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opgave 6bis- oefening 2-stap 1-Van Muylder Jurgen

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 08 Dec 2008 13:21:14 -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/08/t1228767747i82kwg8u5nrvzke.htm/, Retrieved Mon, 08 Dec 2008 20:22:30 +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/08/t1228767747i82kwg8u5nrvzke.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 «

101,6 101,8 102,1 102,1 101,9 102,1 102 102,1 102,2 102,3 102,7 102,8 103,1 103,1 103,3 103,5 103,3 103,5 103,8 103,9 103,9 104,2 104,6 104,9 105,2 105,2 105,6 105,6 106,2 106,3 106,4 106,9 107,2 107,3 107,3 107,4 107,55 107,87 108,37 108,38 107,92 108,03 108,14 108,3 108,64 108,66 109,04 109,03 109,03 109,54 109,75 109,83 109,65 109,82 109,95 110,12 110,15 110,2 109,99 110,14 110,14 110,81 110,97 110,99 109,73 109,81 110,02 110,18 110,21 110,25 110,36 110,51 110,64 110,95 111,18 111,19 111,69 111,7 111,83 111,77 111,73 112,01 111,86 112,04

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	0.966346	8.8567	0
2	0.93348	8.5555	0
3	0.900689	8.255	0
4	0.86905	7.965	0
5	0.834436	7.6477	0
6	0.798713	7.3203	0
7	0.761165	6.9762	0
8	0.722454	6.6214	0
9	0.685545	6.2831	0
10	0.648802	5.9464	0
11	0.614401	5.6311	0
12	0.580594	5.3212	0
13	0.54784	5.021	1e-06
14	0.514165	4.7124	5e-06
15	0.481617	4.4141	1.5e-05
16	0.449554	4.1202	4.4e-05
17	0.414703	3.8008	0.000136
18	0.380671	3.4889	0.000387
19	0.348329	3.1925	0.000993
20	0.31619	2.8979	0.002395
21	0.27675	2.5365	0.006524
22	0.238383	2.1848	0.015844
23	0.202417	1.8552	0.033539
24	0.170071	1.5587	0.061411
25	0.137602	1.2611	0.105375
26	0.104781	0.9603	0.169822
27	0.073087	0.6699	0.252395
28	0.040652	0.3726	0.355198
29	0.011304	0.1036	0.458866
30	-0.017614	-0.1614	0.436069
31	-0.046286	-0.4242	0.336245
32	-0.071746	-0.6576	0.256308
33	-0.096852	-0.8877	0.188627
34	-0.121075	-1.1097	0.135154
35	-0.144964	-1.3286	0.093786
36	-0.166763	-1.5284	0.065085
37	-0.187672	-1.72	0.044554
38	-0.20763	-1.903	0.030235
39	-0.222769	-2.0417	0.022159
40	-0.238988	-2.1904	0.015635
41	-0.256922	-2.3547	0.010434
42	-0.273622	-2.5078	0.007037
43	-0.289359	-2.652	0.004782
44	-0.304016	-2.7863	0.003294
45	-0.319828	-2.9313	0.002174
46	-0.3362	-3.0813	0.001393
47	-0.347829	-3.1879	0.001007
48	-0.358424	-3.285	0.000744

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.966346	8.8567	0
2	-0.005213	-0.0478	0.481005
3	-0.015735	-0.1442	0.442839
4	0.000187	0.0017	0.499318
5	-0.061501	-0.5637	0.287242
6	-0.036669	-0.3361	0.368825
7	-0.047864	-0.4387	0.331009
8	-0.041424	-0.3797	0.35258
9	0.005467	0.0501	0.480078
10	-0.018342	-0.1681	0.433452
11	0.015654	0.1435	0.443132
12	-0.007692	-0.0705	0.471983
13	-0.005637	-0.0517	0.47946
14	-0.033547	-0.3075	0.379625
15	-0.009323	-0.0854	0.466055
16	-0.017215	-0.1578	0.437505
17	-0.068255	-0.6256	0.266647
18	-0.014038	-0.1287	0.448968
19	0.001032	0.0095	0.496236
20	-0.021914	-0.2008	0.420654
21	-0.130591	-1.1969	0.117359
22	-0.01663	-0.1524	0.439612
23	0.007965	0.073	0.47099
24	0.023311	0.2136	0.415669
25	-0.021682	-0.1987	0.42148
26	-0.030518	-0.2797	0.390198
27	-0.008313	-0.0762	0.469726
28	-0.043226	-0.3962	0.346492
29	0.007036	0.0645	0.474367
30	-0.023135	-0.212	0.416297
31	-0.036271	-0.3324	0.370196
32	0.021731	0.1992	0.421307
33	-0.023148	-0.2122	0.416249
34	-0.010311	-0.0945	0.462466
35	-0.027158	-0.2489	0.402021
36	-0.003556	-0.0326	0.487037
37	-0.00293	-0.0269	0.489321
38	-0.018925	-0.1735	0.431357
39	0.041151	0.3772	0.353504
40	-0.044507	-0.4079	0.342187
41	-0.040524	-0.3714	0.355633
42	-0.008262	-0.0757	0.469911
43	-0.02834	-0.2597	0.397849
44	-0.018994	-0.1741	0.431111
45	-0.049308	-0.4519	0.326247
46	-0.032996	-0.3024	0.381543
47	0.051037	0.4678	0.320584
48	-0.010706	-0.0981	0.461036

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767747i82kwg8u5nrvzke/182by1228767672.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767747i82kwg8u5nrvzke/182by1228767672.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767747i82kwg8u5nrvzke/24b7s1228767672.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767747i82kwg8u5nrvzke/24b7s1228767672.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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