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opgave 6bis oefening 2 stap 2 Magali Leys

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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 13:23:59 -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/t1228767950se6y8oi502pi465.htm/, Retrieved Mon, 08 Dec 2008 20:25:52 +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/t1228767950se6y8oi502pi465.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

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
0.89 0.88 0.87 0.87 0.87 0.87 0.88 0.87 0.86 0.86 0.86 0.84 0.84 0.83 0.84 0.88 0.9 0.89 0.91 0.94 0.94 0.95 0.95 0.98 0.96 1 1.05 1.03 1.07 1.12 1.1 1.06 1.11 1.08 1.07 1.02 1 1.04 1.02 1.07 1.12 1.08 1.02 1.01 1.04 0.98 0.95 0.94 0.94 0.96 0.97 1.03 1.01 0.99 1 1 1.02 1.01 0.99 0.98 1.01 1.03 1.03 1 0.96 0.97 0.98 1.02 1.04 1.01 1.01 1 1.01 1.02 1.03 1.06 1.12 1.12 1.13 1.13 1.13 1.17 1.14 1.08 1.07 1.12 1.14 1.21 1.2 1.23 1.29 1.31 1.37 1.35 1.26 1.26
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.1201561.17110.122237
2-0.148425-1.44670.075641
30.0125440.12230.451474
4-0.093751-0.91380.181575
50.0225290.21960.413333
6-0.044802-0.43670.331669
7-0.071284-0.69480.244441
8-0.144852-1.41180.080631
9-0.128339-1.25090.107023
100.0581890.56720.285974
110.3720573.62640.000232
120.0700580.68280.248185
13-0.146213-1.42510.078702
140.113331.10460.136061
15-0.069129-0.67380.251043
16-0.066152-0.64480.260316
17-0.019178-0.18690.42606
18-0.114333-1.11440.133963
19-0.008943-0.08720.465363
20-0.074449-0.72560.234923
21-0.033199-0.32360.373481
220.0339190.33060.370837
23-0.031337-0.30540.380353
240.0213030.20760.41798
250.1221611.19070.118373
26-0.088814-0.86560.194432
27-0.136513-1.33060.093258
280.0245870.23960.405562
29-0.032797-0.31970.374962
300.0402370.39220.347902
310.0172130.16780.433558
32-0.083357-0.81250.209279
33-0.062383-0.6080.272309
34-0.051666-0.50360.307863
350.0306830.29910.382774
360.1442551.4060.081489
370.0321040.31290.377516
380.0075070.07320.470914
39-0.010162-0.0990.460656
40-0.07296-0.71110.239374
410.122251.19150.118204
420.0201650.19650.422302
43-0.186409-1.81690.036193
44-0.105695-1.03020.15277
45-0.123995-1.20860.114917
46-0.028742-0.28010.389989
470.0701010.68330.248052
480.0846590.82520.205677


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.1201561.17110.122237
2-0.165248-1.61060.055288
30.0554750.54070.29499
4-0.133899-1.30510.097507
50.0713420.69540.244265
6-0.105665-1.02990.152837
7-0.023139-0.22550.411024
8-0.187624-1.82870.035288
9-0.085679-0.83510.202881
100.0145280.14160.443847
110.3707743.61390.000242
12-0.062202-0.60630.272892
13-0.048856-0.47620.317518
140.10250.99910.160154
15-0.099178-0.96670.168083
16-0.063381-0.61780.269104
17-0.054889-0.5350.296954
18-0.052215-0.50890.30599
190.0983040.95820.170209
20-0.035207-0.34320.366121
21-0.069226-0.67470.250743
22-0.143461-1.39830.082642
23-0.039202-0.38210.351621
240.0483140.47090.319395
250.025630.24980.401636
26-0.13874-1.35230.08975
27-0.035411-0.34510.365373
280.0005870.00570.497725
29-0.002852-0.02780.488942
30-0.018831-0.18350.427383
31-0.012161-0.11850.45295
32-0.016814-0.16390.435086
33-0.057581-0.56120.28798
34-0.060676-0.59140.277829
35-0.081329-0.79270.214963
360.0803440.78310.217759
370.1156791.12750.131186
380.109241.06470.144845
39-0.12734-1.24120.108802
40-0.086935-0.84730.199469
410.1233431.20220.116137
42-0.071088-0.69290.245037
43-0.194987-1.90050.0302
44-0.084992-0.82840.204761
45-0.068474-0.66740.253066
460.0343290.33460.369333
47-0.092835-0.90480.183919
48-0.037464-0.36520.357905
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767950se6y8oi502pi465/1n51i1228767838.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767950se6y8oi502pi465/1n51i1228767838.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767950se6y8oi502pi465/2gprg1228767838.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767950se6y8oi502pi465/2gprg1228767838.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')
 




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