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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: Mon, 27 Dec 2010 14:52:24 +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/27/t1293461494fw60ewy7wbmtc42.htm/, Retrieved Mon, 27 Dec 2010 15:51:34 +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/27/t1293461494fw60ewy7wbmtc42.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 «

16 17 23 24 27 31 40 47 43 60 64 65 65 55 57 57 57 65 69 70 71 71 73 68 65 57 41 21 21 17 9 11 6 -2 0 5 3 7 4 8 9 14 12 12 7 15 14 19 39 12 11 17 16 25 24 28 25 31 24 24

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.944801	7.3184	0
2	0.889427	6.8895	0
3	0.827109	6.4068	0
4	0.739387	5.7273	0
5	0.662083	5.1285	2e-06
6	0.573183	4.4399	2e-05
7	0.482718	3.7391	0.000207
8	0.38627	2.992	0.002009
9	0.295925	2.2922	0.012708
10	0.213388	1.6529	0.051788
11	0.142264	1.102	0.137438
12	0.075807	0.5872	0.279637
13	0.006147	0.0476	0.481092
14	-0.072132	-0.5587	0.289212
15	-0.149141	-1.1552	0.126286
16	-0.213024	-1.6501	0.052076
17	-0.274886	-2.1293	0.018673
18	-0.330903	-2.5632	0.006449
19	-0.363898	-2.8187	0.003261
20	-0.394238	-3.0538	0.001684
21	-0.414431	-3.2102	0.001066
22	-0.403136	-3.1227	0.001379
23	-0.389598	-3.0178	0.001867
24	-0.376939	-2.9198	0.002464
25	-0.353864	-2.741	0.004029
26	-0.3304	-2.5593	0.006514
27	-0.312097	-2.4175	0.009342
28	-0.289609	-2.2433	0.014291
29	-0.263492	-2.041	0.022829
30	-0.240135	-1.8601	0.033889
31	-0.21952	-1.7004	0.047117
32	-0.203046	-1.5728	0.060513
33	-0.184182	-1.4267	0.07943
34	-0.168274	-1.3034	0.098702
35	-0.149882	-1.161	0.125124
36	-0.122018	-0.9451	0.174188
37	-0.109391	-0.8473	0.200088
38	-0.094214	-0.7298	0.234182
39	-0.084715	-0.6562	0.257101
40	-0.082914	-0.6422	0.26158
41	-0.062804	-0.4865	0.314201
42	-0.049131	-0.3806	0.352435
43	-0.038974	-0.3019	0.381888
44	-0.028265	-0.2189	0.413719
45	-0.022351	-0.1731	0.431565
46	-0.013839	-0.1072	0.457496
47	-0.013812	-0.107	0.457577
48	-0.005703	-0.0442	0.482456

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.944801	7.3184	0
2	-0.030017	-0.2325	0.408467
3	-0.094049	-0.7285	0.234571
4	-0.273149	-2.1158	0.01926
5	0.049134	0.3806	0.352425
6	-0.135241	-1.0476	0.149518
7	-0.029978	-0.2322	0.408584
8	-0.164176	-1.2717	0.104194
9	0.047829	0.3705	0.356163
10	-0.010325	-0.08	0.468261
11	0.097497	0.7552	0.226538
12	-0.083343	-0.6456	0.260508
13	-0.09677	-0.7496	0.22822
14	-0.238728	-1.8492	0.03468
15	-0.052337	-0.4054	0.343313
16	0.032585	0.2524	0.400797
17	-0.006828	-0.0529	0.478998
18	-0.079636	-0.6169	0.269832
19	0.161233	1.2489	0.108275
20	-0.004859	-0.0376	0.485051
21	0.049119	0.3805	0.35247
22	0.147794	1.1448	0.128418
23	-0.034894	-0.2703	0.393934
24	-0.198734	-1.5394	0.064484
25	-0.036513	-0.2828	0.38914
26	0.019916	0.1543	0.438958
27	-0.057393	-0.4446	0.329117
28	-0.025844	-0.2002	0.421005
29	0.041927	0.3248	0.373245
30	0.023038	0.1785	0.429484
31	-0.0293	-0.227	0.410615
32	-0.075797	-0.5871	0.279664
33	-0.016552	-0.1282	0.449206
34	-0.108793	-0.8427	0.201369
35	-0.071107	-0.5508	0.291911
36	0.109849	0.8509	0.199108
37	-0.054726	-0.4239	0.336576
38	-0.015814	-0.1225	0.451458
39	-0.067371	-0.5218	0.301848
40	0.094642	0.7331	0.233179
41	0.145271	1.1253	0.132478
42	-0.046892	-0.3632	0.358857
43	-0.048827	-0.3782	0.353305
44	-0.048261	-0.3738	0.354924
45	-0.077602	-0.6011	0.275018
46	0.049576	0.384	0.351163
47	-0.08807	-0.6822	0.248873
48	0.010258	0.0795	0.468466

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293461494fw60ewy7wbmtc42/1wth11293461540.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293461494fw60ewy7wbmtc42/1wth11293461540.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293461494fw60ewy7wbmtc42/2wth11293461540.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293461494fw60ewy7wbmtc42/2wth11293461540.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')

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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