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Kristof Nollekens - Autocorrelation - productie baksteen oef2 stap1

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 05 Jun 2009 08:02:54 -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/05/t124421067258andtqkw7fdn9h.htm/, Retrieved Fri, 05 Jun 2009 16:04:32 +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/05/t124421067258andtqkw7fdn9h.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 «

155 176 180 181 208 183 185 205 180 196 183 147 128 158 186 165 191 168 171 169 157 175 156 129 89 138 146 151 156 129 146 141 137 155 147 128 92 136 159 131 134 148 146 144 161 140 141 139 94 136 164 141 159 162 154 166 156 147 161 135 98 150 173 144 167 161 156 175 163 159 167 148 119 150 161 136 166 155 140 141

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	0.531678	4.7555	4e-06
2	0.288506	2.5805	0.005847
3	0.356098	3.185	0.001032
4	0.185817	1.662	0.050213
5	0.188374	1.6849	0.047955
6	0.231973	2.0748	0.020609
7	0.134075	1.1992	0.116995
8	0.058634	0.5244	0.300712
9	0.149419	1.3364	0.092596
10	0.047315	0.4232	0.336642
11	0.255495	2.2852	0.012474
12	0.556554	4.978	2e-06
13	0.215251	1.9253	0.028875
14	0.028694	0.2566	0.399055
15	0.019879	0.1778	0.429662
16	-0.071033	-0.6353	0.26351
17	-0.081258	-0.7268	0.234738
18	-0.079017	-0.7067	0.240888
19	-0.142097	-1.271	0.103713
20	-0.199689	-1.7861	0.038938
21	-0.149355	-1.3359	0.092689
22	-0.210493	-1.8827	0.031688
23	-0.047201	-0.4222	0.337012
24	0.176778	1.5812	0.058894
25	-0.039135	-0.35	0.363617
26	-0.189501	-1.6949	0.046988
27	-0.166567	-1.4898	0.070101
28	-0.186031	-1.6639	0.050021
29	-0.206456	-1.8466	0.034252
30	-0.181272	-1.6213	0.054439
31	-0.190216	-1.7013	0.046381
32	-0.247326	-2.2122	0.014904
33	-0.175254	-1.5675	0.06047
34	-0.147224	-1.3168	0.09583
35	-0.07539	-0.6743	0.251029
36	0.108356	0.9692	0.167693
37	0.002574	0.023	0.490846
38	-0.164704	-1.4732	0.072316
39	-0.122163	-1.0927	0.138912
40	-0.110583	-0.9891	0.162801
41	-0.166868	-1.4925	0.069749
42	-0.120519	-1.078	0.142147
43	-0.092904	-0.831	0.204234
44	-0.177623	-1.5887	0.058035
45	-0.096903	-0.8667	0.194343
46	-0.040926	-0.3661	0.357645
47	-0.007859	-0.0703	0.472068
48	0.158442	1.4171	0.080162

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.531678	4.7555	4e-06
2	0.008119	0.0726	0.471146
3	0.278325	2.4894	0.007434
4	-0.164946	-1.4753	0.072025
5	0.189843	1.698	0.046696
6	-0.002494	-0.0223	0.491128
7	0.012605	0.1127	0.455257
8	-0.103847	-0.9288	0.177885
9	0.175911	1.5734	0.059787
10	-0.19529	-1.7467	0.042262
11	0.553825	4.9536	2e-06
12	0.176641	1.5799	0.059035
13	-0.307468	-2.7501	0.003682
14	-0.303088	-2.7109	0.004104
15	-0.214999	-1.923	0.029019
16	0.054677	0.489	0.313075
17	-0.048756	-0.4361	0.331974
18	-0.103185	-0.9229	0.179413
19	0.015436	0.1381	0.445268
20	-0.010969	-0.0981	0.461047
21	0.045862	0.4102	0.341377
22	-0.038515	-0.3445	0.36569
23	-0.125774	-1.125	0.131985
24	0.024026	0.2149	0.415197
25	-0.061191	-0.5473	0.292845
26	-0.010827	-0.0968	0.461548
27	0.071966	0.6437	0.260809
28	-0.019011	-0.17	0.432702
29	-0.004193	-0.0375	0.485087
30	-0.011658	-0.1043	0.458606
31	0.047042	0.4208	0.337531
32	-0.068121	-0.6093	0.272028
33	0.066416	0.594	0.277081
34	0.105783	0.9462	0.17346
35	-0.137338	-1.2284	0.111452
36	0.014334	0.1282	0.449152
37	-0.020758	-0.1857	0.426587
38	-0.06165	-0.5514	0.291444
39	-0.006148	-0.055	0.47814
40	-0.106646	-0.9539	0.171511
41	-0.021505	-0.1923	0.42398
42	0.053615	0.4795	0.316429
43	0.038624	0.3455	0.365328
44	-0.037838	-0.3384	0.367963
45	-0.063834	-0.571	0.284816
46	-0.028051	-0.2509	0.401271
47	0.095057	0.8502	0.198871
48	-0.015033	-0.1345	0.446689

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t124421067258andtqkw7fdn9h/1leme1244210570.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t124421067258andtqkw7fdn9h/1leme1244210570.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t124421067258andtqkw7fdn9h/28cdz1244210570.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t124421067258andtqkw7fdn9h/28cdz1244210570.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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