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Opdracht 6 oefening 2 2

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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, 08 Dec 2009 11:29:38 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/08/t1260297104sw4t357h4nxehfc.htm/, Retrieved Tue, 08 Dec 2009 19:31:47 +0100

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/Dec/08/t1260297104sw4t357h4nxehfc.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

100.09 100.09 100.06 100.11 100.08 100.08 100.08 100.08 99.94 99.79 99.98 99.98 99.98 99.98 99.93 99.93 99.93 99.93 99.93 99.93 99.76 99.48 99.55 99.56 99.57 99.56 99.65 99.5 99.5 99.49 99.49 99.46 99.52 99.49 99.55 99.57 99.57 99.57 99.57 99.57 99.57 99.57 99.57 99.53 100.38 100.32 100.46 100.47 100.47 100.47 100.51 100.5 100.51 100.51 100.51 100.51 101.65 102.13 102.2 102.13 102.13 102.12 102.13 102.05 102 102.01 102.01 102.02 102.78 103.39 103.41 103.5 103.5 103.49 103.38 103.24 103.25 103.25 103.25 103.25 103.83 104.33 104.36 104.48 104.5 104.48 104.35 104.48 104.48 104.47 104.47 104.86 105.22 105.96 106.03 106.03

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	0.295227	2.8775	0.002475
2	0.046241	0.4507	0.326614
3	-0.0562	-0.5478	0.292566
4	-0.06093	-0.5939	0.277004
5	-0.146099	-1.424	0.078861
6	-0.112935	-1.1008	0.136892
7	-0.119753	-1.1672	0.123023
8	-0.079271	-0.7726	0.220826
9	-0.051826	-0.5051	0.307316
10	0.053303	0.5195	0.302299
11	0.185782	1.8108	0.036668
12	0.705142	6.8729	0
13	0.342864	3.3418	0.000596
14	-0.020313	-0.198	0.421741
15	-0.037338	-0.3639	0.358361
16	-0.063163	-0.6156	0.269804
17	-0.171377	-1.6704	0.049069
18	-0.120008	-1.1697	0.122526
19	-0.105351	-1.0268	0.153553
20	-0.066437	-0.6475	0.259421
21	-0.062863	-0.6127	0.270766
22	0.057432	0.5598	0.288473
23	0.068803	0.6706	0.252049
24	0.394631	3.8464	0.000108
25	0.285293	2.7807	0.00327
26	-0.050765	-0.4948	0.310944
27	-0.025911	-0.2526	0.400581
28	-0.071702	-0.6989	0.243173
29	-0.132717	-1.2936	0.099476
30	-0.109585	-1.0681	0.14409
31	-0.044347	-0.4322	0.333274
32	-0.063672	-0.6206	0.268174
33	-0.05967	-0.5816	0.28111
34	0.057486	0.5603	0.288296
35	-0.000281	-0.0027	0.498909
36	0.122176	1.1908	0.118344
37	0.192987	1.881	0.031517
38	-0.057734	-0.5627	0.287476
39	-0.038361	-0.3739	0.354657
40	-0.055383	-0.5398	0.295297
41	-0.060487	-0.5896	0.278443
42	-0.093634	-0.9126	0.181873
43	-0.007456	-0.0727	0.471109
44	-0.040111	-0.391	0.348352
45	-0.022034	-0.2148	0.415209
46	0.037455	0.3651	0.357937
47	0.002476	0.0241	0.490399
48	-0.08976	-0.8749	0.191925

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.295227	2.8775	0.002475
2	-0.044825	-0.4369	0.331589
3	-0.062821	-0.6123	0.270899
4	-0.026481	-0.2581	0.398441
5	-0.1309	-1.2759	0.102558
6	-0.040726	-0.3969	0.346149
7	-0.086209	-0.8403	0.201436
8	-0.043193	-0.421	0.337356
9	-0.037294	-0.3635	0.358521
10	0.05216	0.5084	0.306179
11	0.146335	1.4263	0.07853
12	0.676369	6.5924	0
13	0.043858	0.4275	0.335001
14	-0.19432	-1.894	0.030634
15	0.104258	1.0162	0.156062
16	-0.038877	-0.3789	0.352796
17	-0.087553	-0.8534	0.197804
18	0.052348	0.5102	0.305537
19	-0.035349	-0.3445	0.365603
20	0.020821	0.2029	0.41981
21	-0.011152	-0.1087	0.456835
22	-0.006335	-0.0617	0.475447
23	-0.130355	-1.2705	0.103496
24	-0.163493	-1.5935	0.057181
25	-0.036062	-0.3515	0.363001
26	-0.03142	-0.3062	0.380044
27	0.069734	0.6797	0.24918
28	-0.079019	-0.7702	0.221551
29	0.086565	0.8437	0.20047
30	0.039224	0.3823	0.351542
31	0.031696	0.3089	0.379026
32	-0.042296	-0.4122	0.340543
33	-0.007857	-0.0766	0.469558
34	0.041921	0.4086	0.341878
35	-0.064556	-0.6292	0.265358
36	-0.107484	-1.0476	0.148735
37	0.032794	0.3196	0.374973
38	-0.031731	-0.3093	0.378896
39	-0.008993	-0.0877	0.46517
40	-0.007002	-0.0682	0.472866
41	0.074626	0.7274	0.234395
42	-0.08749	-0.8527	0.197972
43	-0.013273	-0.1294	0.44867
44	0.017586	0.1714	0.432135
45	0.05421	0.5284	0.299237
46	-0.036133	-0.3522	0.362742
47	0.035105	0.3422	0.366493
48	-0.088505	-0.8626	0.195255

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260297104sw4t357h4nxehfc/1y3gd1260296977.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260297104sw4t357h4nxehfc/1y3gd1260296977.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260297104sw4t357h4nxehfc/2yx5b1260296977.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260297104sw4t357h4nxehfc/2yx5b1260296977.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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