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Workshop 8: autocorrelatiefunctie

*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: Fri, 27 Nov 2009 08:53:36 -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/27/t1259337488xaygdk9bubbbngp.htm/, Retrieved Fri, 27 Nov 2009 16:58:10 +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/27/t1259337488xaygdk9bubbbngp.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:

WS8ACFMLDG

Dataseries X:

» Textbox « » Textfile « » CSV «

267413 267366 264777 258863 254844 254868 277267 285351 286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710 295881 293299

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	0.87883	7.3001	0
2	0.720786	5.9873	0
3	0.600084	4.9847	2e-06
4	0.544838	4.5258	1.2e-05
5	0.530408	4.4059	1.9e-05
6	0.483616	4.0172	7.4e-05
7	0.392801	3.2628	0.000858
8	0.283565	2.3555	0.010674
9	0.215346	1.7888	0.039018
10	0.199322	1.6557	0.051163
11	0.236678	1.966	0.026662
12	0.244139	2.028	0.023213
13	0.105449	0.8759	0.192054
14	-0.03855	-0.3202	0.374884
15	-0.146037	-1.2131	0.114619
16	-0.182291	-1.5142	0.067269
17	-0.176396	-1.4653	0.073696
18	-0.199563	-1.6577	0.05096
19	-0.247217	-2.0535	0.021906
20	-0.313558	-2.6046	0.005628
21	-0.339491	-2.82	0.003132
22	-0.320788	-2.6647	0.004794
23	-0.262978	-2.1845	0.016165
24	-0.235846	-1.9591	0.027073
25	-0.314198	-2.6099	0.005549
26	-0.390678	-3.2452	0.000906
27	-0.428018	-3.5554	0.000343
28	-0.38988	-3.2386	0.000924
29	-0.335102	-2.7836	0.003466
30	-0.299632	-2.4889	0.007615
31	-0.290649	-2.4143	0.009211
32	-0.2964	-2.4621	0.008158
33	-0.267127	-2.2189	0.014892
34	-0.200655	-1.6668	0.050047
35	-0.116347	-0.9665	0.168596
36	-0.061665	-0.5122	0.305065

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.87883	7.3001	0
2	-0.226464	-1.8812	0.032085
3	0.102813	0.854	0.198021
4	0.172281	1.4311	0.078462
5	0.091002	0.7559	0.226135
6	-0.15133	-1.257	0.106488
7	-0.11124	-0.924	0.179346
8	-0.072517	-0.6024	0.274451
9	0.081416	0.6763	0.250558
10	0.056212	0.4669	0.32101
11	0.18425	1.5305	0.065233
12	-0.103184	-0.8571	0.197176
13	-0.573578	-4.7645	5e-06
14	0.133751	1.111	0.135208
15	-0.03834	-0.3185	0.375544
16	-0.033832	-0.281	0.389763
17	0.01885	0.1566	0.438017
18	-0.013352	-0.1109	0.456004
19	0.068029	0.5651	0.286921
20	-0.117838	-0.9788	0.165541
21	0.054921	0.4562	0.324836
22	-0.006554	-0.0544	0.478372
23	-0.112915	-0.9379	0.175773
24	-0.001025	-0.0085	0.496615
25	-0.126261	-1.0488	0.148964
26	0.001454	0.0121	0.495198
27	0.051228	0.4255	0.335887
28	0.039721	0.3299	0.371219
29	-0.104119	-0.8649	0.195052
30	0.100742	0.8368	0.202789
31	-0.031046	-0.2579	0.398629
32	0.016153	0.1342	0.446827
33	-0.02404	-0.1997	0.421156
34	0.068345	0.5677	0.286034
35	-0.081027	-0.6731	0.251579
36	0.02439	0.2026	0.420024

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337488xaygdk9bubbbngp/182vm1259337214.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337488xaygdk9bubbbngp/182vm1259337214.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337488xaygdk9bubbbngp/2j3i71259337214.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337488xaygdk9bubbbngp/2j3i71259337214.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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