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Time Series Analysis - aantal werklozen - Tim Vervaet

*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 11:33:33 -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/t12423225364rutxofn32h0yk2.htm/, Retrieved Thu, 14 May 2009 19:35:36 +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/t12423225364rutxofn32h0yk2.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 «

517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.884364	7.5041	0
2	0.708152	6.0089	0
3	0.570776	4.8432	4e-06
4	0.497234	4.2192	3.5e-05
5	0.485027	4.1156	5.1e-05
6	0.479262	4.0667	6e-05
7	0.433175	3.6756	0.000227
8	0.36464	3.0941	0.001405
9	0.34149	2.8976	0.002489
10	0.376199	3.1922	0.001047
11	0.448027	3.8016	0.000149
12	0.47276	4.0115	7.3e-05
13	0.341253	2.8956	0.002503
14	0.170111	1.4434	0.076617
15	0.03009	0.2553	0.399601
16	-0.052436	-0.4449	0.328851
17	-0.083771	-0.7108	0.239747
18	-0.10632	-0.9022	0.184991
19	-0.151711	-1.2873	0.101055
20	-0.213768	-1.8139	0.036931
21	-0.224811	-1.9076	0.030217
22	-0.18968	-1.6095	0.055943
23	-0.133545	-1.1332	0.130451
24	-0.114399	-0.9707	0.167471
25	-0.210048	-1.7823	0.039457
26	-0.333083	-2.8263	0.003045
27	-0.41858	-3.5518	0.00034
28	-0.444945	-3.7755	0.000163
29	-0.428507	-3.636	0.000258
30	-0.40474	-3.4343	0.000495
31	-0.399105	-3.3865	0.000575
32	-0.407087	-3.4543	0.000464
33	-0.380278	-3.2268	0.000943
34	-0.328001	-2.7832	0.003435
35	-0.260106	-2.2071	0.015249
36	-0.218473	-1.8538	0.033932
37	-0.266126	-2.2582	0.013484
38	-0.334679	-2.8398	0.002932
39	-0.368609	-3.1278	0.001271
40	-0.352493	-2.991	0.001902
41	-0.308755	-2.6199	0.005361
42	-0.258117	-2.1902	0.015875
43	-0.228074	-1.9353	0.028442
44	-0.21172	-1.7965	0.038304
45	-0.174294	-1.4789	0.07176
46	-0.120916	-1.026	0.154162
47	-0.055014	-0.4668	0.321024
48	-0.003133	-0.0266	0.489431

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.884364	7.5041	0
2	-0.339369	-2.8796	0.00262
3	0.166506	1.4128	0.081004
4	0.115437	0.9795	0.165302
5	0.161579	1.371	0.08731
6	-0.046037	-0.3906	0.34861
7	-0.103948	-0.882	0.190349
8	0.020485	0.1738	0.431246
9	0.235564	1.9988	0.024701
10	0.123336	1.0465	0.149406
11	0.126501	1.0734	0.143339
12	-0.190815	-1.6191	0.054897
13	-0.587137	-4.982	2e-06
14	0.144064	1.2224	0.112767
15	-0.100436	-0.8522	0.198457
16	-0.068904	-0.5847	0.2803
17	-0.168665	-1.4312	0.078354
18	-0.089829	-0.7622	0.224208
19	0.108228	0.9183	0.180753
20	0.008999	0.0764	0.469671
21	0.082547	0.7004	0.242958
22	-0.119251	-1.0119	0.157492
23	-0.041705	-0.3539	0.362233
24	0.069929	0.5934	0.277399
25	-0.106722	-0.9056	0.184093
26	-0.013526	-0.1148	0.454473
27	0.013268	0.1126	0.455336
28	0.013787	0.117	0.453599
29	0.038769	0.329	0.371568
30	-0.018289	-0.1552	0.438555
31	0.021269	0.1805	0.428645
32	0.04549	0.386	0.35032
33	-0.110836	-0.9405	0.175059
34	-0.055362	-0.4698	0.319974
35	0.016872	0.1432	0.44328
36	0.031515	0.2674	0.394957
37	-0.057492	-0.4878	0.313575
38	-0.064779	-0.5497	0.292124
39	0.019789	0.1679	0.433561
40	0.025449	0.2159	0.414821
41	-0.022806	-0.1935	0.423549
42	-0.003214	-0.0273	0.489159
43	-0.126821	-1.0761	0.142735
44	0.072416	0.6145	0.27042
45	-0.026143	-0.2218	0.412536
46	0.004574	0.0388	0.484573
47	0.007624	0.0647	0.4743
48	0.072106	0.6118	0.271286

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423225364rutxofn32h0yk2/14xk11242322408.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423225364rutxofn32h0yk2/14xk11242322408.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423225364rutxofn32h0yk2/2h84n1242322408.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423225364rutxofn32h0yk2/2h84n1242322408.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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