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opgave 6.3

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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: Tue, 11 Aug 2009 11:44:48 -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/11/t1250012794pkqsqwpx9egvlwg.htm/, Retrieved Tue, 11 Aug 2009 19:46:34 +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/11/t1250012794pkqsqwpx9egvlwg.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

108.87 106.38 104.77 105.38 106.74 110 110.73 115.7 115.44 113.66 118.4 116.71 119.7 114.17 110.52 111.27 111.41 111.62 113.91 118.54 122.26 120.44 121.37 121.49 125 117.24 117.18 115.15 115.27 114.6 117.48 120.8 118.62 116.79 115.46 112.83 115.56 106.66 103.39 102.65 103.22 104.1 104.32

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.00832	-0.0539	0.478626
2	0.125858	0.8157	0.20965
3	-0.065139	-0.4222	0.337534
4	-0.016727	-0.1084	0.457097
5	-0.015037	-0.0975	0.461416
6	-0.313555	-2.0321	0.024252
7	-0.117273	-0.76	0.225746
8	0.001528	0.0099	0.496074
9	-0.091037	-0.59	0.27918
10	0.069809	0.4524	0.32665
11	0.024151	0.1565	0.438187
12	0.518497	3.3602	0.000833
13	0.000156	0.001	0.499599
14	0.080648	0.5227	0.301979
15	-0.165279	-1.0711	0.145114
16	0.036356	0.2356	0.407438
17	-0.135145	-0.8758	0.193049
18	-0.246298	-1.5962	0.058972
19	-0.047617	-0.3086	0.379577
20	-0.061942	-0.4014	0.345069
21	0.045757	0.2965	0.384139
22	-0.091264	-0.5915	0.278693
23	0.055254	0.3581	0.361036
24	0.271852	1.7618	0.04269
25	-0.04362	-0.2827	0.389401
26	0.086947	0.5635	0.288052
27	-0.150453	-0.975	0.16756
28	-0.072239	-0.4682	0.321044
29	-0.011238	-0.0728	0.471143
30	-0.141586	-0.9176	0.182038
31	-0.019959	-0.1294	0.448849
32	-0.070948	-0.4598	0.324017
33	-0.032711	-0.212	0.416569
34	-0.015059	-0.0976	0.461359
35	0.020821	0.1349	0.446655
36	0.077408	0.5017	0.309264

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.00832	-0.0539	0.478626
2	0.125798	0.8153	0.209761
3	-0.064197	-0.416	0.339747
4	-0.033654	-0.2181	0.414203
5	0.001201	0.0078	0.496914
6	-0.318049	-2.0612	0.022755
7	-0.135749	-0.8798	0.192
8	0.08379	0.543	0.294993
9	-0.121638	-0.7883	0.217474
10	0.034155	0.2213	0.412947
11	0.069958	0.4534	0.326305
12	0.457501	2.9649	0.002487
13	-0.065726	-0.426	0.336159
14	-0.023851	-0.1546	0.43895
15	-0.191542	-1.2413	0.110685
16	0.027829	0.1804	0.428871
17	-0.146201	-0.9475	0.174404
18	-0.036324	-0.2354	0.407518
19	0.112797	0.731	0.234416
20	-0.041288	-0.2676	0.395168
21	0.071555	0.4637	0.322619
22	-0.199189	-1.2909	0.101901
23	-0.000457	-0.003	0.498827
24	-0.106468	-0.69	0.246996
25	-0.03506	-0.2272	0.41068
26	0.019899	0.129	0.449003
27	0.059147	0.3833	0.35171
28	-0.214169	-1.388	0.086232
29	0.143815	0.932	0.178324
30	0.07833	0.5076	0.307181
31	-0.137638	-0.892	0.188739
32	-0.081837	-0.5304	0.299326
33	-0.136916	-0.8873	0.189981
34	0.063036	0.4085	0.342484
35	-0.122651	-0.7949	0.215579
36	0.02956	0.1916	0.424501

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/11/t1250012794pkqsqwpx9egvlwg/1nsvf1250012684.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/11/t1250012794pkqsqwpx9egvlwg/1nsvf1250012684.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/11/t1250012794pkqsqwpx9egvlwg/25hy71250012684.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/11/t1250012794pkqsqwpx9egvlwg/25hy71250012684.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 36 ; 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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