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Autocorrelation eigen reeks

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 25 Jan 2010 08:56:01 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/25/t12644350516y3ns5d9i94phdq.htm/, Retrieved Mon, 25 Jan 2010 16:57:34 +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/Jan/25/t12644350516y3ns5d9i94phdq.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

76,3 71 85,9 109 83,4 101,3 81,6 84,8 88 88,4 85,2 139,5 85,3 79,4 131 91,4 88,2 113,2 81,9 89 95,7 93,2 98 140,5 93 82,1 86,3 84,8 85,7 110,8 87,4 100,4 100,4 99,4 108 161,7 109,3 99,9 110,3 97,5 102,4 122,3 104,4 122,7 127,3 128,4 125,3 187,1 131,4 125,6 142,9 116,6 129,7 155,4 138,7 167,7 155,8 157,1 159,9 244,6 154,3 143,2 147,3 155,1 152,2 166,5 161,2 180,1 169,2 164,5 166,2 267,3

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.58382	4.9539	2e-06
2	0.537051	4.557	1e-05
3	0.57465	4.8761	3e-06
4	0.506172	4.295	2.7e-05
5	0.437424	3.7117	0.000201
6	0.543168	4.6089	9e-06
7	0.391634	3.3231	0.000701
8	0.419613	3.5605	0.00033
9	0.439517	3.7294	0.00019
10	0.348547	2.9575	0.002096
11	0.369542	3.1357	0.001241
12	0.604531	5.1296	1e-06
13	0.287121	2.4363	0.008656
14	0.249924	2.1207	0.018697
15	0.256466	2.1762	0.016412
16	0.189234	1.6057	0.056359
17	0.125597	1.0657	0.145054
18	0.220564	1.8715	0.032666
19	0.084191	0.7144	0.238651
20	0.095047	0.8065	0.211304
21	0.131283	1.114	0.134497
22	0.031229	0.265	0.39589
23	0.039968	0.3391	0.367745
24	0.214973	1.8241	0.036143
25	-0.017819	-0.1512	0.440121
26	-0.039012	-0.331	0.370792
27	-0.052236	-0.4432	0.329463
28	-0.116776	-0.9909	0.162532
29	-0.154558	-1.3115	0.096933
30	-0.069617	-0.5907	0.278279
31	-0.171092	-1.4518	0.075456
32	-0.146242	-1.2409	0.109334
33	-0.127702	-1.0836	0.141082
34	-0.206253	-1.7501	0.04218
35	-0.188098	-1.5961	0.057428
36	-0.037178	-0.3155	0.376661
37	-0.216792	-1.8395	0.034979
38	-0.225118	-1.9102	0.030046
39	-0.220365	-1.8699	0.032784
40	-0.261227	-2.2166	0.014906
41	-0.272174	-2.3095	0.011894
42	-0.200477	-1.7011	0.046619
43	-0.282151	-2.3941	0.009633
44	-0.243193	-2.0636	0.021333
45	-0.224676	-1.9064	0.030292
46	-0.285694	-2.4242	0.008927
47	-0.262113	-2.2241	0.014639
48	-0.142295	-1.2074	0.115612

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.58382	4.9539	2e-06
2	0.297661	2.5257	0.006873
3	0.300719	2.5517	0.006422
4	0.096589	0.8196	0.20758
5	-0.003503	-0.0297	0.488185
6	0.239417	2.0315	0.022947
7	-0.127672	-1.0833	0.141137
8	0.09189	0.7797	0.219058
9	0.047671	0.4045	0.34352
10	-0.073595	-0.6245	0.267144
11	0.091895	0.7798	0.219046
12	0.429865	3.6475	0.000249
13	-0.402599	-3.4162	0.000524
14	-0.204555	-1.7357	0.043447
15	-0.162078	-1.3753	0.086655
16	-0.042474	-0.3604	0.3598
17	-0.046614	-0.3955	0.346811
18	0.022024	0.1869	0.426141
19	0.015869	0.1347	0.446631
20	-0.048304	-0.4099	0.341559
21	0.070039	0.5943	0.277087
22	-0.038755	-0.3288	0.371614
23	-0.047785	-0.4055	0.343167
24	0.054716	0.4643	0.321925
25	-0.01756	-0.149	0.440983
26	-0.016641	-0.1412	0.444052
27	-0.11528	-0.9782	0.16563
28	-0.069223	-0.5874	0.279393
29	-0.021402	-0.1816	0.428201
30	-0.028155	-0.2389	0.405931
31	0.048379	0.4105	0.341325
32	0.022023	0.1869	0.426142
33	-0.066536	-0.5646	0.287058
34	-0.003441	-0.0292	0.488393
35	-0.003463	-0.0294	0.48832
36	0.063403	0.538	0.29612
37	-0.057778	-0.4903	0.312721
38	-0.036917	-0.3133	0.377497
39	0.02055	0.1744	0.43103
40	0.004589	0.0389	0.484523
41	0.030453	0.2584	0.398418
42	-0.068	-0.577	0.28287
43	-0.060306	-0.5117	0.305208
44	-0.008342	-0.0708	0.471882
45	-0.006148	-0.0522	0.479271
46	0.001417	0.012	0.495222
47	-0.046066	-0.3909	0.348519
48	-0.019878	-0.1687	0.433266

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644350516y3ns5d9i94phdq/1kk841264434959.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644350516y3ns5d9i94phdq/1kk841264434959.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644350516y3ns5d9i94phdq/2k82u1264434959.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644350516y3ns5d9i94phdq/2k82u1264434959.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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