autocorrelation 2 - geboortes - Katja Coppens

*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, 12 Apr 2011 20:58:35 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z.htm/, Retrieved Tue, 12 Apr 2011 22:55:03 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

131676 135050 129070 137792 139762 142917 144198 142648 152170 136022 138142 138135 135027 132911 133976 137012 119610 118106 120383 133185 131416 134248 134397 127728 131837 125955 134187 143291 145074 149812 144668 147253 145568 155564 155872 156323 158010 155598 154785 157294 162938 157283 166074 169282 172552 174055 175409 173696 171283 173322 170717 174229 175339 173511 175839 173816 173990 174777 174819 176726 176199 180952 176663 182346 180605 182497 187856 190020 190108 193288 193230 199068 195076 191563 191067 186665 185508 184371 183046 175714 175768 171029 170465 170102 156389 124291 99360 86675 85056 128236 164257 162401 152779 156005 153387 153190 148840 144211 145953 145542 150271 147489 143824 134754 131736 126304 125511 125495 130133 126257 110323 98417 105749 120665 124075 127245 146731 144979 148210 144670 142970 142524 146142 146522 148128 148798 150181 152388 1556 etc...

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 3 seconds R Server 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.352417 4.6886 3e-06 2 0.017847 0.2374 0.406296 3 -0.198198 -2.6369 0.004556 4 -0.230974 -3.0729 0.001228 5 -0.15361 -2.0437 0.021235 6 -0.0494 -0.6572 0.255946 7 0.12406 1.6505 0.050306 8 -0.02332 -0.3103 0.378366 9 0.065349 0.8694 0.192899 10 -0.025543 -0.3398 0.367193 11 0.004196 0.0558 0.47777 12 -0.014496 -0.1929 0.423645 13 -0.064057 -0.8522 0.197621 14 -0.054288 -0.7223 0.235546 15 -0.077337 -1.0289 0.152465 16 -0.004367 -0.0581 0.47687 17 -0.056044 -0.7456 0.228443 18 0.085832 1.1419 0.127516 19 0.026671 0.3548 0.361567 20 -0.094678 -1.2596 0.104733 21 -0.112881 -1.5018 0.067468 22 -0.088021 -1.171 0.121578 23 0.156688 2.0846 0.019271 24 0.122376 1.6281 0.05264 25 0.1392 1.8519 0.03285 26 0.105276 1.4006 0.081541 27 0.038711 0.515 0.30359 28 -0.064427 -0.8571 0.196262 29 -0.079087 -1.0522 0.147076 30 -0.084306 -1.1216 0.131771 31 -0.101952 -1.3564 0.088352 32 0.036032 0.4794 0.31613 33 0.014536 0.1934 0.423436 34 0.029116 0.3874 0.349476 35 0.006572 0.0874 0.465213 36 -0.02494 -0.3318 0.370214 37 -0.022541 -0.2999 0.382306 38 0.028201 0.3752 0.353982 39 0.022279 0.2964 0.383636 40 -0.046285 -0.6158 0.269415 41 -0.058386 -0.7768 0.219165 42 -0.061662 -0.8204 0.206556 43 -0.066394 -0.8833 0.189131 44 0.019154 0.2548 0.399578 45 -0.004807 -0.064 0.474539 46 -0.028132 -0.3743 0.354327 47 0.013506 0.1797 0.428804 48 -0.042807 -0.5695 0.284866 49 -0.014538 -0.1934 0.42343 50 0.040464 0.5383 0.295511 51 0.028415 0.378 0.352929 52 -0.067406 -0.8968 0.185529 53 -0.022359 -0.2975 0.38323 54 -0.071259 -0.948 0.172201 55 -0.021521 -0.2863 0.387487 56 0.053574 0.7128 0.238468 57 0.062084 0.826 0.204965 58 0.027723 0.3688 0.356346 59 -0.025853 -0.344 0.365645 60 0.031146 0.4144 0.33955 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.352417 4.6886 3e-06 2 -0.121433 -1.6156 0.053986 3 -0.188271 -2.5048 0.006578 4 -0.108116 -1.4384 0.076044 5 -0.05093 -0.6776 0.249463 6 -0.02469 -0.3285 0.371468 7 0.106399 1.4155 0.079334 8 -0.187994 -2.5011 0.006645 9 0.122247 1.6264 0.052822 10 -0.081965 -1.0905 0.138495 11 0.045253 0.6021 0.273955 12 -0.026463 -0.3521 0.362605 13 -0.067921 -0.9036 0.183711 14 -0.040222 -0.5351 0.296619 15 -0.018261 -0.2429 0.404163 16 -0.037883 -0.504 0.307446 17 -0.058841 -0.7828 0.217388 18 0.084692 1.1268 0.130686 19 -0.06989 -0.9298 0.176864 20 -0.135496 -1.8027 0.036572 21 -0.044395 -0.5906 0.277759 22 -0.028924 -0.3848 0.350422 23 0.203539 2.7079 0.003717 24 -0.043792 -0.5826 0.280445 25 0.01147 0.1526 0.439445 26 0.133804 1.7801 0.038384 27 0.02103 0.2798 0.389985 28 -0.037769 -0.5025 0.307977 29 0.043287 0.5759 0.28271 30 -0.136744 -1.8193 0.03528 31 0.031003 0.4125 0.340248 32 0.049622 0.6602 0.254999 33 -0.094574 -1.2582 0.104984 34 -0.005459 -0.0726 0.47109 35 0.000212 0.0028 0.498878 36 -0.075901 -1.0098 0.156985 37 0.050658 0.674 0.250607 38 0.057439 0.7642 0.222889 39 -0.046167 -0.6142 0.269934 40 0.04704 0.6258 0.266116 41 -0.127365 -1.6945 0.045966 42 -0.025594 -0.3405 0.366938 43 0.024457 0.3254 0.372637 44 0.007357 0.0979 0.461069 45 -0.0873 -1.1615 0.123511 46 -0.033056 -0.4398 0.330317 47 -0.002121 -0.0282 0.488758 48 -0.079073 -1.052 0.147118 49 0.002774 0.0369 0.485303 50 -0.043563 -0.5796 0.281469 51 -0.049357 -0.6567 0.256127 52 -0.095853 -1.2752 0.101948 53 0.040075 0.5332 0.297293 54 -0.089869 -1.1956 0.116721 55 0.035848 0.4769 0.317 56 -0.002554 -0.034 0.486467 57 -0.000644 -0.0086 0.496589 58 -0.047837 -0.6364 0.262661 59 0.013919 0.1852 0.426649 60 0.063574 0.8458 0.199403

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z/156411302641912.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z/156411302641912.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z/2dzso1302641912.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z/2dzso1302641912.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z/3us011302641912.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t13026417008v3ioc7t3pqmx2z/3us011302641912.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 1 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 1 ; 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')

Copyright

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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