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AUTOCORRELATIE WERKLOZEN - YANNICK DE ROEY

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 02 Jun 2009 11:33:47 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/02/t1243964071d9nqpqi5uqfluyy.htm/, Retrieved Tue, 02 Jun 2009 19:34:31 +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/2009/Jun/02/t1243964071d9nqpqi5uqfluyy.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 «

509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.880014	7.4672	0
2	0.698948	5.9308	0
3	0.562511	4.7731	5e-06
4	0.515606	4.3751	2e-05
5	0.525322	4.4575	1.5e-05
6	0.516883	4.3859	1.9e-05
7	0.462056	3.9207	1e-04
8	0.391217	3.3196	0.000709
9	0.375036	3.1823	0.001079
10	0.413077	3.5051	0.000395
11	0.483889	4.1059	5.3e-05
12	0.502575	4.2645	3e-05
13	0.356651	3.0263	0.001716
14	0.173561	1.4727	0.072593
15	0.031288	0.2655	0.395697
16	-0.033481	-0.2841	0.388577
17	-0.047374	-0.402	0.344445
18	-0.07101	-0.6025	0.274355
19	-0.119425	-1.0134	0.157142
20	-0.177185	-1.5035	0.068547
21	-0.186275	-1.5806	0.059177
22	-0.156813	-1.3306	0.09376
23	-0.105408	-0.8944	0.187039
24	-0.092983	-0.789	0.216354
25	-0.202465	-1.718	0.04505
26	-0.335865	-2.8499	0.00285
27	-0.425667	-3.6119	0.000279
28	-0.43683	-3.7066	0.000205
29	-0.409005	-3.4705	0.000441
30	-0.388657	-3.2979	0.000758
31	-0.388882	-3.2998	0.000753
32	-0.39824	-3.3792	0.000588
33	-0.366997	-3.1141	0.001324
34	-0.314329	-2.6672	0.004721
35	-0.248509	-2.1087	0.019226
36	-0.213771	-1.8139	0.036929
37	-0.270519	-2.2954	0.012312
38	-0.344229	-2.9209	0.002329
39	-0.379341	-3.2188	0.000966
40	-0.346557	-2.9406	0.002201
41	-0.289051	-2.4527	0.008302
42	-0.239977	-2.0363	0.022701
43	-0.222124	-1.8848	0.031748
44	-0.212782	-1.8055	0.037587
45	-0.175693	-1.4908	0.07019
46	-0.123272	-1.046	0.14953
47	-0.0625	-0.5303	0.298757
48	-0.023254	-0.1973	0.422068

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.880014	7.4672	0
2	-0.334599	-2.8392	0.002937
3	0.180071	1.528	0.065453
4	0.228478	1.9387	0.028229
5	0.093391	0.7924	0.215351
6	-0.084048	-0.7132	0.239022
7	-0.045583	-0.3868	0.350029
8	0.041086	0.3486	0.364194
9	0.214905	1.8235	0.036187
10	0.068496	0.5812	0.281457
11	0.155577	1.3201	0.09549
12	-0.128609	-1.0913	0.139393
13	-0.622285	-5.2803	1e-06
14	0.111307	0.9445	0.174045
15	-0.149112	-1.2653	0.104929
16	-0.189739	-1.61	0.055888
17	0.00609	0.0517	0.479467
18	-0.061294	-0.5201	0.302295
19	0.084349	0.7157	0.238237
20	-0.065803	-0.5584	0.289166
21	0.022579	0.1916	0.4243
22	0.091459	0.7761	0.220129
23	-0.076263	-0.6471	0.259809
24	0.072349	0.6139	0.270607
25	-0.116048	-0.9847	0.164034
26	-0.017014	-0.1444	0.442808
27	0.094006	0.7977	0.213842
28	-0.019719	-0.1673	0.433793
29	-0.030446	-0.2583	0.398441
30	0.042349	0.3593	0.360195
31	-0.018062	-0.1533	0.439311
32	0.00631	0.0535	0.478723
33	-0.035873	-0.3044	0.380853
34	-0.032916	-0.2793	0.390407
35	0.032042	0.2719	0.393245
36	-0.030799	-0.2613	0.397289
37	-0.020928	-0.1776	0.429775
38	0.017828	0.1513	0.44009
39	-0.023547	-0.1998	0.4211
40	0.016659	0.1414	0.443993
41	-0.045072	-0.3824	0.351629
42	0.00425	0.0361	0.485667
43	-0.109838	-0.932	0.177223
44	0.037333	0.3168	0.376163
45	-0.080715	-0.6849	0.247808
46	0.025161	0.2135	0.415771
47	0.000687	0.0058	0.497684
48	0.035898	0.3046	0.380772

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243964071d9nqpqi5uqfluyy/1u8cl1243964023.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243964071d9nqpqi5uqfluyy/1u8cl1243964023.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243964071d9nqpqi5uqfluyy/2j0am1243964023.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243964071d9nqpqi5uqfluyy/2j0am1243964023.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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