opdracht6bis2-MerelBoels-MAR204A

*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, 02 Jun 2009 08:22:48 -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/Jun/02/t1243952617z9jcy0ypduphlf1.htm/, Retrieved Tue, 02 Jun 2009 16:23:40 +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/Jun/02/t1243952617z9jcy0ypduphlf1.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 «

672,1 674,4 676,6 678,7 680,8 682,9 684 684,1 684,1 684,2 685,9 689,2 692,4 695,7 697,2 696,8 696,4 695,9 696,2 697,2 705,2 706,2 707,4 708,7 710 711,3 711,5 710,7 710 709,2 707,9 706,1 704,4 702,7 701,5 700,8 700 699,3 698,8 698,4 696,8 695,1 694,3 693,4 692,4 691 689,7 688,3 686 683,6 682,6 681,9 681 679,9 678,5 677,5 678 679 679,8 681,3 684,2 687 688,4 689,5 691,1 693,3 695,9 698 699,6 701,6 703,5 705,5 708,1 709,6 710,3

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 0.701528 6.0348 0 2 0.549934 4.7307 5e-06 3 0.424549 3.6521 0.000241 4 0.355696 3.0598 0.001542 5 0.322709 2.7761 0.003482 6 0.336891 2.898 0.002469 7 0.358649 3.0852 0.00143 8 0.357673 3.0768 0.001466 9 0.343408 2.9541 0.002101 10 0.235202 2.0233 0.023328 11 0.111674 0.9607 0.169928 12 0.058315 0.5016 0.308702 13 0.009327 0.0802 0.468132 14 0.010307 0.0887 0.464796 15 0.012254 0.1054 0.458167 16 -0.034359 -0.2956 0.384195 17 -0.059846 -0.5148 0.304109 18 -0.072982 -0.6278 0.266028 19 -0.093779 -0.8067 0.211206 20 -0.207598 -1.7858 0.039112 21 -0.213005 -1.8323 0.035462 22 -0.192853 -1.659 0.050676 23 -0.224955 -1.9351 0.028397 24 -0.256517 -2.2066 0.015221 25 -0.292924 -2.5198 0.006949 26 -0.316046 -2.7187 0.00408 27 -0.345853 -2.9751 0.001977 28 -0.39629 -3.409 0.000529 29 -0.414931 -3.5694 0.000316 30 -0.360156 -3.0982 0.001376 31 -0.318502 -2.7399 0.003849 32 -0.301962 -2.5976 0.005661 33 -0.292345 -2.5148 0.00704 34 -0.296965 -2.5546 0.006344 35 -0.288868 -2.4849 0.007609 36 -0.232452 -1.9996 0.024606 37 -0.197437 -1.6984 0.046815 38 -0.190578 -1.6394 0.052686 39 -0.1578 -1.3574 0.089383 40 -0.098173 -0.8445 0.200552 41 -0.092618 -0.7967 0.214077 42 -0.133347 -1.1471 0.127519 43 -0.131455 -1.1308 0.130891 44 -0.090941 -0.7823 0.218266 45 -0.030071 -0.2587 0.398302 46 0.030492 0.2623 0.396909 47 0.052374 0.4505 0.326821 48 0.052168 0.4488 0.327454 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.701528 6.0348 0 2 0.113797 0.9789 0.165405 3 0.005637 0.0485 0.480727 4 0.0547 0.4706 0.319673 5 0.069748 0.6 0.275172 6 0.120501 1.0366 0.151652 7 0.101047 0.8692 0.193763 8 0.042981 0.3697 0.356318 9 0.030366 0.2612 0.397324 10 -0.152422 -1.3112 0.096925 11 -0.155234 -1.3354 0.092923 12 -0.00801 -0.0689 0.472625 13 -0.06238 -0.5366 0.296574 14 0.00425 0.0366 0.485467 15 -0.020994 -0.1806 0.428589 16 -0.124122 -1.0677 0.144554 17 -0.017566 -0.1511 0.440152 18 0.028173 0.2424 0.404589 19 0.021829 0.1878 0.425781 20 -0.18527 -1.5938 0.057627 21 0.023132 0.199 0.42141 22 0.053689 0.4618 0.322772 23 -0.115302 -0.9919 0.162248 24 -0.093792 -0.8068 0.211176 25 -0.058757 -0.5054 0.307375 26 -0.045567 -0.392 0.348099 27 -0.090896 -0.7819 0.218378 28 -0.145987 -1.2558 0.106565 29 -0.028334 -0.2437 0.404053 30 0.092977 0.7998 0.213188 31 -0.017921 -0.1542 0.43895 32 -0.01536 -0.1321 0.447621 33 -0.008788 -0.0756 0.469973 34 -0.007628 -0.0656 0.473928 35 0.054875 0.4721 0.31914 36 0.077746 0.6688 0.252853 37 0.005173 0.0445 0.482314 38 -0.052468 -0.4513 0.326529 39 0.000684 0.0059 0.49766 40 0.019424 0.1671 0.433876 41 -0.078877 -0.6785 0.249776 42 -0.116119 -0.9989 0.160552 43 -0.009418 -0.081 0.467823 44 0.012159 0.1046 0.45849 45 -0.003443 -0.0296 0.488226 46 0.060482 0.5203 0.302208 47 0.033788 0.2907 0.386064 48 -0.060931 -0.5241 0.300872

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952617z9jcy0ypduphlf1/1de0k1243952566.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952617z9jcy0ypduphlf1/1de0k1243952566.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952617z9jcy0ypduphlf1/2wufl1243952566.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952617z9jcy0ypduphlf1/2wufl1243952566.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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')

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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