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Wisselkoersen

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 05 May 2010 14:37:50 +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/05/t1273070359smskujxo0mtnbit.htm/, Retrieved Wed, 05 May 2010 16:39:21 +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/05/t1273070359smskujxo0mtnbit.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 «

1,4272 1,4614 1,4914 1,4816 1,4562 1,4268 1,4088 1,4016 1,365 1,319 1,305 1,2785 1,3239 1,3449 1,2732 1,3322 1,4369 1,4975 1,577 1,5553 1,5557 1,575 1,5527 1,4748 1,4718 1,457 1,4684 1,4227 1,3896 1,3622 1,3716 1,3419 1,3511 1,3516 1,3242 1,3074 1,2999 1,3213 1,2881 1,2611 1,2727 1,2811 1,2684 1,265 1,277 1,2271 1,202 1,1938 1,2103 1,1856 1,1786 1,2015 1,2256 1,2292 1,2037 1,2165 1,2694 1,2938 1,3201 1,3014 1,3119 1,3408 1,2991 1,249 1,2218 1,2176 1,2266 1,2138 1,2007 1,1985 1,2262 1,2646

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	0.945898	8.0262	0
2	0.855921	7.2627	0
3	0.76113	6.4584	0
4	0.660564	5.6051	0
5	0.553302	4.6949	6e-06
6	0.441124	3.7431	0.000181
7	0.342418	2.9055	0.002434
8	0.282055	2.3933	0.009653
9	0.243035	2.0622	0.021398
10	0.219465	1.8622	0.033326
11	0.214299	1.8184	0.036582
12	0.223853	1.8995	0.030755
13	0.246508	2.0917	0.019997
14	0.278068	2.3595	0.010507
15	0.302089	2.5633	0.006229
16	0.303912	2.5788	0.005979
17	0.282877	2.4003	0.009484
18	0.249115	2.1138	0.018998
19	0.204189	1.7326	0.043724
20	0.152783	1.2964	0.099487
21	0.090847	0.7709	0.221656
22	0.030803	0.2614	0.397276
23	-0.022478	-0.1907	0.424636
24	-0.064727	-0.5492	0.292273
25	-0.112707	-0.9564	0.171047
26	-0.159486	-1.3533	0.0901
27	-0.20232	-1.7167	0.045163
28	-0.228779	-1.9413	0.028071
29	-0.246621	-2.0927	0.019953
30	-0.250158	-2.1227	0.018611
31	-0.248745	-2.1107	0.019137
32	-0.249245	-2.1149	0.01895
33	-0.248384	-2.1076	0.019274
34	-0.234395	-1.9889	0.025256
35	-0.215216	-1.8262	0.035985
36	-0.207663	-1.7621	0.04115
37	-0.207467	-1.7604	0.041292
38	-0.206395	-1.7513	0.042075
39	-0.19958	-1.6935	0.047342
40	-0.202406	-1.7175	0.045096
41	-0.232289	-1.971	0.026282
42	-0.270795	-2.2978	0.012241
43	-0.304926	-2.5874	0.005845
44	-0.333973	-2.8339	0.002982
45	-0.357787	-3.0359	0.001668
46	-0.372991	-3.1649	0.001137
47	-0.37457	-3.1783	0.001092
48	-0.349577	-2.9663	0.002044

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.945898	8.0262	0
2	-0.368582	-3.1275	0.001272
3	0.019219	0.1631	0.435457
4	-0.126982	-1.0775	0.142432
5	-0.094093	-0.7984	0.213631
6	-0.094406	-0.8011	0.212867
7	0.095556	0.8108	0.21007
8	0.257663	2.1863	0.016021
9	-0.034685	-0.2943	0.384682
10	0.076281	0.6473	0.259759
11	0.058708	0.4982	0.309947
12	0.003826	0.0325	0.487095
13	0.033815	0.2869	0.387496
14	0.070829	0.601	0.274862
15	-0.040835	-0.3465	0.36499
16	-0.189285	-1.6061	0.056311
17	-0.10202	-0.8657	0.194773
18	0.005637	0.0478	0.480993
19	-0.055004	-0.4667	0.321054
20	0.062236	0.5281	0.299531
21	-0.036349	-0.3084	0.379321
22	0.047921	0.4066	0.342745
23	-0.095524	-0.8105	0.210148
24	0.012188	0.1034	0.45896
25	-0.223526	-1.8967	0.030941
26	-0.040652	-0.3449	0.365571
27	-0.101238	-0.859	0.196587
28	0.073745	0.6257	0.266729
29	-0.070751	-0.6003	0.275082
30	0.167961	1.4252	0.07921
31	-0.038517	-0.3268	0.372374
32	-0.089061	-0.7557	0.226146
33	-0.004704	-0.0399	0.484134
34	0.146939	1.2468	0.108253
35	-0.019097	-0.162	0.435862
36	-0.164152	-1.3929	0.083972
37	0.06655	0.5647	0.287017
38	-0.049837	-0.4229	0.336821
39	0.008076	0.0685	0.472779
40	-0.091306	-0.7748	0.22051
41	-0.075809	-0.6433	0.261049
42	-0.00039	-0.0033	0.498685
43	-0.01691	-0.1435	0.443154
44	0.010408	0.0883	0.464934
45	0.033711	0.286	0.387832
46	0.010017	0.085	0.466249
47	0.081906	0.695	0.244648
48	0.054036	0.4585	0.323983

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273070359smskujxo0mtnbit/18m4v1273070268.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273070359smskujxo0mtnbit/18m4v1273070268.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273070359smskujxo0mtnbit/28m4v1273070268.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273070359smskujxo0mtnbit/28m4v1273070268.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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