paper tijdreeks 2: autocorrelation
| 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 | 6.8557 | 0 |
| 1 | -0.537118 | -3.6823 | 0.999702 |
| 2 | -0.063555 | -0.4357 | 0.667478 |
| 3 | 0.430094 | 2.9486 | 0.00248 |
| 4 | -0.356449 | -2.4437 | 0.990827 |
| 5 | 0.062889 | 0.4311 | 0.334166 |
| 6 | 0.227017 | 1.5564 | 0.063166 |
| 7 | -0.347516 | -2.3824 | 0.989352 |
| 8 | 0.122179 | 0.8376 | 0.203243 |
| 9 | 0.187633 | 1.2863 | 0.102311 |
| 10 | -0.31654 | -2.1701 | 0.982456 |
| 11 | 0.115933 | 0.7948 | 0.215364 |
| 12 | 0.099451 | 0.6818 | 0.249354 |
| 13 | -0.306624 | -2.1021 | 0.979536 |
| 14 | 0.171077 | 1.1728 | 0.123384 |
| 15 | 0.104787 | 0.7184 | 0.238039 |
| 16 | -0.379822 | -2.6039 | 0.993852 |
| 17 | 0.302914 | 2.0767 | 0.021662 |
| 18 | 0.074411 | 0.5101 | 0.306173 |
| 19 | -0.297578 | -2.0401 | 0.976509 |
| 20 | 0.290938 | 1.9946 | 0.025954 |
| 21 | -0.047813 | -0.3278 | 0.627736 |
| 22 | -0.153371 | -1.0515 | 0.850787 |
| 23 | 0.306975 | 2.1045 | 0.020354 |
| 24 | -0.203434 | -1.3947 | 0.915164 |
| 25 | -0.047842 | -0.328 | 0.62781 |
| 26 | 0.249063 | 1.7075 | 0.047165 |
| 27 | -0.227034 | -1.5565 | 0.936847 |
| 28 | 0.097515 | 0.6685 | 0.253533 |
| 29 | 0.074745 | 0.5124 | 0.305376 |
| 30 | -0.163251 | -1.1192 | 0.865627 |
| 31 | 0.084168 | 0.577 | 0.283338 |
| 32 | -0.007151 | -0.049 | 0.519446 |
| 33 | -0.055991 | -0.3839 | 0.648592 |
| 34 | -0.027911 | -0.1913 | 0.57546 |
| 35 | 0.069433 | 0.476 | 0.318137 |
| 36 | -0.095626 | -0.6556 | 0.742353 |
| 37 | 0.054693 | 0.375 | 0.354689 |
| 38 | 0.036444 | 0.2499 | 0.401896 |
| 39 | -0.086682 | -0.5943 | 0.722407 |
| 40 | 0.056841 | 0.3897 | 0.349266 |
| 41 | 0.026997 | 0.1851 | 0.426981 |
| 42 | -0.083167 | -0.5702 | 0.71436 |
| 43 | 0.064403 | 0.4415 | 0.330428 |
| 44 | -0.017631 | -0.1209 | 0.547846 |
| 45 | 0.012671 | 0.0869 | 0.465572 |
| 46 | -0.001166 | -0.008 | 0.503172 |
| 47 | NA | NA | NA |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | -0.537118 | -3.6823 | 0.999702 |
| 1 | -0.494798 | -3.3922 | 0.999292 |
| 2 | 0.210868 | 1.4456 | 0.077457 |
| 3 | 0.071221 | 0.4883 | 0.313815 |
| 4 | -0.012958 | -0.0888 | 0.535205 |
| 5 | 0.101527 | 0.696 | 0.244919 |
| 6 | -0.130626 | -0.8955 | 0.812466 |
| 7 | -0.206315 | -1.4144 | 0.918086 |
| 8 | 0.057569 | 0.3947 | 0.347436 |
| 9 | 0.01938 | 0.1329 | 0.447433 |
| 10 | -0.123108 | -0.844 | 0.798525 |
| 11 | -0.097315 | -0.6672 | 0.746032 |
| 12 | -0.246077 | -1.687 | 0.950887 |
| 13 | -0.274203 | -1.8798 | 0.966832 |
| 14 | 0.029619 | 0.2031 | 0.419982 |
| 15 | -0.1657 | -1.136 | 0.869138 |
| 16 | -0.153404 | -1.0517 | 0.850839 |
| 17 | 0.111657 | 0.7655 | 0.223906 |
| 18 | 0.097463 | 0.6682 | 0.253646 |
| 19 | -0.000268 | -0.0018 | 0.50073 |
| 20 | -0.008781 | -0.0602 | 0.523873 |
| 21 | 0.028536 | 0.1956 | 0.42287 |
| 22 | 0.104364 | 0.7155 | 0.238926 |
| 23 | -0.022286 | -0.1528 | 0.560389 |
| 24 | -0.047615 | -0.3264 | 0.627226 |
| 25 | -0.076112 | -0.5218 | 0.697869 |
| 26 | -0.173494 | -1.1894 | 0.879875 |
| 27 | 0.085148 | 0.5837 | 0.281091 |
| 28 | 0.059568 | 0.4084 | 0.342425 |
| 29 | 0.043636 | 0.2992 | 0.38307 |
| 30 | 0.075465 | 0.5174 | 0.303665 |
| 31 | -0.153772 | -1.0542 | 0.851412 |
| 32 | 0.014168 | 0.0971 | 0.461518 |
| 33 | 0.046668 | 0.3199 | 0.375215 |
| 34 | 0.04438 | 0.3043 | 0.381138 |
| 35 | -0.05255 | -0.3603 | 0.639867 |
| 36 | -0.012144 | -0.0833 | 0.532999 |
| 37 | 0.012876 | 0.0883 | 0.465018 |
| 38 | 0.045053 | 0.3089 | 0.379392 |
| 39 | -0.0525 | -0.3599 | 0.639742 |
| 40 | -0.037071 | -0.2541 | 0.599755 |
| 41 | -0.000284 | -0.0019 | 0.500773 |
| 42 | -0.063122 | -0.4327 | 0.666409 |
| 43 | -0.068693 | -0.4709 | 0.680066 |
| 44 | 0.029499 | 0.2022 | 0.420304 |
| 45 | -0.116302 | -0.7973 | 0.785364 |
| 46 | NA | NA | NA |
| 47 | NA | NA | NA |
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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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