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autocorr. functie

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 26 Nov 2009 11:24:00 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259926j9qeocep5loxpcr.htm/, Retrieved Thu, 26 Nov 2009 19:25:28 +0100

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/Nov/26/t1259259926j9qeocep5loxpcr.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:

d=0 D=0 tijdreeks: aantal bouwvergunningen

Dataseries X:

» Textbox « » Textfile « » CSV «

2465 1932 1993 2243 1758 1806 2063 1823 2137 2428 2139 2265 2615 2070 2794 2190 2434 2520 2063 2068 2537 1898 2139 2408 2725 2201 2311 2548 2276 2351 2280 2057 2479 2379 2295 2456 2546 2844 2260 2981 2678 3440 2842 2450 2669 2570 2540 2318 2930 2946 2799 2695 2498 2260 2160 2058 2533 2150 2172 2155 3016

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	0.372443	2.9089	0.002527
2	0.392554	3.0659	0.001616
3	0.359181	2.8053	0.003368
4	0.268968	2.1007	0.019904
5	0.131532	1.0273	0.154169
6	0.094448	0.7377	0.231774
7	0.075425	0.5891	0.278989
8	0.14385	1.1235	0.132813
9	0.144278	1.1269	0.13211
10	0.07091	0.5538	0.29086
11	0.0723	0.5647	0.287179
12	0.143325	1.1194	0.133678
13	-0.012282	-0.0959	0.461946
14	0.006345	0.0496	0.480319
15	0.050903	0.3976	0.34617
16	-0.049201	-0.3843	0.351056
17	0.013987	0.1092	0.456684
18	-0.08388	-0.6551	0.257425
19	-0.024666	-0.1926	0.423937
20	-0.093918	-0.7335	0.233025
21	0.03142	0.2454	0.403486
22	-0.114579	-0.8949	0.187182
23	-0.025559	-0.1996	0.421221
24	0.057335	0.4478	0.327942
25	0.081215	0.6343	0.264125
26	-0.041876	-0.3271	0.37237
27	0.03864	0.3018	0.381921
28	-0.033318	-0.2602	0.397784
29	-0.080661	-0.63	0.265529
30	-0.110539	-0.8633	0.195668
31	-0.167508	-1.3083	0.097843
32	-0.103072	-0.805	0.211967
33	-0.121391	-0.9481	0.173412
34	-0.161416	-1.2607	0.10611
35	-0.238178	-1.8602	0.033838
36	-0.101706	-0.7943	0.215036

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.372443	2.9089	0.002527
2	0.294722	2.3019	0.012386
3	0.186019	1.4529	0.075695
4	0.037559	0.2933	0.385127
5	-0.120593	-0.9419	0.174989
6	-0.074404	-0.5811	0.281653
7	0.003412	0.0266	0.489415
8	0.161176	1.2588	0.106445
9	0.131741	1.0289	0.153788
10	-0.057463	-0.4488	0.327583
11	-0.091847	-0.7174	0.237948
12	0.05284	0.4127	0.340638
13	-0.102744	-0.8025	0.212703
14	-0.00144	-0.0112	0.495533
15	0.090532	0.7071	0.241106
16	-0.080958	-0.6323	0.264776
17	0.023919	0.1868	0.426213
18	-0.125664	-0.9815	0.16512
19	0.016216	0.1267	0.449816
20	-0.072715	-0.5679	0.286087
21	0.155714	1.2162	0.114303
22	-0.073729	-0.5758	0.283419
23	-0.002577	-0.0201	0.492005
24	0.099145	0.7743	0.220858
25	0.127738	0.9977	0.161191
26	-0.138148	-1.079	0.142424
27	-0.036055	-0.2816	0.389602
28	-0.069646	-0.544	0.294229
29	-0.114159	-0.8916	0.188052
30	0.01046	0.0817	0.467577
31	-0.055873	-0.4364	0.332051
32	0.051385	0.4013	0.34479
33	-0.087006	-0.6795	0.249685
34	-0.062892	-0.4912	0.312524
35	-0.213735	-1.6693	0.050089
36	0.014525	0.1134	0.455025

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259926j9qeocep5loxpcr/1nsfa1259259838.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259926j9qeocep5loxpcr/1nsfa1259259838.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259926j9qeocep5loxpcr/236yr1259259838.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259259926j9qeocep5loxpcr/236yr1259259838.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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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