paper tijdreeks 3: autocorr 1
| 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 | 0.974524 | 7.5486 | 0 |
| 2 | 0.937017 | 7.2581 | 0 |
| 3 | 0.897976 | 6.9557 | 0 |
| 4 | 0.859406 | 6.6569 | 0 |
| 5 | 0.816373 | 6.3236 | 0 |
| 6 | 0.770022 | 5.9646 | 0 |
| 7 | 0.726013 | 5.6237 | 0 |
| 8 | 0.682925 | 5.2899 | 1e-06 |
| 9 | 0.636733 | 4.9321 | 3e-06 |
| 10 | 0.582572 | 4.5126 | 1.5e-05 |
| 11 | 0.522178 | 4.0448 | 7.6e-05 |
| 12 | 0.457181 | 3.5413 | 0.000389 |
| 13 | 0.387899 | 3.0047 | 0.001938 |
| 14 | 0.319278 | 2.4731 | 0.008122 |
| 15 | 0.254495 | 1.9713 | 0.026653 |
| 16 | 0.195084 | 1.5111 | 0.068005 |
| 17 | 0.14396 | 1.1151 | 0.134626 |
| 18 | 0.09409 | 0.7288 | 0.234475 |
| 19 | 0.044963 | 0.3483 | 0.364424 |
| 20 | -0.008722 | -0.0676 | 0.526819 |
| 21 | -0.060452 | -0.4683 | 0.679352 |
| 22 | -0.114021 | -0.8832 | 0.809674 |
| 23 | -0.169275 | -1.3112 | 0.902606 |
| 24 | -0.218798 | -1.6948 | 0.952351 |
| 25 | -0.257448 | -1.9942 | 0.974659 |
| 26 | -0.286224 | -2.2171 | 0.984791 |
| 27 | -0.31545 | -2.4435 | 0.991247 |
| 28 | -0.342701 | -2.6545 | 0.994923 |
| 29 | -0.363541 | -2.816 | 0.996714 |
| 30 | -0.385815 | -2.9885 | 0.997971 |
| 31 | -0.41152 | -3.1876 | 0.99886 |
| 32 | -0.436252 | -3.3792 | 0.999359 |
| 33 | -0.45196 | -3.5009 | 0.999559 |
| 34 | -0.460368 | -3.566 | 0.99964 |
| 35 | -0.466557 | -3.6139 | 0.999691 |
| 36 | -0.463169 | -3.5877 | 0.999664 |
| 37 | -0.450308 | -3.4881 | 0.999541 |
| 38 | -0.4346 | -3.3664 | 0.999333 |
| 39 | -0.42335 | -3.2793 | 0.999132 |
| 40 | -0.417189 | -3.2315 | 0.998999 |
| 41 | -0.410312 | -3.1783 | 0.998829 |
| 42 | -0.400835 | -3.1049 | 0.998548 |
| 43 | -0.385282 | -2.9844 | 0.997947 |
| 44 | -0.367906 | -2.8498 | 0.997006 |
| 45 | -0.347062 | -2.6883 | 0.995359 |
| 46 | -0.320749 | -2.4845 | 0.99211 |
| 47 | -0.286888 | -2.2222 | 0.984975 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.974524 | 7.5486 | 0 |
| 1 | -0.252097 | -1.9527 | 0.97224 |
| 2 | 0.006462 | 0.0501 | 0.480123 |
| 3 | -0.009699 | -0.0751 | 0.52982 |
| 4 | -0.121272 | -0.9394 | 0.824347 |
| 5 | -0.049207 | -0.3812 | 0.647782 |
| 6 | 0.04749 | 0.3679 | 0.357138 |
| 7 | -0.040099 | -0.3106 | 0.621413 |
| 8 | -0.090133 | -0.6982 | 0.756116 |
| 9 | -0.15803 | -1.2241 | 0.887149 |
| 10 | -0.112597 | -0.8722 | 0.806704 |
| 11 | -0.112127 | -0.8685 | 0.805717 |
| 12 | -0.111386 | -0.8628 | 0.804157 |
| 13 | 0.009468 | 0.0733 | 0.47089 |
| 14 | 0.026488 | 0.2052 | 0.419065 |
| 15 | 0.025791 | 0.1998 | 0.421165 |
| 16 | 0.106081 | 0.8217 | 0.207252 |
| 17 | -0.075784 | -0.587 | 0.720304 |
| 18 | -0.022664 | -0.1756 | 0.569383 |
| 19 | -0.141585 | -1.0967 | 0.861425 |
| 20 | 0.0367 | 0.2843 | 0.388587 |
| 21 | -0.100584 | -0.7791 | 0.780515 |
| 22 | -0.062791 | -0.4864 | 0.685763 |
| 23 | 0.085609 | 0.6631 | 0.254896 |
| 24 | 0.099627 | 0.7717 | 0.221658 |
| 25 | 0.023347 | 0.1808 | 0.42855 |
| 26 | -0.139809 | -1.083 | 0.858419 |
| 27 | -0.017685 | -0.137 | 0.554252 |
| 28 | 0.043677 | 0.3383 | 0.368151 |
| 29 | -0.15609 | -1.2091 | 0.88431 |
| 30 | -0.042491 | -0.3291 | 0.628401 |
| 31 | 0.070546 | 0.5464 | 0.293394 |
| 32 | 0.108776 | 0.8426 | 0.201407 |
| 33 | -0.012672 | -0.0982 | 0.538932 |
| 34 | -0.06676 | -0.5171 | 0.696514 |
| 35 | 0.123967 | 0.9602 | 0.170392 |
| 36 | 0.050869 | 0.394 | 0.347478 |
| 37 | -0.123579 | -0.9572 | 0.828857 |
| 38 | -0.06882 | -0.5331 | 0.702026 |
| 39 | -0.059913 | -0.4641 | 0.677866 |
| 40 | 0.040602 | 0.3145 | 0.377116 |
| 41 | 0.015437 | 0.1196 | 0.452609 |
| 42 | 0.067388 | 0.522 | 0.301801 |
| 43 | -0.026706 | -0.2069 | 0.581591 |
| 44 | -0.024871 | -0.1926 | 0.576057 |
| 45 | 0.002625 | 0.0203 | 0.491924 |
| 46 | 0.062466 | 0.4839 | 0.315123 |
| 47 | 0.010591 | 0.082 | 0.467444 |
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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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