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tijdreeks 2 stap 17

*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, 17 Aug 2010 15:57:36 +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/Aug/17/t1282060633e4plrd4025dkjl8.htm/, Retrieved Tue, 17 Aug 2010 17:57:14 +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/Aug/17/t1282060633e4plrd4025dkjl8.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:
Magali De Reu
 
Dataseries X:
» Textbox « » Textfile « » CSV «
120 119 118 116 114 113 114 116 117 117 118 120 123 125 120 116 111 108 113 112 126 124 124 118 119 122 114 108 104 101 107 104 123 125 134 131 127 124 123 117 112 118 123 124 144 148 152 154 146 132 136 128 120 124 126 121 140 142 142 139 131 117 122 112 98 103 108 102 126 129 126 126 112 99 106 104 90 98 99 91 118 115 119 123
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8160497.47920
20.6419175.88330
30.4470414.09724.8e-05
40.1693681.55230.062177
50.0130480.11960.452549
6-0.01059-0.09710.461455
7-0.057362-0.52570.300232
80.0315660.28930.38653
90.2159031.97880.025558
100.3227952.95850.002008
110.4181653.83250.000122
120.5132984.70455e-06
130.3397363.11370.001263
140.1597571.46420.073436
15-0.043588-0.39950.345273
16-0.285949-2.62080.005206
17-0.429454-3.9368.5e-05
18-0.443784-4.06735.3e-05
19-0.457689-4.19483.4e-05
20-0.360161-3.30090.000708
21-0.197477-1.80990.036943
22-0.085507-0.78370.217715
23-0.002133-0.01950.492225
240.0715590.65590.256856
25-0.032546-0.29830.38311
26-0.148971-1.36530.087896
27-0.27913-2.55830.006157
28-0.420619-3.8550.000113
29-0.493965-4.52731e-05
30-0.466055-4.27152.5e-05
31-0.424946-3.89479.8e-05
32-0.310157-2.84260.002808
33-0.163223-1.4960.069205
34-0.0505-0.46280.322337
350.0278560.25530.399557
360.0968080.88730.188736
370.050840.4660.321226
38-0.01099-0.10070.460004
39-0.097101-0.88990.188019
40-0.169871-1.55690.061628
41-0.195601-1.79270.03831
42-0.174553-1.59980.056698
43-0.124358-1.13980.128812
44-0.052743-0.48340.315035
450.0266590.24430.403784
460.0924380.84720.199644
470.127671.17010.122632
480.1601581.46790.072937


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8160497.47920
2-0.071901-0.6590.255854
3-0.167855-1.53840.063853
4-0.394436-3.61510.000255
50.156411.43350.07771
60.3790183.47380.000407
7-0.108229-0.99190.162039
80.1101371.00940.157836
90.3386273.10360.001303
100.0806680.73930.230882
11-0.178847-1.63920.05246
120.1022660.93730.175651
13-0.530205-4.85943e-06
14-0.180731-1.65640.050683
15-0.153986-1.41130.080924
160.2100911.92550.028774
17-0.080617-0.73890.231024
18-0.092828-0.85080.198655
19-0.023718-0.21740.41422
200.017740.16260.435617
21-0.127704-1.17040.12257
22-0.014793-0.13560.446239
23-0.058053-0.53210.298042
24-0.0252-0.2310.408952
250.0404420.37070.355914
260.0942590.86390.195053
270.0710670.65130.258301
28-0.035506-0.32540.372839
29-0.041025-0.3760.353931
30-0.087487-0.80180.212456
31-0.011618-0.10650.457728
32-0.048546-0.44490.328758
33-0.049526-0.45390.325531
34-0.051565-0.47260.31886
350.0731890.67080.252098
360.0958220.87820.191164
370.0332870.30510.380531
38-0.059709-0.54720.292831
39-0.145204-1.33080.093425
400.041570.3810.352083
410.0964680.88410.189572
42-0.173067-1.58620.058227
43-0.032339-0.29640.383832
44-0.118157-1.08290.14097
450.0448860.41140.340917
46-0.05496-0.50370.307889
470.05860.53710.296317
480.019910.18250.427822
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/17/t1282060633e4plrd4025dkjl8/1y1o01282060652.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/17/t1282060633e4plrd4025dkjl8/1y1o01282060652.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/17/t1282060633e4plrd4025dkjl8/2y1o01282060652.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/17/t1282060633e4plrd4025dkjl8/2y1o01282060652.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
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')
 




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Creative Commons License

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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