Opgave 6 - stap 2 - differentiatie - Robbert Van Hees

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 18 Aug 2009 09:41:16 -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/18/t12506105231tkgs2vogrsyxgr.htm/, Retrieved Tue, 18 Aug 2009 17:48:43 +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/18/t12506105231tkgs2vogrsyxgr.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 «

12,11 11,42 11,71 12,04 12,21 12 12,36 12,32 12,96 12,79 13,19 12,34 13,25 12,54 12,77 12,96 13 13,61 13,8 14,16 14,27 14,69 15,01 15,09 15,14 14,2 13,83 14,31 14,04 14,9 14,92 15,36 15,5 15,65 16,18 15,44 15,58 15,24 15,33 16,07 15,82 15,87 15,72 17,07 16,83 17,52 17,76 17,36 17,95 16,71 17,14 16,72 17,26 17,24 17,69 18,13 18,08 18,18 18,18 17,64 17,89 16,82 16,61 16,66 17,02 16,91 17,18 18,06 17,58 17,48 17,54 17,44 17,79 16,79 16,19 16,62 16,39 16,54 17,26 18 17,29 18,16 17,82 17,48 18,31 17,04 17,03 16,97 17,11 17,12 17,69 18,5 18,27 18,45 18,35 18,03 18,49 18,07 17,8 17,88 18,12 18,68 18,8 19,64 19,56 19,3 20,07 19,82 20,29 19,36 18,74 18,87 18,87 18,91 19,31 20,06 20,72 20,42 20,58 20,58 21,18 19,87 19,83 19,48 19,49 19,4 19,89 20,44 20,07 19,75 19,54 19,07

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 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.245813 -2.8135 0.002828 2 0.179734 2.0571 0.020828 3 -0.027561 -0.3154 0.376461 4 -0.14514 -1.6612 0.049532 5 -0.032248 -0.3691 0.356327 6 -0.285105 -3.2632 0.000703 7 0.018499 0.2117 0.416321 8 -0.194204 -2.2228 0.013973 9 0.091311 1.0451 0.14895 10 0.081537 0.9332 0.176208 11 -0.061077 -0.6991 0.242877 12 0.530161 6.068 0 13 -0.090367 -1.0343 0.151451 14 0.109153 1.2493 0.10689 15 0.036279 0.4152 0.339325 16 -0.154442 -1.7677 0.039722 17 -0.010259 -0.1174 0.453352 18 -0.321546 -3.6803 0.00017 19 0.05607 0.6417 0.261079 20 -0.192663 -2.2051 0.014595 21 0.072811 0.8334 0.203078 22 0.034163 0.391 0.348211 23 -0.078582 -0.8994 0.185041 24 0.442965 5.07 1e-06 25 0.000168 0.0019 0.499232 26 0.066121 0.7568 0.225269 27 0.052125 0.5966 0.275904 28 -0.165543 -1.8947 0.030166 29 -0.015549 -0.178 0.429513 30 -0.285629 -3.2692 0.000689 31 0.035702 0.4086 0.341741 32 -0.215001 -2.4608 0.007582 33 0.087435 1.0007 0.1594 34 0.039822 0.4558 0.324649 35 -0.073802 -0.8447 0.19991 36 0.461767 5.2852 0 37 -0.090204 -1.0324 0.151886 38 0.12176 1.3936 0.082898 39 -0.030821 -0.3528 0.362416 40 -0.089251 -1.0215 0.154443 41 -0.045034 -0.5154 0.303558 42 -0.236406 -2.7058 0.003861 43 -0.013233 -0.1515 0.439924 44 -0.113142 -1.295 0.098804 45 0.057387 0.6568 0.256224 46 0.017577 0.2012 0.420435 47 -0.083881 -0.9601 0.169396 48 0.361815 4.1412 3.1e-05 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.245813 -2.8135 0.002828 2 0.126982 1.4534 0.074255 3 0.045675 0.5228 0.301005 4 -0.178398 -2.0419 0.021587 5 -0.116003 -1.3277 0.093292 6 -0.29559 -3.3832 0.000473 7 -0.116154 -1.3294 0.093006 8 -0.203977 -2.3346 0.010542 9 -0.046531 -0.5326 0.297616 10 0.041856 0.4791 0.316345 11 -0.147059 -1.6832 0.047363 12 0.420007 4.8072 2e-06 13 0.181281 2.0749 0.019979 14 -0.030222 -0.3459 0.364985 15 0.136324 1.5603 0.060551 16 0.003433 0.0393 0.484359 17 0.040919 0.4683 0.320161 18 -0.116228 -1.3303 0.092867 19 -0.017634 -0.2018 0.420182 20 -0.014653 -0.1677 0.433536 21 -0.071145 -0.8143 0.208477 22 -0.09162 -1.0486 0.148136 23 -0.186812 -2.1382 0.01718 24 0.066976 0.7666 0.222356 25 0.171379 1.9615 0.025969 26 -0.058485 -0.6694 0.252212 27 0.022311 0.2554 0.399423 28 -0.057069 -0.6532 0.25739 29 -0.024791 -0.2837 0.388528 30 -0.013391 -0.1533 0.43921 31 -0.021074 -0.2412 0.404889 32 -0.085153 -0.9746 0.165774 33 0.000431 0.0049 0.498035 34 -0.013368 -0.153 0.439317 35 -0.081788 -0.9361 0.175471 36 0.145365 1.6638 0.049273 37 -0.030424 -0.3482 0.364118 38 -0.029272 -0.335 0.369067 39 -0.063855 -0.7309 0.233087 40 -0.039624 -0.4535 0.325464 41 0.011711 0.134 0.446788 42 0.005195 0.0595 0.476338 43 -0.066197 -0.7577 0.225009 44 0.07244 0.8291 0.204274 45 -0.004546 -0.052 0.47929 46 -0.078034 -0.8931 0.186711 47 -0.099859 -1.1429 0.127575 48 -0.032439 -0.3713 0.355515

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t12506105231tkgs2vogrsyxgr/1gshg1250610072.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t12506105231tkgs2vogrsyxgr/1gshg1250610072.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t12506105231tkgs2vogrsyxgr/2sccu1250610072.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/18/t12506105231tkgs2vogrsyxgr/2sccu1250610072.ps (open in new window)

Parameters (Session):

par1 = 5 ; par2 = grey ; par3 = FALSE ; par4 = Unknown ;

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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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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