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Vermeulennickopgave6Stap2-2

*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 03:50:44 -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/t12492930806x0rpaes6dpbu35.htm/, Retrieved Mon, 03 Aug 2009 11:51:23 +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/t12492930806x0rpaes6dpbu35.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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.113735	-1.1086	0.135211
2	-0.075419	-0.7351	0.232047
3	-0.099965	-0.9743	0.166182
4	0.077991	0.7602	0.22452
5	0.025557	0.2491	0.401913
6	0.132636	1.2928	0.099611
7	-0.165002	-1.6082	0.055551
8	0.077186	0.7523	0.22686
9	-0.011965	-0.1166	0.453702
10	-0.037126	-0.3619	0.359132
11	0.124354	1.2121	0.114249
12	0.008616	0.084	0.466626
13	-0.253801	-2.4737	0.007573
14	0.081803	0.7973	0.213628
15	-0.060085	-0.5856	0.279755
16	0.002495	0.0243	0.490323
17	0.011202	0.1092	0.456642
18	-0.158773	-1.5475	0.062531
19	0.049206	0.4796	0.316306
20	0.179	1.7447	0.042137
21	-0.217538	-2.1203	0.018293
22	0.037092	0.3615	0.359255
23	0.010736	0.1046	0.458442
24	0.033362	0.3252	0.372881
25	-0.070828	-0.6903	0.24583
26	0.048126	0.4691	0.320045
27	-0.154005	-1.5011	0.068329
28	0.283135	2.7597	0.003472
29	-0.112948	-1.1009	0.136865
30	-0.041958	-0.409	0.341746
31	-0.040584	-0.3956	0.346656
32	-0.010904	-0.1063	0.457794
33	0.011674	0.1138	0.454825
34	0.159655	1.5561	0.061502
35	-0.049205	-0.4796	0.316309
36	-0.037018	-0.3608	0.359522
37	0.007668	0.0747	0.470288
38	-0.071592	-0.6978	0.243505
39	0.150806	1.4699	0.072449
40	0.019949	0.1944	0.423126
41	-0.217222	-2.1172	0.018427
42	-0.009724	-0.0948	0.462346
43	0.062735	0.6115	0.271176
44	0.117205	1.1424	0.128085
45	0.007061	0.0688	0.472637
46	-0.096999	-0.9454	0.17342
47	0.009659	0.0941	0.462596
48	0.18155	1.7695	0.040007

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.113735	-1.1086	0.135211
2	-0.089512	-0.8725	0.192579
3	-0.122035	-1.1894	0.118614
4	0.04431	0.4319	0.333402
5	0.022792	0.2221	0.412338
6	0.143783	1.4014	0.082173
7	-0.118219	-1.1523	0.126054
8	0.07388	0.7201	0.236617
9	0.000399	0.0039	0.498451
10	-0.073793	-0.7192	0.236877
11	0.145979	1.4228	0.079031
12	0.005775	0.0563	0.477616
13	-0.226076	-2.2035	0.014987
14	0.038291	0.3732	0.35491
15	-0.094466	-0.9207	0.179759
16	-0.061142	-0.5959	0.276317
17	-0.000234	-0.0023	0.499093
18	-0.155607	-1.5167	0.066336
19	0.074775	0.7288	0.233953
20	0.121266	1.182	0.120088
21	-0.177549	-1.7305	0.043391
22	0.056437	0.5501	0.291779
23	-0.004478	-0.0436	0.48264
24	0.073766	0.719	0.236958
25	-0.104356	-1.0171	0.155837
26	0.002988	0.0291	0.488412
27	-0.070839	-0.6905	0.245795
28	0.165688	1.6149	0.054822
29	-0.039489	-0.3849	0.350588
30	-0.080706	-0.7866	0.21673
31	-0.105133	-1.0247	0.154051
32	-0.007474	-0.0728	0.47104
33	0.066047	0.6437	0.260647
34	0.008023	0.0782	0.468917
35	0.086385	0.842	0.200957
36	-0.065993	-0.6432	0.260817
37	0.066817	0.6512	0.258229
38	-0.065814	-0.6415	0.261379
39	0.034792	0.3391	0.367637
40	-0.004215	-0.0411	0.483657
41	-0.093096	-0.9074	0.18325
42	-0.070806	-0.6901	0.245896
43	-0.005269	-0.0514	0.479577
44	0.120686	1.1763	0.121206
45	-0.04589	-0.4473	0.327844
46	0.003886	0.0379	0.484932
47	0.087741	0.8552	0.197299
48	0.088651	0.8641	0.194865

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t12492930806x0rpaes6dpbu35/1tz9x1249293042.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t12492930806x0rpaes6dpbu35/1tz9x1249293042.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t12492930806x0rpaes6dpbu35/215201249293042.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/03/t12492930806x0rpaes6dpbu35/215201249293042.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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