.396856
21	0.104826	0.8956	0.186696
22	0.038041	0.325	0.373048
23	-0.158824	-1.357	0.089483
24	-0.018426	-0.1574	0.437671
25	0.048373	0.4133	0.340301
26	-0.044645	-0.3814	0.351991
27	-0.114517	-0.9784	0.165545
28	0.063061	0.5388	0.295833
29	-0.02168	-0.1852	0.426779
30	-0.033703	-0.288	0.387099
31	0.056702	0.4845	0.314756
32	-0.079602	-0.6801	0.249291
33	-0.003268	-0.0279	0.488901
34	-0.098745	-0.8437	0.200804
35	-0.076064	-0.6499	0.258901
36	-0.025541	-0.2182	0.413932
37	0.036892	0.3152	0.376754
38	0.016303	0.1393	0.444802
39	0.001625	0.0139	0.49448
40	-0.080842	-0.6907	0.245967
41	-0.079278	-0.6774	0.250161
42	0.018183	0.1554	0.438485
43	-0.034491	-0.2947	0.384532
44	-0.074172	-0.6337	0.26412
45	-0.057575	-0.4919	0.312127
46	0.074666	0.6379	0.262752
47	0.104396	0.892	0.187673
48	-0.081675	-0.6978	0.24375

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t12729176120d02ytqyo3m8h6a/1sf2u1272917538.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12729176120d02ytqyo3m8h6a/1sf2u1272917538.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12729176120d02ytqyo3m8h6a/2sf2u1272917538.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12729176120d02ytqyo3m8h6a/2sf2u1272917538.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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