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tijdreeksanalyse

*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: Mon, 28 Dec 2009 11:55:49 -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/Dec/28/t1262026588k1t290959ydjzir.htm/, Retrieved Mon, 28 Dec 2009 19:56:30 +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/Dec/28/t1262026588k1t290959ydjzir.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 «

286.445 288.576 293.299 295.881 292.710 271.993 267.430 273.963 273.046 268.347 264.319 255.765 246.263 245.098 246.969 248.333 247.934 226.839 225.554 237.085 237.080 245.039 248.541 247.105 243.422 250.643 254.663 260.993 258.556 235.372 246.057 253.353 255.198 264.176 269.034 265.861 269.826 278.506 292.300 290.726 289.802 271.311 274.352 275.216 276.836 280.408 280.190 282.656 281.477 288.186 292.300 291.186 287.259 264.993 267.140 270.150 275.037 277.103 277.128

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.895297	6.8769	0
2	0.764539	5.8725	0
3	0.660825	5.0759	2e-06
4	0.587897	4.5157	1.5e-05
5	0.547484	4.2053	4.5e-05
6	0.505238	3.8808	0.000133
7	0.410795	3.1554	0.001262
8	0.287043	2.2048	0.015689
9	0.191979	1.4746	0.072816
10	0.137246	1.0542	0.148043
11	0.132583	1.0184	0.156325
12	0.113738	0.8736	0.19293
13	-0.011991	-0.0921	0.463465
14	-0.133566	-1.0259	0.154554
15	-0.22131	-1.6999	0.047207
16	-0.273062	-2.0974	0.020125
17	-0.289837	-2.2263	0.014914
18	-0.299688	-2.3019	0.012443
19	-0.345014	-2.6501	0.005156
20	-0.409769	-3.1475	0.001291
21	-0.439343	-3.3747	0.000656
22	-0.429951	-3.3025	0.000815
23	-0.384087	-2.9502	0.002274
24	-0.348874	-2.6798	0.004767
25	-0.390513	-2.9996	0.001978
26	-0.423137	-3.2502	0.000954
27	-0.425105	-3.2653	0.000912
28	-0.403481	-3.0992	0.001486
29	-0.354223	-2.7208	0.004272
30	-0.288337	-2.2148	0.015325
31	-0.263562	-2.0245	0.023729
32	-0.251037	-1.9282	0.02932
33	-0.210844	-1.6195	0.055334
34	-0.153664	-1.1803	0.121307
35	-0.081163	-0.6234	0.267703
36	-0.026232	-0.2015	0.420505

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.895297	6.8769	0
2	-0.186539	-1.4328	0.078592
3	0.081757	0.628	0.266217
4	0.061194	0.47	0.320029
5	0.103727	0.7967	0.214398
6	-0.049479	-0.3801	0.352635
7	-0.255072	-1.9592	0.027407
8	-0.136158	-1.0459	0.149948
9	0.065311	0.5017	0.308885
10	0.050741	0.3898	0.349062
11	0.139181	1.0691	0.144696
12	-0.139482	-1.0714	0.14418
13	-0.512443	-3.9361	0.000111
14	0.144728	1.1117	0.135393
15	0.058825	0.4518	0.326518
16	-0.030465	-0.234	0.407894
17	-0.113426	-0.8712	0.193577
18	-0.076035	-0.584	0.280712
19	0.070314	0.5401	0.295584
20	0.030749	0.2362	0.407052
21	0.001202	0.0092	0.496333
22	-0.073746	-0.5665	0.286616
23	-0.074917	-0.5754	0.283589
24	0.055419	0.4257	0.335945
25	-0.144376	-1.109	0.13597
26	0.014359	0.1103	0.456275
27	0.007305	0.0561	0.477721
28	-0.074762	-0.5743	0.283989
29	0.016987	0.1305	0.448316
30	0.095081	0.7303	0.234038
31	-0.051803	-0.3979	0.346069
32	0.078528	0.6032	0.274349
33	-0.039854	-0.3061	0.380293
34	-0.05501	-0.4225	0.337085
35	-0.018882	-0.145	0.442589
36	-0.021987	-0.1689	0.433233

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262026588k1t290959ydjzir/1atzf1262026547.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262026588k1t290959ydjzir/1atzf1262026547.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262026588k1t290959ydjzir/2vqdo1262026547.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262026588k1t290959ydjzir/2vqdo1262026547.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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