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Time Series Analysis (new) - autocorrelation - gemiddelde prijs strip - Dellaert Kenny

*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, 14 May 2009 02:38:46 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/May/14/t1242290513fgoqjpli4h67jbe.htm/, Retrieved Thu, 14 May 2009 10:41:55 +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/2009/May/14/t1242290513fgoqjpli4h67jbe.htm/},
    year = {2009},
}
@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 = {2009},
    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:

Dataseries X:

» Textbox « » Textfile « » CSV «

5,11 5,11 5,11 5,1 5,1 5,1 5,1 5,1 5,12 5,25 5,26 5,26 5,26 5,26 5,26 5,26 5,29 5,3 5,33 5,33 5,35 5,38 5,38 5,38 5,38 5,38 5,39 5,39 5,4 5,4 5,4 5,4 5,4 5,41 5,41 5,41 5,41 5,41 5,42 5,42 5,42 5,42 5,43 5,43 5,45 5,51 5,51 5,51 5,51 5,51 5,51 5,53 5,53 5,53 5,53 5,52 5,53 5,54 5,54 5,57 5,56 5,57 5,58 5,61 5,66 5,68 5,69 5,7 5,72 5,71 5,69 5,7 5,7

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.950666	8.1225	0
2	0.896984	7.6638	0
3	0.842689	7.1999	0
4	0.782461	6.6853	0
5	0.719835	6.1503	0
6	0.658468	5.626	0
7	0.598066	5.1099	1e-06
8	0.536048	4.58	9e-06
9	0.477852	4.0828	5.6e-05
10	0.443287	3.7874	0.000155
11	0.413709	3.5347	0.000356
12	0.383901	3.28	0.000796
13	0.351951	3.0071	0.001808
14	0.318033	2.7173	0.004108
15	0.287055	2.4526	0.008286
16	0.255791	2.1855	0.016031
17	0.229813	1.9635	0.026697
18	0.204887	1.7506	0.042112
19	0.181886	1.554	0.062251
20	0.156352	1.3359	0.09287
21	0.13233	1.1306	0.130956
22	0.111771	0.955	0.171372
23	0.09314	0.7958	0.214368
24	0.073267	0.626	0.266637
25	0.05153	0.4403	0.330521
26	0.029506	0.2521	0.400835
27	0.007952	0.0679	0.473008
28	-0.014605	-0.1248	0.450517
29	-0.028281	-0.2416	0.404872
30	-0.040888	-0.3493	0.363917
31	-0.054116	-0.4624	0.322595
32	-0.066572	-0.5688	0.285622
33	-0.079027	-0.6752	0.250838
34	-0.091205	-0.7793	0.219175
35	-0.103573	-0.8849	0.189551
36	-0.116697	-0.9971	0.161014
37	-0.134217	-1.1468	0.127614
38	-0.152407	-1.3022	0.098477
39	-0.169983	-1.4523	0.075346
40	-0.187846	-1.605	0.05641
41	-0.204745	-1.7493	0.042217
42	-0.222457	-1.9007	0.030647
43	-0.240177	-2.0521	0.021875
44	-0.259617	-2.2182	0.014827
45	-0.276828	-2.3652	0.010339
46	-0.284812	-2.4334	0.008702
47	-0.293465	-2.5074	0.007194
48	-0.302684	-2.5861	0.00585

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.950666	8.1225	0
2	-0.070473	-0.6021	0.274479
3	-0.032804	-0.2803	0.390028
4	-0.091051	-0.7779	0.219559
5	-0.054186	-0.463	0.322382
6	-0.021303	-0.182	0.428039
7	-0.024465	-0.209	0.417503
8	-0.053232	-0.4548	0.325297
9	0.000172	0.0015	0.499417
10	0.206542	1.7647	0.040899
11	0.011961	0.1022	0.459442
12	-0.03555	-0.3037	0.381094
13	-0.080726	-0.6897	0.246278
14	-0.063692	-0.5442	0.293988
15	0.009077	0.0776	0.469199
16	-0.026661	-0.2278	0.410221
17	0.026078	0.2228	0.412151
18	-0.007488	-0.064	0.474581
19	0.055631	0.4753	0.317993
20	-0.038564	-0.3295	0.371363
21	-0.017046	-0.1456	0.442303
22	-0.018421	-0.1574	0.437688
23	-0.021282	-0.1818	0.42811
24	-0.026935	-0.2301	0.409316
25	-0.044502	-0.3802	0.352442
26	-0.003166	-0.0271	0.489246
27	-0.006092	-0.0521	0.479315
28	-0.012278	-0.1049	0.458372
29	0.063328	0.5411	0.295052
30	-0.017914	-0.1531	0.439389
31	-0.018542	-0.1584	0.43728
32	-0.0214	-0.1828	0.427714
33	-0.029601	-0.2529	0.400525
34	-0.033984	-0.2904	0.386182
35	-0.020476	-0.1749	0.430802
36	-0.028302	-0.2418	0.4048
37	-0.062113	-0.5307	0.298621
38	0.01532	0.1309	0.448109
39	-0.006071	-0.0519	0.479387
40	-0.022688	-0.1938	0.423418
41	-0.022221	-0.1899	0.424976
42	-0.051512	-0.4401	0.330576
43	-0.026985	-0.2306	0.409152
44	-0.052842	-0.4515	0.326489
45	-0.002938	-0.0251	0.490021
46	0.053723	0.459	0.323797
47	-0.020738	-0.1772	0.429926
48	-0.027479	-0.2348	0.407518

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242290513fgoqjpli4h67jbe/1lsjl1242290319.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242290513fgoqjpli4h67jbe/1lsjl1242290319.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242290513fgoqjpli4h67jbe/2q2te1242290319.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242290513fgoqjpli4h67jbe/2q2te1242290319.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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