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autocorrelatie

*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, 01 Jul 2010 14:43:08 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jul/01/t1277995424ge3ol6ixg3atnn8.htm/, Retrieved Thu, 01 Jul 2010 16:43:46 +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/2010/Jul/01/t1277995424ge3ol6ixg3atnn8.htm/},
    year = {2010},
}
@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 = {2010},
    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:

Thomas Talboom

Dataseries X:

» Textbox « » Textfile « » CSV «

68 67 66 64 84 83 68 58 59 59 60 62 58 58 59 62 87 83 68 58 68 63 65 68 62 69 74 72 94 102 92 81 99 95 92 93 85 92 99 107 125 137 125 115 135 128 120 123 119 128 139 155 164 176 162 155 174 171 162 160 156 163 180 195 203 212 203 184 200 198 195 177 176 180 194 204 206 219 213 196 214 209 213 194 197 211 240 251 254 273 271 245 264 264 262 237 237 251 272 282 278 291 293 271 284 290 288 262 263 275 297 301 296 309 310 292 300 314 310 288

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.974986	10.6804	0
2	0.945071	10.3527	0
3	0.919287	10.0703	0
4	0.896417	9.8198	0
5	0.875805	9.594	0
6	0.853782	9.3527	0
7	0.831377	9.1073	0
8	0.810225	8.8756	0
9	0.789366	8.6471	0
10	0.769852	8.4333	0
11	0.757099	8.2936	0
12	0.745574	8.1674	0
13	0.71661	7.8501	0
14	0.681706	7.4677	0
15	0.651461	7.1364	0
16	0.624396	6.8399	0
17	0.600048	6.5732	0
18	0.572948	6.2763	0
19	0.545454	5.9752	0
20	0.519564	5.6915	0
21	0.497002	5.4444	0
22	0.474919	5.2025	0
23	0.458072	5.0179	1e-06
24	0.443228	4.8553	2e-06
25	0.414133	4.5366	7e-06
26	0.379129	4.1531	3.1e-05
27	0.348879	3.8218	0.000106
28	0.320846	3.5147	0.000311
29	0.295335	3.2352	0.000785
30	0.267209	2.9271	0.002047
31	0.238435	2.6119	0.005077
32	0.212184	2.3244	0.010894
33	0.19256	2.1094	0.018495
34	0.173144	1.8967	0.030136
35	0.158147	1.7324	0.042885
36	0.144859	1.5869	0.057589
37	0.121449	1.3304	0.092954
38	0.092772	1.0163	0.155773
39	0.069138	0.7574	0.225158
40	0.048935	0.5361	0.296454
41	0.030674	0.336	0.368723
42	0.010951	0.12	0.452356
43	-0.010699	-0.1172	0.453448
44	-0.029718	-0.3255	0.372668
45	-0.041702	-0.4568	0.324312
46	-0.054647	-0.5986	0.275276
47	-0.067229	-0.7365	0.231445
48	-0.079162	-0.8672	0.193788

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.974986	10.6804	0
2	-0.111871	-1.2255	0.111397
3	0.07886	0.8639	0.194693
4	0.028419	0.3113	0.37805
5	0.031538	0.3455	0.365167
6	-0.040982	-0.4489	0.327143
7	-0.003871	-0.0424	0.483125
8	0.012923	0.1416	0.443831
9	-0.011534	-0.1264	0.449832
10	0.017206	0.1885	0.425409
11	0.126553	1.3863	0.08411
12	-0.003613	-0.0396	0.484248
13	-0.352986	-3.8668	9e-05
14	-0.059323	-0.6498	0.258517
15	0.074212	0.8129	0.208929
16	-0.011195	-0.1226	0.451301
17	0.001702	0.0186	0.492579
18	-0.05088	-0.5574	0.289157
19	0.006841	0.0749	0.470193
20	-0.008619	-0.0944	0.462466
21	0.067315	0.7374	0.231159
22	-0.016788	-0.1839	0.427201
23	0.023086	0.2529	0.40039
24	-0.017661	-0.1935	0.423459
25	-0.20027	-2.1938	0.015087
26	-0.030631	-0.3355	0.368902
27	0.059511	0.6519	0.257854
28	-0.05177	-0.5671	0.28585
29	-0.021087	-0.231	0.408855
30	-0.027824	-0.3048	0.380526
31	0.01459	0.1598	0.436646
32	-0.003572	-0.0391	0.484424
33	0.103493	1.1337	0.129589
34	-0.034269	-0.3754	0.354013
35	0.008277	0.0907	0.463953
36	-0.037178	-0.4073	0.342271
37	-0.071585	-0.7842	0.217243
38	-0.024923	-0.273	0.392653
39	0.05555	0.6085	0.271998
40	-0.008615	-0.0944	0.462487
41	-0.031588	-0.346	0.364965
42	0.012998	0.1424	0.443507
43	0.00157	0.0172	0.493153
44	0.003127	0.0343	0.486365
45	0.056904	0.6234	0.267119
46	-0.065227	-0.7145	0.238144
47	-0.066058	-0.7236	0.235349
48	-0.048472	-0.531	0.298205

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277995424ge3ol6ixg3atnn8/1350q1277995386.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277995424ge3ol6ixg3atnn8/1350q1277995386.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277995424ge3ol6ixg3atnn8/2wfib1277995386.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/01/t1277995424ge3ol6ixg3atnn8/2wfib1277995386.ps (open in new window)

Parameters (Session):

par1 = 0.01 ; par2 = 0.99 ; par3 = 0.1 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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