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Autocorrelatie

*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: Wed, 15 Dec 2010 14:41:42 +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/Dec/15/t1292424026f4ljund5shm5js6.htm/, Retrieved Wed, 15 Dec 2010 15:40:29 +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/2010/Dec/15/t1292424026f4ljund5shm5js6.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:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
2 1 -8 -1 1 -1 2 2 1 -1 -2 -2 -1 -8 -4 -6 -3 -3 -7 -9 -11 -13 -11 -9 -17 -22 -25 -20 -24 -24 -22 -19 -18 -17 -11 -11 -12 -10 -15 -15 -15 -13 -8 -13 -9 -7 -4 -4 -2 0
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8686156.1420
20.7765855.49131e-06
30.7268335.13952e-06
40.6414834.5361.8e-05
50.5524163.90620.000141
60.4612753.26170.000999
70.3893132.75290.004106
80.2904822.0540.022611
90.1983041.40220.083514
100.1515271.07150.144554
110.1279710.90490.184932
120.0549180.38830.349712
13-0.028829-0.20390.419647
14-0.098556-0.69690.244548
15-0.173265-1.22520.113126
16-0.262817-1.85840.034502
17-0.331197-2.34190.011605
18-0.400936-2.8350.003298
19-0.44448-3.14290.001406
20-0.498193-3.52280.000461
21-0.524012-3.70530.000264
22-0.491944-3.47860.000527
23-0.468887-3.31550.000854
24-0.453951-3.20990.00116
25-0.411472-2.90950.002695
26-0.350475-2.47820.008312
27-0.307592-2.1750.017193
28-0.275107-1.94530.028686
29-0.232264-1.64240.053396
30-0.166162-1.17490.122791
31-0.133003-0.94050.175747
32-0.116613-0.82460.206764
33-0.090054-0.63680.263587
34-0.059441-0.42030.33803
35-0.04899-0.34640.365244
36-0.02538-0.17950.429149
370.0035490.02510.490039
380.0113870.08050.468073
390.0268890.19010.424988
400.0427270.30210.381905
410.0808020.57140.28516
420.0839120.59330.277811
430.0672380.47540.318271
440.0686780.48560.314675
450.0741730.52450.30113
460.0612020.43280.333523
470.0445420.3150.377053
480.0557330.39410.347594


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8686156.1420
20.0899880.63630.263738
30.1429681.01090.158457
4-0.125754-0.88920.189073
5-0.071649-0.50660.30732
6-0.109948-0.77750.220278
70.0157970.11170.455754
8-0.152537-1.07860.142972
9-0.042296-0.29910.38306
100.0814980.57630.283505
110.1358080.96030.170761
12-0.167082-1.18150.121506
13-0.154022-1.08910.140665
14-0.15306-1.08230.142156
15-0.093686-0.66250.25536
16-0.151153-1.06880.145143
17-0.031535-0.2230.412226
18-0.128503-0.90870.183947
190.1190150.84160.202019
20-0.072071-0.50960.30628
210.0458820.32440.37348
220.0898610.63540.264027
230.0622520.44020.330849
24-0.068687-0.48570.314655
250.0561230.39690.346583
260.0371120.26240.397037
270.0289220.20450.419392
28-0.063526-0.44920.327616
290.0065530.04630.481612
300.0909010.64280.261657
310.0104180.07370.470786
32-0.107458-0.75980.225459
33-0.146434-1.03540.152721
34-0.077183-0.54580.293827
35-0.074933-0.52990.299278
36-0.044364-0.31370.377526
37-0.087269-0.61710.269988
38-0.082532-0.58360.281059
390.0527940.37330.355247
400.0298120.21080.416949
410.0785260.55530.290596
42-0.107536-0.76040.225294
43-0.051918-0.36710.357542
440.0048370.03420.486427
450.0888340.62820.266382
460.023090.16330.435481
470.0175920.12440.45075
480.1302990.92140.180645
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/15/t1292424026f4ljund5shm5js6/1107o1292424099.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/15/t1292424026f4ljund5shm5js6/1107o1292424099.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/15/t1292424026f4ljund5shm5js6/2cr6q1292424099.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/15/t1292424026f4ljund5shm5js6/2cr6q1292424099.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/15/t1292424026f4ljund5shm5js6/3cr6q1292424099.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/15/t1292424026f4ljund5shm5js6/3cr6q1292424099.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 (par8 != '') par8 <- as.numeric(par8)
ox <- x
if (par8 == '') {
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
} else {
x <- log(x,base=par8)
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='picts.png')
op <- par(mfrow=c(2,1))
plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')
if (par8=='') {
mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
} else {
mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
}
plot(x,type='l', main=mytitle,xlab='time',ylab='value')
par(op)
dev.off()
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)
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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