Paper: tijdreeks 1: autocorrelatie
| Summary of compuational transaction | |
| Raw Input | view raw input (R code) |
| Raw Output | view raw output of R engine |
| Computing time | 2 seconds |
| R Server | 'Gwilym Jenkins' @ 72.249.127.135 |
| Autocorrelation Function | |||
| Time lag k | ACF(k) | T-STAT | P-value |
| 0 | 1 | 7.746 | 0 |
| 1 | 0.417755 | 3.2359 | 0.000988 |
| 2 | 0.191725 | 1.4851 | 0.071377 |
| 3 | 0.366465 | 2.8386 | 0.003087 |
| 4 | 0.338328 | 2.6207 | 0.005551 |
| 5 | 0.348342 | 2.6982 | 0.004519 |
| 6 | 0.510067 | 3.951 | 0.000104 |
| 7 | 0.283965 | 2.1996 | 0.01585 |
| 8 | 0.330571 | 2.5606 | 0.006492 |
| 9 | 0.217368 | 1.6837 | 0.048715 |
| 10 | -0.029094 | -0.2254 | 0.588767 |
| 11 | 0.20114 | 1.558 | 0.062243 |
| 12 | 0.553508 | 4.2875 | 3.3e-05 |
| 13 | 0.106414 | 0.8243 | 0.206522 |
| 14 | -0.020359 | -0.1577 | 0.56239 |
| 15 | 0.025003 | 0.1937 | 0.423545 |
| 16 | 0.018818 | 0.1458 | 0.442297 |
| 17 | 0.079201 | 0.6135 | 0.270936 |
| 18 | 0.143648 | 1.1127 | 0.13514 |
| 19 | -0.03451 | -0.2673 | 0.604926 |
| 20 | 0.056606 | 0.4385 | 0.33131 |
| 21 | -0.062241 | -0.4821 | 0.684262 |
| 22 | -0.25388 | -1.9665 | 0.973067 |
| 23 | -0.038933 | -0.3016 | 0.617991 |
| 24 | 0.154562 | 1.1972 | 0.117962 |
| 25 | -0.114356 | -0.8858 | 0.810368 |
| 26 | -0.168076 | -1.3019 | 0.901038 |
| 27 | -0.211883 | -1.6412 | 0.94701 |
| 28 | -0.16129 | -1.2493 | 0.891805 |
| 29 | -0.096047 | -0.744 | 0.770104 |
| 30 | -0.072381 | -0.5607 | 0.711443 |
| 31 | -0.160399 | -1.2424 | 0.890547 |
| 32 | -0.108105 | -0.8374 | 0.797149 |
| 33 | -0.192185 | -1.4887 | 0.929092 |
| 34 | -0.283916 | -2.1992 | 0.984136 |
| 35 | -0.157303 | -1.2185 | 0.886092 |
| 36 | -0.032322 | -0.2504 | 0.59842 |
| 37 | -0.164949 | -1.2777 | 0.89686 |
| 38 | -0.216958 | -1.6806 | 0.950975 |
| 39 | -0.237278 | -1.8379 | 0.964489 |
| 40 | -0.204807 | -1.5864 | 0.941051 |
| 41 | -0.167431 | -1.2969 | 0.900187 |
| 42 | -0.114964 | -0.8905 | 0.811625 |
| 43 | -0.157762 | -1.222 | 0.886761 |
| 44 | -0.139554 | -1.081 | 0.857984 |
| 45 | -0.184892 | -1.4322 | 0.921357 |
| 46 | -0.20598 | -1.5955 | 0.942074 |
| 47 | -0.15371 | -1.1906 | 0.880757 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.417755 | 3.2359 | 0.000988 |
| 1 | 0.020843 | 0.1615 | 0.43614 |
| 2 | 0.338536 | 2.6223 | 0.005527 |
| 3 | 0.098747 | 0.7649 | 0.223667 |
| 4 | 0.22663 | 1.7555 | 0.042141 |
| 5 | 0.33856 | 2.6225 | 0.005524 |
| 6 | -0.087159 | -0.6751 | 0.748906 |
| 7 | 0.259842 | 2.0127 | 0.024319 |
| 8 | -0.312953 | -2.4241 | 0.990812 |
| 9 | -0.337347 | -2.6131 | 0.994338 |
| 10 | 0.048821 | 0.3782 | 0.353322 |
| 11 | 0.37502 | 2.9049 | 0.002569 |
| 12 | -0.29852 | -2.3123 | 0.987896 |
| 13 | -0.132224 | -1.0242 | 0.845075 |
| 14 | -0.169688 | -1.3144 | 0.903142 |
| 15 | 0.117256 | 0.9083 | 0.183688 |
| 16 | 0.00449 | 0.0348 | 0.486186 |
| 17 | -0.006592 | -0.0511 | 0.520277 |
| 18 | -0.051501 | -0.3989 | 0.654318 |
| 19 | -0.042632 | -0.3302 | 0.628811 |
| 20 | 0.105262 | 0.8154 | 0.209047 |
| 21 | -0.005499 | -0.0426 | 0.516918 |
| 22 | -0.015252 | -0.1181 | 0.546826 |
| 23 | -0.189403 | -1.4671 | 0.926216 |
| 24 | 0.043734 | 0.3388 | 0.367986 |
| 25 | -0.003913 | -0.0303 | 0.512038 |
| 26 | -0.052643 | -0.4078 | 0.657553 |
| 27 | 0.003201 | 0.0248 | 0.490149 |
| 28 | -0.136186 | -1.0549 | 0.852148 |
| 29 | 0.122224 | 0.9467 | 0.173784 |
| 30 | 0.037837 | 0.2931 | 0.385234 |
| 31 | -0.066875 | -0.518 | 0.696822 |
| 32 | 0.01696 | 0.1314 | 0.447961 |
| 33 | -0.035411 | -0.2743 | 0.607598 |
| 34 | 0.000669 | 0.0052 | 0.497942 |
| 35 | -0.042668 | -0.3305 | 0.628916 |
| 36 | -0.069027 | -0.5347 | 0.702577 |
| 37 | -0.069603 | -0.5391 | 0.704108 |
| 38 | 0.051137 | 0.3961 | 0.346716 |
| 39 | -0.074112 | -0.5741 | 0.715968 |
| 40 | -0.029217 | -0.2263 | 0.589138 |
| 41 | -0.017177 | -0.1331 | 0.552702 |
| 42 | 0.063341 | 0.4906 | 0.312736 |
| 43 | 0.051192 | 0.3965 | 0.346561 |
| 44 | -0.035838 | -0.2776 | 0.608864 |
| 45 | 0.053998 | 0.4183 | 0.338622 |
| 46 | -0.085535 | -0.6626 | 0.744922 |
| 47 | -0.021468 | -0.1663 | 0.565755 |
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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 (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='lags',ylab='ACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
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