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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: Sat, 18 Dec 2010 09:15:00 +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/18/t1292663600mi3peowgfaexjyq.htm/, Retrieved Sat, 18 Dec 2010 10:13:23 +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/18/t1292663600mi3peowgfaexjyq.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 «

0.6923 0.6886 0.6855 0.6745 0.6769 0.6758 0.6896 0.6843 0.6818 0.6774 0.6821 0.6885 0.6829 0.6796 0.6976 0.6924 0.6849 0.6921 0.6839 0.6727 0.6776 0.6692 0.6738 0.6740 0.6635 0.6737 0.6788 0.6828 0.6795 0.6740 0.6744 0.6764 0.6987 0.6967 0.7116 0.7357 0.7455 0.7639 0.7958 0.7864 0.7853 0.7903 0.7866 0.8039 0.7916 0.7903 0.8242 0.9567 0.8850 0.8865 0.9258 0.8948 0.8762 0.8527 0.8536 0.8805 0.9155 0.8961 0.9127 0.8857

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	15 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.410167	-2.7819	0.003905
2	0.109084	0.7398	0.231576
3	-0.094284	-0.6395	0.262846
4	0.066864	0.4535	0.326162
5	-0.048963	-0.3321	0.370668
6	-0.025548	-0.1733	0.431598
7	0.022981	0.1559	0.43841
8	-0.127727	-0.8663	0.195414
9	0.234284	1.589	0.059456
10	-0.244738	-1.6599	0.05187
11	0.3608	2.4471	0.009141
12	-0.208618	-1.4149	0.081913
13	0.011349	0.077	0.469489
14	-0.1019	-0.6911	0.246482
15	0.121264	0.8225	0.207531
16	-0.022992	-0.1559	0.438382
17	-0.03572	-0.2423	0.404826
18	0.002258	0.0153	0.493924
19	-0.018523	-0.1256	0.450286
20	0.080704	0.5474	0.293388
21	-0.078931	-0.5353	0.297497
22	0.080816	0.5481	0.293129
23	-0.047411	-0.3216	0.374624
24	-0.006923	-0.047	0.481375
25	-0.012666	-0.0859	0.465957
26	0.018796	0.1275	0.449558
27	2.9e-05	2e-04	0.499921
28	-0.02577	-0.1748	0.43101
29	-0.068737	-0.4662	0.321638
30	0.078054	0.5294	0.29954
31	-0.042079	-0.2854	0.388312
32	-0.027384	-0.1857	0.426739
33	0.085232	0.5781	0.283017
34	-0.096359	-0.6535	0.258332
35	0.01573	0.1067	0.457752
36	0.01666	0.113	0.455265
37	-0.01508	-0.1023	0.459491
38	-0.012804	-0.0868	0.465588
39	-0.004594	-0.0312	0.48764
40	-0.043827	-0.2972	0.383808
41	0.048296	0.3276	0.372365
42	-0.014995	-0.1017	0.459718
43	0.001668	0.0113	0.495512
44	0.019635	0.1332	0.447319
45	-0.037767	-0.2561	0.399489
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.410167	-2.7819	0.003905
2	-0.071117	-0.4823	0.315926
3	-0.091268	-0.619	0.269483
4	-0.000577	-0.0039	0.498448
5	-0.024241	-0.1644	0.435064
6	-0.069955	-0.4745	0.318708
7	-0.01443	-0.0979	0.461231
8	-0.155495	-1.0546	0.148553
9	0.146951	0.9967	0.16207
10	-0.117538	-0.7972	0.214721
11	0.270289	1.8332	0.036625
12	0.047572	0.3226	0.374211
13	-0.095909	-0.6505	0.259308
14	-0.130506	-0.8851	0.190344
15	0.018346	0.1244	0.45076
16	0.054605	0.3703	0.356412
17	0.025223	0.1711	0.432459
18	-0.063338	-0.4296	0.334755
19	0.034656	0.235	0.407608
20	-0.065287	-0.4428	0.329994
21	0.020706	0.1404	0.444466
22	-0.020337	-0.1379	0.445448
23	0.062664	0.425	0.336407
24	-0.011925	-0.0809	0.467945
25	0.023437	0.159	0.437198
26	-0.060296	-0.4089	0.342238
27	-0.017667	-0.1198	0.452571
28	-0.021039	-0.1427	0.443578
29	-0.072009	-0.4884	0.313797
30	0.016743	0.1136	0.455041
31	-0.049734	-0.3373	0.368708
32	-0.085294	-0.5785	0.282877
33	0.094867	0.6434	0.261573
34	-0.104682	-0.71	0.240649
35	-0.022749	-0.1543	0.439028
36	-0.007076	-0.048	0.480965
37	-0.019051	-0.1292	0.448877
38	-0.005599	-0.038	0.484937
39	-0.055028	-0.3732	0.355349
40	-0.019275	-0.1307	0.448279
41	-0.009615	-0.0652	0.474143
42	-0.054534	-0.3699	0.356589
43	0.054294	0.3682	0.357193
44	-0.032054	-0.2174	0.414429
45	-0.011607	-0.0787	0.468798
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292663600mi3peowgfaexjyq/10f2a1292663685.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292663600mi3peowgfaexjyq/10f2a1292663685.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292663600mi3peowgfaexjyq/2s72u1292663685.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292663600mi3peowgfaexjyq/2s72u1292663685.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292663600mi3peowgfaexjyq/3s72u1292663685.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292663600mi3peowgfaexjyq/3s72u1292663685.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; 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')

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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