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Kristof Nollekens - Datareeks - Autocorrelation Function Opgave 2a

*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 07:55:26 -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/t1242309384pus8254n5jej1ez.htm/, Retrieved Thu, 14 May 2009 15:56:26 +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/t1242309384pus8254n5jej1ez.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 «

4000 3600 1600 2500 3800 3500 4100 2000 3300 4000 4100 4200 1100 1900 4800 4000 3250 1200 3600 3400 3600 3300 1300 2500 3800 3800 3000 1600 2100 3900 4000 3900 2300 3600 3600 4200 4400 1900 2700 3600 4100 5250 1200 3000 4000 5200 2100 3400 5200 6900 2300 4100 4300 4500 4700 2200 2900 4400 5100 2300 3500 4100 4700 5400 2500 3500 3900 4100 4500 1800 4900 4500 3700 3100 1700 4000 4200 4300 3600 2600 4600 4000 2900 1800 3000 4200 4400 4900 2300 2400 3600 3900 2800 3800 4400 4200 5400 2300 3500 3800 4400 4400 2500 3700 3500 3300 3700 2200 3200 3100 4800 4400 2500 3100 4700 4300 4600 3100 3200 4300 4000 4500 2600 3600 4700 3800 4100 1700 3200 4000 3700 3600 2500 3800 4500 3500 4100 2300 3400 4800 4900 2600 3300 3900 3800 5000 1700 2700 4000 3300 4000 2500 3600 3800 5900 3600 3300 4000 4200 4300 2900 3900 5200 4000 4700 2200 2400 3700 3700 3000 2100 etc...

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	0.182459	2.8964	0.002053
2	-0.045344	-0.7198	0.236154
3	0.017389	0.276	0.391369
4	0.269555	4.2791	1.3e-05
5	0.571013	9.0646	0
6	0.048383	0.7681	0.221584
7	-0.066891	-1.0619	0.144658
8	0.025807	0.4097	0.341196
9	0.310136	4.9233	1e-06
10	0.457639	7.2648	0
11	-0.016911	-0.2684	0.394287
12	-0.063378	-1.0061	0.157666
13	0.046402	0.7366	0.231024
14	0.30765	4.8838	1e-06
15	0.323702	5.1386	0
16	0.008595	0.1364	0.445791
17	0.001479	0.0235	0.490647
18	0.111786	1.7745	0.03859
19	0.31646	5.0237	0
20	0.245021	3.8896	6.4e-05
21	-0.01904	-0.3022	0.381356
22	0.004639	0.0736	0.470674
23	0.09435	1.4978	0.067724
24	0.310852	4.9346	1e-06
25	0.140419	2.2291	0.013345
26	-0.066677	-1.0585	0.14543
27	-0.014622	-0.2321	0.408316
28	0.048864	0.7757	0.219331
29	0.252361	4.0061	4.1e-05
30	0.116896	1.8557	0.032334
31	-0.068415	-1.0861	0.139247
32	-0.031046	-0.4928	0.311277
33	0.125575	1.9934	0.023646
34	0.187421	2.9752	0.001606
35	0.04767	0.7567	0.224956
36	-0.091879	-1.4585	0.072969
37	-0.000557	-0.0088	0.496475
38	0.131679	2.0903	0.018795
39	0.176228	2.7975	0.002774
40	0.043327	0.6878	0.246107
41	-0.076704	-1.2176	0.112251
42	0.016595	0.2634	0.396212
43	0.079466	1.2615	0.10415
44	0.129239	2.0516	0.020621
45	-0.023549	-0.3738	0.354426
46	-0.070972	-1.1266	0.130482
47	-0.009293	-0.1475	0.441417
48	0.08594	1.3643	0.086852

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.182459	2.8964	0.002053
2	-0.081343	-1.2913	0.098894
3	0.042879	0.6807	0.248347
4	0.26516	4.2093	1.8e-05
5	0.529934	8.4124	0
6	-0.082509	-1.3098	0.095731
7	-0.024009	-0.3811	0.351714
8	-0.056043	-0.8897	0.187248
9	0.114003	1.8097	0.035764
10	0.214994	3.4129	0.000374
11	-0.02907	-0.4615	0.322429
12	-0.005611	-0.0891	0.464548
13	-0.057738	-0.9166	0.180124
14	0.028253	0.4485	0.327088
15	0.050214	0.7971	0.213063
16	0.118233	1.8769	0.030845
17	0.078758	1.2502	0.106184
18	0.03612	0.5734	0.283449
19	0.027662	0.4391	0.330473
20	0.007449	0.1182	0.452984
21	-0.015504	-0.2461	0.402898
22	-3e-04	-0.0048	0.4981
23	-0.047529	-0.7545	0.225625
24	0.074304	1.1795	0.119648
25	-0.056563	-0.8979	0.185045
26	-0.073554	-1.1676	0.122028
27	-0.058909	-0.9352	0.175301
28	-0.117142	-1.8596	0.032056
29	0.019648	0.3119	0.377687
30	0.092158	1.463	0.072363
31	0.014329	0.2275	0.410124
32	-0.040767	-0.6471	0.259062
33	0.054722	0.8687	0.192921
34	-0.120874	-1.9188	0.028069
35	-0.00959	-0.1522	0.439563
36	-0.034231	-0.5434	0.293669
37	0.048223	0.7655	0.222341
38	0.018859	0.2994	0.382447
39	0.028788	0.457	0.324032
40	0.006297	0.1	0.460228
41	-0.009661	-0.1534	0.439116
42	0.001569	0.0249	0.490075
43	-0.085679	-1.3601	0.087504
44	0.062668	0.9948	0.160386
45	-0.031743	-0.5039	0.307382
46	0.034398	0.5461	0.292755
47	-0.073062	-1.1598	0.12361
48	0.003974	0.0631	0.474873

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242309384pus8254n5jej1ez/1qrpc1242309324.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242309384pus8254n5jej1ez/1qrpc1242309324.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242309384pus8254n5jej1ez/2wvo31242309324.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242309384pus8254n5jej1ez/2wvo31242309324.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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