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opgave 6bis oefening 2, 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, 09 Dec 2009 23:25:57 -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/10/t1260426412nrj6i27l6m8fapx.htm/, Retrieved Thu, 10 Dec 2009 07:26:55 +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/10/t1260426412nrj6i27l6m8fapx.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 «

5,2100 5,2300 5,2300 5,2300 5,2200 5,2100 5,2300 5,2500 5,2300 5,2300 5,2500 5,2400 5,2600 5,2700 5,2600 5,2900 5,2900 5,2900 5,2900 5,3100 5,3300 5,3400 5,3400 5,3700 5,4100 5,4100 5,3800 5,4400 5,4400 5,4600 5,4600 5,4500 5,4600 5,4600 5,4800 5,4700 5,4800 5,5100 5,5500 5,5800 5,5900 5,6000 5,6000 5,6700 5,7100 5,7000 5,7300 5,7200 5,7500 5,7500 5,7700 5,8300 5,8500 5,8700 5,8600 5,8700 5,9300 5,9700 5,9800 5,9900 5,9900 6,0300 6,0600 6,0700 6,0800 6,0800 6,1000 6,1300 6,1400 6,1400 6,1600 6,2000 6,1900 6,3200 6,3200 6,3300 6,3200 6,3300 6,3800 6,4200 6,4600 6,4700 6,4200 6,4800 6,4700 6,4900 6,4800 6,5100 6,5100 6,5200 6,5700 6,5900 6,6200 6,6300 6,6100 6,6400 6,6900 6,6900 6,7500 6,7700 6,8100 6,8100 6,8100 6,8700 6,8600 6,8800 6,8800 6,9200 6,9200 6,9900 7,0200 7,0500 7,0600 7,0600 7,0900 7,1200 7,2300 7,3100 7,4500 7,4900 7,5400 7,5500 7,5800 7,6000 7,6300 7,6400 7,6300 7,6600 etc...

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	0.035892	0.4108	0.340945
2	0.194529	2.2265	0.013845
3	-0.023522	-0.2692	0.39409
4	-0.001252	-0.0143	0.494293
5	0.148478	1.6994	0.045808
6	0.058894	0.6741	0.250728
7	0.121537	1.391	0.083284
8	-0.042318	-0.4844	0.314472
9	0.006755	0.0773	0.469244
10	-0.009983	-0.1143	0.454605
11	0.009997	0.1144	0.454539
12	0.003785	0.0433	0.482755
13	0.019296	0.2209	0.412774
14	-0.056972	-0.6521	0.257749
15	-0.053859	-0.6164	0.269336
16	-0.051723	-0.592	0.277436
17	0.114508	1.3106	0.096142
18	0.066722	0.7637	0.223219
19	0.047388	0.5424	0.294239
20	0.123712	1.416	0.079581
21	-0.124521	-1.4252	0.078237
22	0.122821	1.4058	0.081082
23	-0.000996	-0.0114	0.495461
24	0.015604	0.1786	0.429263
25	-0.040111	-0.4591	0.323463
26	-0.041295	-0.4726	0.318625
27	0.082355	0.9426	0.173813
28	-0.013846	-0.1585	0.437162
29	0.050192	0.5745	0.283318
30	0.019355	0.2215	0.412515
31	-0.079778	-0.9131	0.181433
32	-0.039836	-0.4559	0.324594
33	-0.06601	-0.7555	0.225646
34	-0.013699	-0.1568	0.437823
35	-0.06397	-0.7322	0.232688
36	-0.017298	-0.198	0.421681
37	0.091917	1.052	0.14736
38	-0.065209	-0.7464	0.228396
39	0.066707	0.7635	0.223272
40	-0.011486	-0.1315	0.447805
41	-0.024091	-0.2757	0.391593
42	-0.034966	-0.4002	0.344831
43	-0.000245	-0.0028	0.498883
44	0.078899	0.903	0.184081
45	0.031225	0.3574	0.360689
46	0.090071	1.0309	0.152242
47	0.018077	0.2069	0.418203
48	-0.116572	-1.3342	0.092222

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.035892	0.4108	0.340945
2	0.19349	2.2146	0.014258
3	-0.03755	-0.4298	0.33403
4	-0.038442	-0.44	0.330333
5	0.16868	1.9306	0.027845
6	0.057922	0.663	0.254263
7	0.056628	0.6481	0.259016
8	-0.0623	-0.7131	0.238539
9	-0.013747	-0.1573	0.437611
10	-0.000129	-0.0015	0.499412
11	-0.004736	-0.0542	0.478427
12	-0.030296	-0.3468	0.364665
13	0.024288	0.278	0.390732
14	-0.058003	-0.6639	0.253968
15	-0.051687	-0.5916	0.277576
16	-0.028225	-0.323	0.373587
17	0.149909	1.7158	0.044282
18	0.068582	0.785	0.216947
19	0.000581	0.0067	0.497351
20	0.134122	1.5351	0.063585
21	-0.108703	-1.2442	0.107831
22	0.06748	0.7723	0.220652
23	0.021772	0.2492	0.4018
24	-0.081401	-0.9317	0.176609
25	-0.088892	-1.0174	0.155416
26	-0.00645	-0.0738	0.470633
27	0.084659	0.969	0.167173
28	0.001617	0.0185	0.49263
29	-0.009883	-0.1131	0.455056
30	0.054268	0.6211	0.267799
31	-0.068236	-0.781	0.218107
32	-0.036681	-0.4198	0.337648
33	-0.027528	-0.3151	0.376604
34	-0.011084	-0.1269	0.449624
35	-0.07766	-0.8889	0.187853
36	-0.019781	-0.2264	0.410621
37	0.126365	1.4463	0.075239
38	-0.0193	-0.2209	0.412756
39	0.011044	0.1264	0.449803
40	0.007759	0.0888	0.464687
41	-0.004321	-0.0495	0.480316
42	-0.073598	-0.8424	0.20056
43	0.052673	0.6029	0.273819
44	0.088348	1.0112	0.156895
45	0.015466	0.177	0.429887
46	0.024703	0.2827	0.388912
47	0.00383	0.0438	0.482553
48	-0.129285	-1.4797	0.070672

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260426412nrj6i27l6m8fapx/1hcut1260426355.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260426412nrj6i27l6m8fapx/1hcut1260426355.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260426412nrj6i27l6m8fapx/2k8rk1260426355.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260426412nrj6i27l6m8fapx/2k8rk1260426355.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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