paper tijdreeks 4 autocorr 1
| Summary of compuational transaction | |
| Raw Input | view raw input (R code) |
| Raw Output | view raw output of R engine |
| Computing time | 1 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 | 0.349572 | 2.7078 | 0.004406 |
| 2 | 0.152249 | 1.1793 | 0.121464 |
| 3 | 0.462404 | 3.5818 | 0.000342 |
| 4 | 0.075802 | 0.5872 | 0.27965 |
| 5 | 0.182658 | 1.4149 | 0.081139 |
| 6 | 0.487536 | 3.7764 | 0.000184 |
| 7 | 0.074519 | 0.5772 | 0.282974 |
| 8 | 0.125015 | 0.9684 | 0.168376 |
| 9 | 0.3404 | 2.6367 | 0.005321 |
| 10 | 0.033235 | 0.2574 | 0.398861 |
| 11 | 0.29272 | 2.2674 | 0.01349 |
| 12 | 0.586027 | 4.5393 | 1.4e-05 |
| 13 | 0.134 | 1.038 | 0.151728 |
| 14 | 0.112964 | 0.875 | 0.192526 |
| 15 | 0.200575 | 1.5536 | 0.062764 |
| 16 | -0.093721 | -0.726 | 0.764657 |
| 17 | 0.064269 | 0.4978 | 0.310213 |
| 18 | 0.149322 | 1.1566 | 0.126001 |
| 19 | -0.117045 | -0.9066 | 0.815885 |
| 20 | -0.046254 | -0.3583 | 0.639304 |
| 21 | -0.01333 | -0.1033 | 0.540948 |
| 22 | -0.164819 | -1.2767 | 0.896683 |
| 23 | 0.054582 | 0.4228 | 0.33698 |
| 24 | 0.152716 | 1.1829 | 0.120751 |
| 25 | -0.046416 | -0.3595 | 0.639771 |
| 26 | -0.067842 | -0.5255 | 0.699414 |
| 27 | -0.12683 | -0.9824 | 0.835081 |
| 28 | -0.263166 | -2.0385 | 0.977042 |
| 29 | -0.170912 | -1.3239 | 0.904718 |
| 30 | -0.116341 | -0.9012 | 0.81445 |
| 31 | -0.210528 | -1.6307 | 0.945908 |
| 32 | -0.17431 | -1.3502 | 0.908989 |
| 33 | -0.172062 | -1.3328 | 0.906179 |
| 34 | -0.228223 | -1.7678 | 0.958911 |
| 35 | -0.123199 | -0.9543 | 0.828119 |
| 36 | -0.001634 | -0.0127 | 0.505029 |
| 37 | -0.126459 | -0.9795 | 0.834378 |
| 38 | -0.181516 | -1.406 | 0.917562 |
| 39 | -0.142871 | -1.1067 | 0.863574 |
| 40 | -0.239789 | -1.8574 | 0.965918 |
| 41 | -0.208492 | -1.615 | 0.944218 |
| 42 | -0.099801 | -0.7731 | 0.778737 |
| 43 | -0.162158 | -1.2561 | 0.893021 |
| 44 | -0.192769 | -1.4932 | 0.929685 |
| 45 | -0.162984 | -1.2625 | 0.894167 |
| 46 | -0.161309 | -1.2495 | 0.891832 |
| 47 | -0.089768 | -0.6953 | 0.755238 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.349572 | 2.7078 | 0.004406 |
| 1 | 0.034231 | 0.2652 | 0.3959 |
| 2 | 0.455122 | 3.5254 | 0.000408 |
| 3 | -0.307873 | -2.3848 | 0.989867 |
| 4 | 0.386298 | 2.9923 | 0.002008 |
| 5 | 0.120083 | 0.9302 | 0.178008 |
| 6 | -0.106135 | -0.8221 | 0.792867 |
| 7 | 0.072764 | 0.5636 | 0.287555 |
| 8 | 0.026944 | 0.2087 | 0.417692 |
| 9 | 0.014974 | 0.116 | 0.454025 |
| 10 | 0.302848 | 2.3459 | 0.011153 |
| 11 | 0.282364 | 2.1872 | 0.016319 |
| 12 | -0.123195 | -0.9543 | 0.82811 |
| 13 | -0.163565 | -1.267 | 0.894968 |
| 14 | -0.200983 | -1.5568 | 0.937612 |
| 15 | -0.060435 | -0.4681 | 0.679305 |
| 16 | -0.155874 | -1.2074 | 0.883991 |
| 17 | -0.160931 | -1.2466 | 0.891299 |
| 18 | -0.003001 | -0.0232 | 0.509234 |
| 19 | -0.174999 | -1.3555 | 0.909836 |
| 20 | -0.060343 | -0.4674 | 0.679052 |
| 21 | -0.074778 | -0.5792 | 0.717697 |
| 22 | -0.019829 | -0.1536 | 0.560779 |
| 23 | -0.003138 | -0.0243 | 0.509656 |
| 24 | 0.083148 | 0.6441 | 0.260995 |
| 25 | -0.06655 | -0.5155 | 0.695949 |
| 26 | -0.044536 | -0.345 | 0.634339 |
| 27 | -0.100807 | -0.7808 | 0.781018 |
| 28 | -0.060462 | -0.4683 | 0.67938 |
| 29 | 0.078949 | 0.6115 | 0.271576 |
| 30 | 0.02001 | 0.155 | 0.438673 |
| 31 | 0.151087 | 1.1703 | 0.123252 |
| 32 | 0.057927 | 0.4487 | 0.327632 |
| 33 | 0.036691 | 0.2842 | 0.388614 |
| 34 | -0.040849 | -0.3164 | 0.623607 |
| 35 | 0.110222 | 0.8538 | 0.198311 |
| 36 | -0.145173 | -1.1245 | 0.867361 |
| 37 | 0.028473 | 0.2206 | 0.413095 |
| 38 | 0.058165 | 0.4505 | 0.32697 |
| 39 | 0.038141 | 0.2954 | 0.384339 |
| 40 | 0.023445 | 0.1816 | 0.428253 |
| 41 | -0.060222 | -0.4665 | 0.678717 |
| 42 | 0.06752 | 0.523 | 0.301448 |
| 43 | -0.181936 | -1.4093 | 0.918041 |
| 44 | -0.111739 | -0.8655 | 0.804901 |
| 45 | 0.049296 | 0.3818 | 0.351963 |
| 46 | -0.047931 | -0.3713 | 0.644128 |
| 47 | -0.039447 | -0.3056 | 0.619498 |
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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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