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Opgave 6 bis gegevens biefstuk

*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, 08 Dec 2009 13:31:02 -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/t1260304323hiqynqihqqhcmod.htm/, Retrieved Tue, 08 Dec 2009 21:32:05 +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/t1260304323hiqynqihqqhcmod.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 «

10,1200 10,1200 10,0500 10,1400 10,1700 10,2000 10,2000 10,3500 10,4300 10,5200 10,5700 10,5700 10,5700 10,6500 10,5700 10,6100 10,6300 10,7100 10,7200 10,7700 10,7900 10,8200 10,9000 10,8300 10,9200 10,9100 10,8800 10,8700 11,0000 10,9900 11,0300 11,0400 10,9900 10,9000 11,0000 10,9900 10,9200 10,9800 11,1500 11,1900 11,3300 11,3800 11,4000 11,4500 11,5600 11,6100 11,8200 11,7700 11,8500 11,8200 11,9200 11,8600 11,8700 11,9400 11,8600 11,9200 11,8300 11,9100 11,9300 11,9900 11,9600 12,1200 11,8500 12,0100 12,1000 12,2100 12,3100 12,3100 12,3900 12,3500 12,4100 12,5100

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.950196	8.0627	0
2	0.905794	7.6859	0
3	0.856324	7.2662	0
4	0.807177	6.8491	0
5	0.7587	6.4378	0
6	0.710785	6.0312	0
7	0.662962	5.6254	0
8	0.622486	5.282	1e-06
9	0.586849	4.9796	2e-06
10	0.559079	4.7439	5e-06
11	0.521705	4.4268	1.7e-05
12	0.488635	4.1462	4.6e-05
13	0.453922	3.8517	0.000126
14	0.421658	3.5779	0.000312
15	0.388596	3.2973	0.000759
16	0.356698	3.0267	0.001714
17	0.322621	2.7375	0.003897
18	0.292156	2.479	0.007759
19	0.256727	2.1784	0.016326
20	0.22368	1.898	0.030854
21	0.189776	1.6103	0.055853
22	0.151458	1.2852	0.101426
23	0.118075	1.0019	0.159874
24	0.07977	0.6769	0.250327
25	0.046454	0.3942	0.347307
26	0.008358	0.0709	0.471828
27	-0.024378	-0.2069	0.418355
28	-0.058308	-0.4948	0.311137
29	-0.083963	-0.7124	0.239246
30	-0.11037	-0.9365	0.176067
31	-0.136061	-1.1545	0.126053
32	-0.162919	-1.3824	0.085559
33	-0.185154	-1.5711	0.060274
34	-0.21232	-1.8016	0.037898
35	-0.229359	-1.9462	0.027768
36	-0.246211	-2.0892	0.020114
37	-0.2693	-2.2851	0.012628
38	-0.293567	-2.491	0.007522
39	-0.30804	-2.6138	0.005448
40	-0.326303	-2.7688	0.003575
41	-0.342418	-2.9055	0.002434
42	-0.357244	-3.0313	0.001691
43	-0.371117	-3.149	0.001193
44	-0.384461	-3.2623	0.000846
45	-0.389829	-3.3078	0.000735
46	-0.393659	-3.3403	0.000664
47	-0.392858	-3.3335	0.000679
48	-0.393879	-3.3422	0.00066

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.950196	8.0627	0
2	0.03007	0.2552	0.399665
3	-0.072648	-0.6164	0.269775
4	-0.028564	-0.2424	0.404592
5	-0.01778	-0.1509	0.44025
6	-0.02096	-0.1779	0.429669
7	-0.027203	-0.2308	0.409052
8	0.047032	0.3991	0.345508
9	0.032822	0.2785	0.390712
10	0.057121	0.4847	0.314685
11	-0.11635	-0.9873	0.163411
12	0.003007	0.0255	0.489858
13	-0.0267	-0.2266	0.410704
14	-0.001113	-0.0094	0.496244
15	-0.025068	-0.2127	0.416079
16	-0.006616	-0.0561	0.477694
17	-0.031302	-0.2656	0.395649
18	0.004709	0.04	0.484121
19	-0.072913	-0.6187	0.269037
20	-0.022357	-0.1897	0.425037
21	-0.014876	-0.1262	0.449952
22	-0.081467	-0.6913	0.245808
23	0.02215	0.1879	0.425723
24	-0.079419	-0.6739	0.251269
25	0.018253	0.1549	0.438674
26	-0.085442	-0.725	0.235402
27	0.019793	0.168	0.433547
28	-0.054203	-0.4599	0.323477
29	0.059026	0.5009	0.309002
30	-0.042106	-0.3573	0.360964
31	-0.033747	-0.2863	0.387717
32	-0.034611	-0.2937	0.384922
33	-0.00186	-0.0158	0.493725
34	-0.063911	-0.5423	0.294641
35	0.051186	0.4343	0.332675
36	0.012414	0.1053	0.458201
37	-0.113254	-0.961	0.169887
38	-0.03318	-0.2815	0.389551
39	0.044291	0.3758	0.354077
40	-0.03551	-0.3013	0.382021
41	-0.045491	-0.386	0.350317
42	0.017179	0.1458	0.442255
43	-0.033754	-0.2864	0.387692
44	-0.003567	-0.0303	0.48797
45	0.018919	0.1605	0.436456
46	0.000496	0.0042	0.498328
47	0.035343	0.2999	0.382561
48	-0.039419	-0.3345	0.369495

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260304323hiqynqihqqhcmod/16k341260304260.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260304323hiqynqihqqhcmod/16k341260304260.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260304323hiqynqihqqhcmod/249ew1260304260.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260304323hiqynqihqqhcmod/249ew1260304260.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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