Thomas Van den Bosch opgave 6 stap 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: Wed, 19 Aug 2009 08:06:37 -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/19/t1250690838pw4h4mcy91ocxnd.htm/, Retrieved Wed, 19 Aug 2009 16:07:21 +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/19/t1250690838pw4h4mcy91ocxnd.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 «

5.93 5.9 5.9 5.94 5.86 5.92 5.9 5.91 5.84 5.84 5.83 5.82 5.8 5.91 5.92 5.96 5.9 5.92 6.09 6.31 6.25 6.23 6.22 6.19 6.15 6.12 6.13 6.1 6.05 6.07 6.09 6.17 6.12 6.12 6.13 6.19 6.24 6.41 6.5 6.53 6.58 6.53 6.51 6.51 6.49 6.49 6.49 6.53 6.65 6.61 6.52 6.62 6.6 6.61 6.63 6.62 6.6 6.59 6.59 6.52 6.52 6.61 6.59 6.6 6.48 6.53 6.56 6.56 6.49 6.45 6.44 6.43

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 0.964704 8.1858 0 2 0.921367 7.8181 0 3 0.87925 7.4607 0 4 0.841488 7.1403 0 5 0.793263 6.7311 0 6 0.74816 6.3483 0 7 0.701401 5.9516 0 8 0.660612 5.6055 0 9 0.611415 5.188 1e-06 10 0.565741 4.8005 4e-06 11 0.52092 4.4202 1.7e-05 12 0.481836 4.0885 5.6e-05 13 0.438561 3.7213 0.000195 14 0.401867 3.41 0.000534 15 0.364381 3.0919 0.001414 16 0.334239 2.8361 0.002963 17 0.296853 2.5189 0.006997 18 0.257754 2.1871 0.015992 19 0.219773 1.8648 0.03314 20 0.190651 1.6177 0.055047 21 0.155072 1.3158 0.096202 22 0.12055 1.0229 0.15489 23 0.082978 0.7041 0.241824 24 0.043703 0.3708 0.355925 25 0.002353 0.02 0.492061 26 -0.039942 -0.3389 0.367827 27 -0.08121 -0.6891 0.24649 28 -0.120258 -1.0204 0.155471 29 -0.16246 -1.3785 0.086156 30 -0.205336 -1.7423 0.04286 31 -0.24979 -2.1195 0.018747 32 -0.282177 -2.3944 0.009628 33 -0.317281 -2.6922 0.004411 34 -0.34971 -2.9674 0.002037 35 -0.379965 -3.2241 0.00095 36 -0.404827 -3.4351 0.000493 37 -0.425332 -3.6091 0.000282 38 -0.430662 -3.6543 0.000243 39 -0.429415 -3.6437 0.000252 40 -0.425364 -3.6093 0.000282 41 -0.417039 -3.5387 0.000354 42 -0.40809 -3.4628 0.000452 43 -0.403778 -3.4262 0.000507 44 -0.401224 -3.4045 0.000543 45 -0.40138 -3.4058 0.000541 46 -0.396964 -3.3684 0.000609 47 -0.392019 -3.3264 0.000694 48 -0.385533 -3.2714 0.000822 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.964704 8.1858 0 2 -0.133931 -1.1364 0.129769 3 0.008266 0.0701 0.472139 4 0.036005 0.3055 0.380428 5 -0.187765 -1.5932 0.057744 6 0.061397 0.521 0.301992 7 -0.070079 -0.5946 0.276975 8 0.052585 0.4462 0.328396 9 -0.142542 -1.2095 0.115212 10 0.037559 0.3187 0.375438 11 -0.014366 -0.1219 0.451659 12 0.012212 0.1036 0.458878 13 -0.052624 -0.4465 0.328278 14 0.053238 0.4517 0.326408 15 -0.042752 -0.3628 0.358923 16 0.051438 0.4365 0.331904 17 -0.115324 -0.9786 0.165539 18 -0.064469 -0.547 0.293021 19 0.026805 0.2274 0.410362 20 0.028839 0.2447 0.403689 21 -0.091178 -0.7737 0.22083 22 -0.010948 -0.0929 0.463121 23 -0.059453 -0.5045 0.307733 24 -0.119982 -1.0181 0.156025 25 0.012864 0.1092 0.45669 26 -0.093021 -0.7893 0.216262 27 0.019944 0.1692 0.433043 28 -0.069421 -0.5891 0.278835 29 -0.049032 -0.416 0.339307 30 -0.066988 -0.5684 0.285763 31 -0.075767 -0.6429 0.261165 32 0.137617 1.1677 0.123387 33 -0.145125 -1.2314 0.111085 34 0.038515 0.3268 0.372381 35 -0.01122 -0.0952 0.462208 36 -0.066146 -0.5613 0.288179 37 0.06941 0.589 0.278866 38 0.173251 1.4701 0.072948 39 0.028638 0.243 0.404346 40 -0.028384 -0.2408 0.405179 41 0.109271 0.9272 0.178462 42 -0.113717 -0.9649 0.168908 43 -0.075209 -0.6382 0.262694 44 -0.03253 -0.276 0.391659 45 -0.053271 -0.452 0.326307 46 0.031387 0.2663 0.395374 47 0.0183 0.1553 0.438518 48 -0.012639 -0.1072 0.457446

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/19/t1250690838pw4h4mcy91ocxnd/188bc1250690796.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/19/t1250690838pw4h4mcy91ocxnd/188bc1250690796.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/19/t1250690838pw4h4mcy91ocxnd/2sslx1250690796.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Aug/19/t1250690838pw4h4mcy91ocxnd/2sslx1250690796.ps (open in new window)

Parameters (Session):

par1 = 0 ;

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')

Copyright

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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