Gemiddeldegrafieken voor tijdreeksen, 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: Sat, 28 May 2011 16:22:00 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb.htm/, Retrieved Sat, 28 May 2011 18:18:28 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 577 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564 558 575 580 575 563 552 537 545 601 604 586 564 549 551 556

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 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.884091 9.2302 0 2 0.717057 7.4863 0 3 0.596569 6.2284 0 4 0.538026 5.6172 0 5 0.524766 5.4787 0 6 0.487347 5.0881 1e-06 7 0.437482 4.5674 7e-06 8 0.367918 3.8412 0.000103 9 0.338191 3.5308 0.000304 10 0.367331 3.8351 0.000105 11 0.436309 4.5552 7e-06 12 0.45934 4.7956 3e-06 13 0.321994 3.3617 0.000535 14 0.146554 1.5301 0.064449 15 0.01434 0.1497 0.440634 16 -0.054705 -0.5711 0.28454 17 -0.082962 -0.8662 0.194155 18 -0.128271 -1.3392 0.091647 19 -0.175652 -1.8339 0.034702 20 -0.232139 -2.4236 0.008507 21 -0.246152 -2.5699 0.005761 22 -0.209435 -2.1866 0.015456 23 -0.142645 -1.4893 0.069653 24 -0.113285 -1.1827 0.119745 25 -0.215904 -2.2541 0.013095 26 -0.345552 -3.6077 0.000234 27 -0.433582 -4.5267 8e-06 28 -0.467946 -4.8855 2e-06 29 -0.465457 -4.8595 2e-06 30 -0.474302 -4.9519 1e-06 31 -0.481066 -5.0225 1e-06 32 -0.489842 -5.1141 1e-06 33 -0.457495 -4.7764 3e-06 34 -0.382155 -3.9898 6e-05 35 -0.287139 -2.9978 0.001684 36 -0.231368 -2.4156 0.008687 37 -0.294805 -3.0779 0.001319 38 -0.375726 -3.9227 7.7e-05 39 -0.418023 -4.3643 1.5e-05 40 -0.412285 -4.3044 1.8e-05 41 -0.379513 -3.9622 6.6e-05 42 -0.363312 -3.7931 0.000122 43 -0.342262 -3.5733 0.000263 44 -0.32488 -3.3918 0.000484 45 -0.272663 -2.8467 0.00264 46 -0.190437 -1.9882 0.024647 47 -0.098439 -1.0277 0.153176 48 -0.037293 -0.3894 0.348888 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.884091 9.2302 0 2 -0.295627 -3.0864 0.001284 3 0.183526 1.9161 0.028988 4 0.118311 1.2352 0.109706 5 0.119157 1.244 0.108078 6 -0.143409 -1.4972 0.068611 7 0.083762 0.8745 0.191883 8 -0.130498 -1.3624 0.087934 9 0.229615 2.3972 0.00911 10 0.102593 1.0711 0.143244 11 0.229149 2.3924 0.009225 12 -0.248206 -2.5913 0.005434 13 -0.570893 -5.9603 0 14 -0.014269 -0.149 0.440926 15 -0.068367 -0.7138 0.238446 16 -0.043821 -0.4575 0.324111 17 -0.068704 -0.7173 0.237364 18 -0.006676 -0.0697 0.47228 19 0.054401 0.568 0.285613 20 -0.005306 -0.0554 0.477964 21 0.063599 0.664 0.254047 22 -0.051448 -0.5371 0.296135 23 0.01668 0.1741 0.431039 24 -0.017787 -0.1857 0.426511 25 -0.175749 -1.8349 0.034626 26 0.006731 0.0703 0.472053 27 -0.039899 -0.4166 0.338911 28 -0.079663 -0.8317 0.203696 29 -0.012949 -0.1352 0.446356 30 0.002339 0.0244 0.490282 31 0.001883 0.0197 0.492175 32 -0.001253 -0.0131 0.494795 33 0.039923 0.4168 0.338821 34 -0.00449 -0.0469 0.481349 35 -0.002498 -0.0261 0.48962 36 -0.038379 -0.4007 0.344718 37 -0.134302 -1.4022 0.081855 38 0.036844 0.3847 0.350617 39 -0.034965 -0.365 0.357892 40 -0.004087 -0.0427 0.48302 41 -0.057172 -0.5969 0.275909 42 -0.018863 -0.1969 0.422123 43 0.010047 0.1049 0.458325 44 -0.052975 -0.5531 0.290671 45 -0.020348 -0.2124 0.416081 46 -0.080411 -0.8395 0.201509 47 -0.011475 -0.1198 0.452431 48 0.054957 0.5738 0.283653

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb/1qs631306599719.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb/1qs631306599719.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb/2plds1306599719.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb/2plds1306599719.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb/38zom1306599719.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/28/t1306599506458cml7go74rpvb/38zom1306599719.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')

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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