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Kristof Nollekens - Autocorrelation - productie baksteen oef2 stap2

*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 08:05:01 -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/t1244210762lbqaj7n0coihlxq.htm/, Retrieved Fri, 05 Jun 2009 16:06:04 +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/t1244210762lbqaj7n0coihlxq.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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.242728	-2.1574	0.017006
2	-0.328631	-2.9209	0.002274
3	0.258406	2.2968	0.012141
4	-0.196341	-1.7451	0.042426
5	-0.035059	-0.3116	0.378078
6	0.14792	1.3147	0.096201
7	-0.035225	-0.3131	0.377521
8	-0.168027	-1.4935	0.06965
9	0.212041	1.8847	0.031577
10	-0.334756	-2.9754	0.001941
11	-0.096713	-0.8596	0.196305
12	0.693456	6.1636	0
13	-0.173242	-1.5398	0.063802
14	-0.190244	-1.6909	0.047397
15	0.090806	0.8071	0.211015
16	-0.095171	-0.8459	0.200082
17	-0.003117	-0.0277	0.488984
18	0.062435	0.5549	0.290253
19	-0.022765	-0.2023	0.420085
20	-0.103482	-0.9198	0.180247
21	0.126974	1.1286	0.131247
22	-0.244327	-2.1716	0.016442
23	-0.060943	-0.5417	0.294785
24	0.476778	4.2377	3e-05
25	-0.076108	-0.6765	0.250362
26	-0.183504	-1.631	0.053434
27	0.044296	0.3937	0.347429
28	-0.005026	-0.0447	0.482241
29	-0.040269	-0.3579	0.36068
30	0.02685	0.2386	0.405999
31	0.038176	0.3393	0.367636
32	-0.123946	-1.1017	0.136978
33	0.047006	0.4178	0.338614
34	-0.047001	-0.4178	0.338629
35	-0.112336	-0.9985	0.160551
36	0.306661	2.7257	0.00395
37	0.064732	0.5753	0.283345
38	-0.225335	-2.0028	0.024314
39	0.029873	0.2655	0.395652
40	0.071619	0.6366	0.263123
41	-0.101643	-0.9034	0.184525
42	0.012734	0.1132	0.455086
43	0.106166	0.9436	0.174119
44	-0.166744	-1.482	0.071153
45	0.033477	0.2976	0.383412
46	0.027102	0.2409	0.405134
47	-0.148546	-1.3203	0.095273
48	0.256638	2.281	0.01262

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.242728	-2.1574	0.017006
2	-0.411811	-3.6603	0.000227
3	0.058645	0.5212	0.301826
4	-0.293432	-2.6081	0.005442
5	-0.064585	-0.574	0.283784
6	-0.090687	-0.806	0.211318
7	0.028043	0.2493	0.401906
8	-0.245373	-2.1809	0.016082
9	0.14544	1.2927	0.099942
10	-0.59339	-5.2742	1e-06
11	-0.169459	-1.5062	0.068004
12	0.293256	2.6065	0.005465
13	0.29464	2.6188	0.005287
14	0.140109	1.2453	0.108348
15	-0.113671	-1.0103	0.157712
16	0.003829	0.034	0.486467
17	0.055751	0.4955	0.310801
18	-0.07837	-0.6966	0.24406
19	-0.063363	-0.5632	0.287451
20	-0.110768	-0.9845	0.163931
21	-0.015866	-0.141	0.444105
22	0.061265	0.5445	0.293804
23	-0.088796	-0.7892	0.216167
24	-0.016222	-0.1442	0.44286
25	-0.049909	-0.4436	0.329271
26	-0.110853	-0.9853	0.163746
27	-0.028167	-0.2503	0.401483
28	-0.037727	-0.3353	0.369135
29	-0.052898	-0.4702	0.319767
30	-0.103492	-0.9199	0.180224
31	0.04049	0.3599	0.359949
32	-0.094417	-0.8392	0.201945
33	-0.156828	-1.3939	0.083626
34	0.105988	0.942	0.174523
35	-0.04131	-0.3672	0.357238
36	-0.020278	-0.1802	0.428715
37	0.001813	0.0161	0.493591
38	-0.037594	-0.3341	0.369579
39	0.042451	0.3773	0.353476
40	-0.02229	-0.1981	0.421731
41	-0.093289	-0.8292	0.204753
42	-0.074187	-0.6594	0.255781
43	-0.003624	-0.0322	0.487193
44	0.007729	0.0687	0.472704
45	-0.013506	-0.12	0.452376
46	-0.141995	-1.2621	0.105317
47	-0.046541	-0.4137	0.340119
48	-0.069217	-0.6152	0.270092

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244210762lbqaj7n0coihlxq/1g9w01244210699.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244210762lbqaj7n0coihlxq/1g9w01244210699.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244210762lbqaj7n0coihlxq/22d7p1244210699.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244210762lbqaj7n0coihlxq/22d7p1244210699.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 = 1 ; 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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