paper: parameters zoeken autocorr
| 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 | 6.8557 | 0 |
| 1 | 0.372559 | 2.5541 | 0.006973 |
| 2 | -0.069789 | -0.4784 | 0.682726 |
| 3 | -0.269892 | -1.8503 | 0.964718 |
| 4 | -0.056644 | -0.3883 | 0.650238 |
| 5 | -0.071425 | -0.4897 | 0.686675 |
| 6 | -0.116036 | -0.7955 | 0.78484 |
| 7 | 0.074208 | 0.5087 | 0.306655 |
| 8 | 0.061749 | 0.4233 | 0.336994 |
| 9 | 0.071417 | 0.4896 | 0.313343 |
| 10 | 0.089994 | 0.617 | 0.270117 |
| 11 | 0.197819 | 1.3562 | 0.090761 |
| 12 | 0.06052 | 0.4149 | 0.34005 |
| 13 | -0.069947 | -0.4795 | 0.683108 |
| 14 | -0.216855 | -1.4867 | 0.928112 |
| 15 | -0.26895 | -1.8438 | 0.964241 |
| 16 | -0.182828 | -1.2534 | 0.891872 |
| 17 | 0.117793 | 0.8076 | 0.211709 |
| 18 | 0.194551 | 1.3338 | 0.094353 |
| 19 | 0.091978 | 0.6306 | 0.265689 |
| 20 | -0.055235 | -0.3787 | 0.646682 |
| 21 | -0.020382 | -0.1397 | 0.555266 |
| 22 | -0.079418 | -0.5445 | 0.705652 |
| 23 | -0.190429 | -1.3055 | 0.900964 |
| 24 | -0.07768 | -0.5325 | 0.701572 |
| 25 | -0.019461 | -0.1334 | 0.552783 |
| 26 | 0.026702 | 0.1831 | 0.427769 |
| 27 | -0.011121 | -0.0762 | 0.530224 |
| 28 | 0.153787 | 1.0543 | 0.148565 |
| 29 | 0.195196 | 1.3382 | 0.093635 |
| 30 | 0.040668 | 0.2788 | 0.390809 |
| 31 | -0.105945 | -0.7263 | 0.764378 |
| 32 | -0.145456 | -0.9972 | 0.838113 |
| 33 | -0.035006 | -0.24 | 0.59431 |
| 34 | -0.011703 | -0.0802 | 0.531803 |
| 35 | 0.026587 | 0.1823 | 0.428076 |
| 36 | 0.001158 | 0.0079 | 0.496849 |
| 37 | 0.011749 | 0.0805 | 0.468073 |
| 38 | 0.053938 | 0.3698 | 0.356603 |
| 39 | 0.065894 | 0.4517 | 0.326765 |
| 40 | 0.028222 | 0.1935 | 0.423708 |
| 41 | -0.048139 | -0.33 | 0.628576 |
| 42 | -0.070599 | -0.484 | 0.684685 |
| 43 | -0.077754 | -0.5331 | 0.701746 |
| 44 | -0.076421 | -0.5239 | 0.698601 |
| 45 | -0.060343 | -0.4137 | 0.659509 |
| 46 | -0.02903 | -0.199 | 0.578447 |
| 47 | NA | NA | NA |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.372559 | 2.5541 | 0.006973 |
| 1 | -0.242207 | -1.6605 | 0.948263 |
| 2 | -0.18177 | -1.2462 | 0.890558 |
| 3 | 0.144236 | 0.9888 | 0.163904 |
| 4 | -0.199806 | -1.3698 | 0.911371 |
| 5 | -0.101153 | -0.6935 | 0.754285 |
| 6 | 0.25173 | 1.7258 | 0.045479 |
| 7 | -0.198363 | -1.3599 | 0.909827 |
| 8 | 0.084851 | 0.5817 | 0.28177 |
| 9 | 0.234946 | 1.6107 | 0.05697 |
| 10 | -0.002648 | -0.0182 | 0.507203 |
| 11 | -0.034706 | -0.2379 | 0.593517 |
| 12 | 0.12483 | 0.8558 | 0.198227 |
| 13 | -0.291869 | -2.001 | 0.974404 |
| 14 | -0.190195 | -1.3039 | 0.900693 |
| 15 | 0.121146 | 0.8305 | 0.205217 |
| 16 | 0.088634 | 0.6076 | 0.273175 |
| 17 | -0.200737 | -1.3762 | 0.912357 |
| 18 | 0.167893 | 1.151 | 0.127774 |
| 19 | -0.062079 | -0.4256 | 0.663827 |
| 20 | -0.182615 | -1.2519 | 0.891608 |
| 21 | 0.034186 | 0.2344 | 0.407859 |
| 22 | -0.074488 | -0.5107 | 0.694013 |
| 23 | -0.040491 | -0.2776 | 0.608728 |
| 24 | 0.04621 | 0.3168 | 0.3764 |
| 25 | 0.047837 | 0.328 | 0.3722 |
| 26 | -0.00129 | -0.0088 | 0.50351 |
| 27 | 0.083785 | 0.5744 | 0.284219 |
| 28 | 0.07773 | 0.5329 | 0.29831 |
| 29 | -0.155748 | -1.0678 | 0.854457 |
| 30 | -0.005718 | -0.0392 | 0.515552 |
| 31 | 0.079426 | 0.5445 | 0.29433 |
| 32 | 0.042133 | 0.2888 | 0.386984 |
| 33 | -0.048421 | -0.332 | 0.629302 |
| 34 | 0.002551 | 0.0175 | 0.493059 |
| 35 | -0.055836 | -0.3828 | 0.648201 |
| 36 | -0.106753 | -0.7319 | 0.766057 |
| 37 | 0.019487 | 0.1336 | 0.447145 |
| 38 | 0.047751 | 0.3274 | 0.372422 |
| 39 | -0.065598 | -0.4497 | 0.672508 |
| 40 | 0.004445 | 0.0305 | 0.487911 |
| 41 | 0.066395 | 0.4552 | 0.325536 |
| 42 | -0.082442 | -0.5652 | 0.712684 |
| 43 | -0.054383 | -0.3728 | 0.644526 |
| 44 | -0.067256 | -0.4611 | 0.676568 |
| 45 | -0.160311 | -1.099 | 0.861325 |
| 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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