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Opgave 6bis - 2/2 - Consumptieprijzen Pakketreizen - Chloë De Rijck

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 06 Dec 2008 08:00:43 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/06/t1228575706jszuula637pmtlc.htm/, Retrieved Sat, 06 Dec 2008 15:01:48 +0000

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/06/t1228575706jszuula637pmtlc.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

105.6 110.2 104.9 102.9 102.6 103.6 107.8 106.6 106 105.2 107.9 107.5 107.5 113.3 107.8 104.5 105.1 104.2 106.6 103.8 107.7 106.4 110 113.2 113.9 112 113.9 113.1 111.7 110.7 113.5 114 112.7 112.2 115.8 118.4 118.8 123.9 118 120.2 118.7 119.8 124.8 121.3 120.2 118.3 129.6 130.2 127.19 133.1 129.12 123.28 123.36 124.13 126.96 127.14 123.7 123.67 130.19 134.01 124.96 129.96 128.32 132.38 126.25 128.91 131.42 129.44 126.86 126.71 131.63 132.78 126.61 132.84 123.14 128.13 125.49 126.48 130.86 127.32 126.56 126.64 129.26 126.47 135.38 135.5 132.22 122.62 125.16 128.5 133.86 128.87 125.07 125.25 132.16 130.24

Output produced by software:

Summary of computational 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
1	-0.299745	-2.9216	0.002176
2	-0.108104	-1.0537	0.147353
3	-0.178464	-1.7394	0.042598
4	0.090483	0.8819	0.190024
5	0.102059	0.9948	0.161192
6	-0.096009	-0.9358	0.175879
7	0.053691	0.5233	0.300987
8	-0.057958	-0.5649	0.286735
9	-0.023082	-0.225	0.411239
10	-0.043841	-0.4273	0.335062
11	-0.103223	-1.0061	0.158464
12	0.352233	3.4331	0.000443
13	-0.021286	-0.2075	0.418044
14	-0.09993	-0.974	0.166265
15	-0.008391	-0.0818	0.467495
16	-0.038506	-0.3753	0.354133
17	0.110844	1.0804	0.141356
18	-0.184506	-1.7983	0.037649
19	0.188936	1.8415	0.034333
20	-0.1211	-1.1803	0.120406
21	0.009859	0.0961	0.461823
22	-0.122284	-1.1919	0.11814
23	0.096546	0.941	0.174541
24	0.210523	2.0519	0.021464
25	-0.144923	-1.4125	0.080531
26	0.019538	0.1904	0.424686
27	0.026264	0.256	0.399256
28	-0.12464	-1.2148	0.113719
29	0.126149	1.2295	0.110952
30	-0.173688	-1.6929	0.046876
31	0.163118	1.5899	0.057592
32	-0.064054	-0.6243	0.266958
33	-0.057299	-0.5585	0.288914
34	-0.129324	-1.2605	0.105289
35	0.041127	0.4009	0.344711
36	0.344858	3.3613	0.000559
37	-0.148606	-1.4484	0.075394
38	-0.058093	-0.5662	0.286289
39	-0.010722	-0.1045	0.458495
40	-0.034943	-0.3406	0.367083
41	0.051352	0.5005	0.308933
42	-0.026242	-0.2558	0.399337
43	0.060566	0.5903	0.278188
44	-0.101941	-0.9936	0.161472
45	0.031115	0.3033	0.381175
46	-0.099931	-0.974	0.166264
47	0.018485	0.1802	0.4287
48	0.161908	1.5781	0.058935

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.299745	-2.9216	0.002176
2	-0.217492	-2.1199	0.018312
3	-0.326499	-3.1823	0.000987
4	-0.156942	-1.5297	0.06471
5	-0.017339	-0.169	0.43308
6	-0.138886	-1.3537	0.089523
7	0.000552	0.0054	0.497859
8	-0.047515	-0.4631	0.322171
9	-0.114782	-1.1188	0.133032
10	-0.141812	-1.3822	0.085073
11	-0.305781	-2.9804	0.001828
12	0.148414	1.4466	0.075655
13	0.153873	1.4998	0.068496
14	0.041732	0.4068	0.342552
15	0.22645	2.2072	0.014856
16	0.075966	0.7404	0.230434
17	0.091413	0.891	0.187596
18	-0.108839	-1.0608	0.145728
19	0.091169	0.8886	0.18823
20	-0.024438	-0.2382	0.406122
21	-0.010704	-0.1043	0.458563
22	-0.120253	-1.1721	0.122048
23	0.068876	0.6713	0.251822
24	0.164355	1.6019	0.056245
25	-0.080665	-0.7862	0.216847
26	0.085213	0.8305	0.204155
27	0.146587	1.4288	0.078177
28	-0.208819	-2.0353	0.022303
29	0.009816	0.0957	0.461989
30	-0.125856	-1.2267	0.111485
31	-0.077124	-0.7517	0.22704
32	-0.001987	-0.0194	0.492293
33	-0.106862	-1.0416	0.15013
34	-0.203947	-1.9878	0.024855
35	-0.194068	-1.8915	0.030799
36	-0.02691	-0.2623	0.396836
37	0.024469	0.2385	0.406006
38	-0.078745	-0.7675	0.222342
39	-0.011191	-0.1091	0.456688
40	-0.045327	-0.4418	0.329823
41	-0.087625	-0.8541	0.197609
42	-0.016606	-0.1619	0.435883
43	0.031984	0.3117	0.377962
44	-0.051503	-0.502	0.308417
45	0.157204	1.5322	0.064393
46	0.019843	0.1934	0.423527
47	0.062357	0.6078	0.272391
48	-0.018223	-0.1776	0.429703

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575706jszuula637pmtlc/19u9c1228575641.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575706jszuula637pmtlc/19u9c1228575641.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575706jszuula637pmtlc/2nfj91228575641.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228575706jszuula637pmtlc/2nfj91228575641.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

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 2:(par1+1)) {

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(abs(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,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(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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