Home » date » 2009 » Nov » 27 »

WS 8.4 Autocorrelatie

*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 13:58:47 -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/t125935562644glid621ab4vte.htm/, Retrieved Fri, 27 Nov 2009 22:00:28 +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/27/t125935562644glid621ab4vte.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 «

474605 470390 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500875 506971 569323 579714 577992 565644 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565724 557274 560576 548854 531673 525919 511038 498662 555362 564591 541667 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516441 528222 532638

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	-0.056255	-0.4358	0.33229
2	0.039139	0.3032	0.381404
3	0.066607	0.5159	0.303898
4	-0.037932	-0.2938	0.384953
5	0.035971	0.2786	0.390744
6	-0.007798	-0.0604	0.476017
7	0.024951	0.1933	0.423699
8	0.097435	0.7547	0.226683
9	0.078635	0.6091	0.272377
10	-0.123864	-0.9594	0.170592
11	0.107856	0.8354	0.20339
12	-0.393497	-3.048	0.001712
13	0.012556	0.0973	0.461423
14	0.192704	1.4927	0.070381
15	0.01198	0.0928	0.463186
16	0.058048	0.4496	0.327297
17	-0.074491	-0.577	0.283048
18	0.124571	0.9649	0.169228
19	0.027213	0.2108	0.416881
20	0.032921	0.255	0.399796
21	-0.080248	-0.6216	0.268281
22	0.068218	0.5284	0.299581
23	0.009827	0.0761	0.469788
24	-0.083057	-0.6434	0.261221
25	-0.05167	-0.4002	0.345203
26	-0.210452	-1.6302	0.054154
27	0.086365	0.669	0.253037
28	-0.06505	-0.5039	0.308097
29	0.125003	0.9683	0.168398
30	-0.086781	-0.6722	0.252017
31	-0.103121	-0.7988	0.213787
32	-0.021666	-0.1678	0.433644
33	-0.022683	-0.1757	0.430561
34	-0.026337	-0.204	0.419521
35	0.008307	0.0643	0.474455
36	0.063972	0.4955	0.31102
37	0.029044	0.225	0.411382
38	0.184711	1.4308	0.078843
39	-0.197687	-1.5313	0.065478
40	-0.049365	-0.3824	0.351765
41	-0.044358	-0.3436	0.366175
42	-0.110636	-0.857	0.197432
43	0.090515	0.7011	0.242966
44	-0.055695	-0.4314	0.333859
45	-0.009718	-0.0753	0.470122
46	0.002146	0.0166	0.493395
47	-0.055819	-0.4324	0.333511
48	-0.032066	-0.2484	0.402343
49	0.007509	0.0582	0.476906
50	-0.125715	-0.9738	0.167037
51	0.089946	0.6967	0.244336
52	0.039736	0.3078	0.379654
53	-0.054415	-0.4215	0.337448
54	0.041453	0.3211	0.374627
55	-0.046564	-0.3607	0.359802
56	0.006068	0.047	0.481335
57	-0.0195	-0.151	0.440222
58	-0.020946	-0.1622	0.435829
59	0.003979	0.0308	0.487758
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.056255	-0.4358	0.33229
2	0.036089	0.2795	0.390395
3	0.071077	0.5506	0.291991
4	-0.032019	-0.248	0.402485
5	0.026928	0.2086	0.417739
6	-0.006274	-0.0486	0.480699
7	0.026652	0.2064	0.418572
8	0.096492	0.7474	0.228862
9	0.092094	0.7134	0.239196
10	-0.130048	-1.0074	0.158906
11	0.079552	0.6162	0.270044
12	-0.400227	-3.1001	0.001472
13	0.001019	0.0079	0.496863
14	0.229441	1.7772	0.040298
15	0.115281	0.893	0.187723
16	0.009098	0.0705	0.472027
17	-0.127905	-0.9907	0.162894
18	0.12394	0.96	0.170445
19	0.084293	0.6529	0.258148
20	0.128604	0.9962	0.161586
21	-0.049481	-0.3833	0.351433
22	-0.144133	-1.1164	0.134341
23	0.001253	0.0097	0.496145
24	-0.247993	-1.9209	0.029747
25	-0.084744	-0.6564	0.25703
26	-0.067298	-0.5213	0.302041
27	0.163236	1.2644	0.105485
28	-0.024812	-0.1922	0.424121
29	0.056938	0.441	0.330385
30	0.011835	0.0917	0.463632
31	-0.075257	-0.5829	0.28106
32	0.042006	0.3254	0.373013
33	-0.041198	-0.3191	0.375373
34	-0.075894	-0.5879	0.279411
35	0.08734	0.6765	0.250651
36	-0.137703	-1.0666	0.145203
37	-0.027837	-0.2156	0.415006
38	0.100468	0.7782	0.219749
39	0.018458	0.143	0.443395
40	-0.043169	-0.3344	0.369628
41	-0.021402	-0.1658	0.434445
42	-0.109417	-0.8475	0.200031
43	-0.025119	-0.1946	0.423194
44	0.058953	0.4567	0.324786
45	-0.001357	-0.0105	0.495825
46	-0.042323	-0.3278	0.372091
47	-0.036409	-0.282	0.389449
48	0.002244	0.0174	0.493094
49	-0.006108	-0.0473	0.481212
50	0.012617	0.0977	0.461234
51	0.045842	0.3551	0.361885
52	-0.141403	-1.0953	0.138881
53	0.030152	0.2336	0.408062
54	-0.079793	-0.6181	0.269432
55	0.032663	0.253	0.400565
56	-0.033289	-0.2579	0.3987
57	-0.059534	-0.4611	0.32318
58	-0.021656	-0.1677	0.433674
59	0.034311	0.2658	0.395664
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935562644glid621ab4vte/1kirs1259355526.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935562644glid621ab4vte/1kirs1259355526.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935562644glid621ab4vte/2uroz1259355526.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t125935562644glid621ab4vte/2uroz1259355526.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 6 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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