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Vermeulennickopgave6stap2

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 Aug 2009 03:44:38 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Aug/03/t1249292706m5ryrxgspuoksxi.htm/, Retrieved Mon, 03 Aug 2009 11:45:09 +0200

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/2009/Aug/03/t1249292706m5ryrxgspuoksxi.htm/},
    year = {2009},
}
@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 = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Roze garnalen

Dataseries X:

» Textbox « » Textfile « » CSV «

106.61 107.86 108.07 109.68 108.57 108.08 109.8 110.7 110.72 109.85 109.71 110 110.87 111.16 110.63 110.26 110.79 111.75 111.75 112.31 112.29 111.86 111.22 112.42 111.94 112.77 113.99 114.22 112.38 114.98 115.94 117.63 117.76 118.11 120.88 121.87 122.34 122.42 122.17 121.99 124.96 125.94 126.59 127.11 125.44 125.53 125.35 124.3 123.62 124 124.47 126.89 124.87 124.55 125.31 126.02 125.31 125.3 123.83 124.49 124.92 125.77 127.27 127.35 126.05 126.84 127.75 126.78 126.98 127.89 127.9 128.06 125.39 128.13 127.97 127.56 126.89 127.8 128.05 128.98 128.55 129.35 129.97 130.89 129.8 132.32 131.1 131.44 132.55 133.35 132.53 131.11 130.02 128.91 129.98 130.91

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	0.964027	9.4455	0
2	0.933806	9.1494	0
3	0.906272	8.8796	0
4	0.881977	8.6416	0
5	0.850708	8.3352	0
6	0.814379	7.9793	0
7	0.777566	7.6186	0
8	0.746307	7.3123	0
9	0.714446	7.0001	0
10	0.68013	6.6639	0
11	0.643134	6.3014	0
12	0.607579	5.953	0
13	0.571342	5.598	0
14	0.541011	5.3008	0
15	0.507852	4.9759	1e-06
16	0.475174	4.6557	5e-06
17	0.442147	4.3321	1.8e-05
18	0.411912	4.0359	5.5e-05
19	0.384106	3.7635	0.000144
20	0.357403	3.5018	0.000352
21	0.325412	3.1884	0.000966
22	0.294772	2.8882	0.002394
23	0.260609	2.5534	0.006121
24	0.232786	2.2808	0.012385
25	0.197961	1.9396	0.027681
26	0.165859	1.6251	0.053712
27	0.135076	1.3235	0.094412
28	0.108299	1.0611	0.145652
29	0.071047	0.6961	0.244019
30	0.040032	0.3922	0.347877
31	0.012847	0.1259	0.450046
32	-0.008786	-0.0861	0.465791
33	-0.032709	-0.3205	0.374649
34	-0.056599	-0.5546	0.290245
35	-0.074663	-0.7315	0.233115
36	-0.088499	-0.8671	0.194022
37	-0.100279	-0.9825	0.164155
38	-0.111426	-1.0917	0.138839
39	-0.124759	-1.2224	0.112278
40	-0.141916	-1.3905	0.083798
41	-0.153557	-1.5045	0.067862
42	-0.158028	-1.5483	0.062414
43	-0.159855	-1.5663	0.06029
44	-0.162411	-1.5913	0.057416
45	-0.175076	-1.7154	0.04475
46	-0.184276	-1.8055	0.037063
47	-0.191849	-1.8797	0.031589
48	-0.202138	-1.9805	0.025252

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.964027	9.4455	0
2	0.06309	0.6182	0.26897
3	0.028869	0.2829	0.388946
4	0.038141	0.3737	0.354724
5	-0.10272	-1.0064	0.158365
6	-0.1008	-0.9876	0.162907
7	-0.046022	-0.4509	0.326533
8	0.041925	0.4108	0.341075
9	-0.013383	-0.1311	0.447973
10	-0.035679	-0.3496	0.363711
11	-0.049719	-0.4871	0.313634
12	-0.020703	-0.2028	0.419843
13	-0.045203	-0.4429	0.329419
14	0.061916	0.6066	0.272758
15	-0.031302	-0.3067	0.379868
16	-0.010543	-0.1033	0.458971
17	-0.02346	-0.2299	0.409344
18	-0.001837	-0.018	0.492839
19	0.014564	0.1427	0.443413
20	0.004709	0.0461	0.481646
21	-0.077684	-0.7611	0.224218
22	-0.02086	-0.2044	0.419242
23	-0.091936	-0.9008	0.184978
24	0.039455	0.3866	0.349961
25	-0.10276	-1.0068	0.158273
26	0.009264	0.0908	0.463932
27	0.013719	0.1344	0.446678
28	0.012732	0.1247	0.450493
29	-0.165396	-1.6205	0.054197
30	0.045881	0.4495	0.327027
31	0.039528	0.3873	0.349697
32	0.050522	0.495	0.31086
33	-0.015937	-0.1561	0.438123
34	-0.014183	-0.139	0.444884
35	0.059219	0.5802	0.281562
36	-0.000496	-0.0049	0.498064
37	0.040384	0.3957	0.34661
38	0.002691	0.0264	0.489509
39	-0.042221	-0.4137	0.340017
40	-0.121443	-1.1899	0.118512
41	0.038726	0.3794	0.3526
42	0.066921	0.6557	0.256797
43	0.081198	0.7956	0.214122
44	0.001741	0.0171	0.493214
45	-0.146311	-1.4336	0.077475
46	-0.050799	-0.4977	0.309908
47	-0.031466	-0.3083	0.37926
48	-0.064277	-0.6298	0.265166

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t1249292706m5ryrxgspuoksxi/13dj71249292676.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t1249292706m5ryrxgspuoksxi/13dj71249292676.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t1249292706m5ryrxgspuoksxi/2y50k1249292676.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t1249292706m5ryrxgspuoksxi/2y50k1249292676.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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