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Time Series Analysis (new) - autocorrelation - gemiddelde prijs strip (trend?) - 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 02:43:55 -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/t12422907650ju91ytlkvicmfc.htm/, Retrieved Thu, 14 May 2009 10:46:07 +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/t12422907650ju91ytlkvicmfc.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	0.153973	1.3065	0.097769
2	-0.028867	-0.2449	0.403597
3	-0.055017	-0.4668	0.321013
4	-0.1155	-0.9801	0.165171
5	-0.082611	-0.701	0.242788
6	-0.162757	-1.381	0.085769
7	0.03584	0.3041	0.380961
8	-0.042625	-0.3617	0.359322
9	0.042019	0.3565	0.361238
10	-0.080458	-0.6827	0.248491
11	0.000773	0.0066	0.497391
12	0.148023	1.256	0.106586
13	-0.077506	-0.6577	0.256428
14	-0.034275	-0.2908	0.386006
15	-0.099089	-0.8408	0.201623
16	-0.074859	-0.6352	0.263656
17	0.027716	0.2352	0.407368
18	-0.016415	-0.1393	0.444805
19	0.087484	0.7423	0.230152
20	0.006676	0.0566	0.477492
21	-0.023447	-0.199	0.421429
22	-0.03457	-0.2933	0.385055
23	-0.000356	-0.003	0.4988
24	0.044861	0.3807	0.352289
25	-0.078635	-0.6672	0.253376
26	-0.023077	-0.1958	0.422653
27	-0.02554	-0.2167	0.414522
28	-0.032638	-0.2769	0.391308
29	0.044263	0.3756	0.354165
30	-0.035221	-0.2989	0.382955
31	-0.038346	-0.3254	0.372921
32	-0.08482	-0.7197	0.237012
33	0.007414	0.0629	0.475007
34	-0.07207	-0.6115	0.271386
35	0.075179	0.6379	0.262775
36	0.248765	2.1108	0.01913
37	-0.039776	-0.3375	0.368356
38	-0.024563	-0.2084	0.417744
39	-0.071038	-0.6028	0.274276
40	-0.06316	-0.5359	0.29683
41	-0.032614	-0.2767	0.391388
42	0.019276	0.1636	0.435265
43	0.035152	0.2983	0.383176
44	-0.038321	-0.3252	0.373
45	-0.001407	-0.0119	0.495253
46	-0.025876	-0.2196	0.413415
47	0.070026	0.5942	0.277124
48	0.045557	0.3866	0.350109

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.153973	1.3065	0.097769
2	-0.053852	-0.4569	0.324542
3	-0.043187	-0.3665	0.357549
4	-0.104363	-0.8855	0.189405
5	-0.054315	-0.4609	0.323137
6	-0.159194	-1.3508	0.090493
7	0.071866	0.6098	0.271956
8	-0.097078	-0.8237	0.206406
9	0.046028	0.3906	0.348637
10	-0.147491	-1.2515	0.107402
11	0.035287	0.2994	0.382741
12	0.102299	0.868	0.19413
13	-0.114091	-0.9681	0.16812
14	-0.036462	-0.3094	0.37896
15	-0.088191	-0.7483	0.228352
16	-0.080662	-0.6844	0.247948
17	0.058435	0.4958	0.310761
18	-0.04883	-0.4143	0.33993
19	0.043446	0.3687	0.356734
20	-0.043493	-0.3691	0.356586
21	-0.073465	-0.6234	0.267506
22	0.004242	0.036	0.485692
23	-0.005471	-0.0464	0.481551
24	0.002113	0.0179	0.492872
25	-0.071201	-0.6042	0.273818
26	-0.057542	-0.4883	0.313423
27	0.001455	0.0123	0.495092
28	-0.056589	-0.4802	0.316279
29	0.026978	0.2289	0.409791
30	-0.0742	-0.6296	0.265472
31	-0.11809	-1.002	0.159844
32	-0.08239	-0.6991	0.243371
33	0.016134	0.1369	0.445745
34	-0.128551	-1.0908	0.1395
35	0.091094	0.773	0.22104
36	0.139301	1.182	0.120545
37	-0.137544	-1.1671	0.123511
38	-0.040799	-0.3462	0.365104
39	-0.054774	-0.4648	0.321749
40	-0.070123	-0.595	0.27685
41	-0.031722	-0.2692	0.394283
42	0.025743	0.2184	0.413855
43	-0.041992	-0.3563	0.361323
44	-0.076578	-0.6498	0.258948
45	-0.065158	-0.5529	0.291028
46	0.005926	0.0503	0.480016
47	-0.027151	-0.2304	0.409223
48	-0.055745	-0.473	0.318819

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12422907650ju91ytlkvicmfc/1czpx1242290634.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12422907650ju91ytlkvicmfc/1czpx1242290634.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12422907650ju91ytlkvicmfc/2wze51242290634.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12422907650ju91ytlkvicmfc/2wze51242290634.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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