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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 08:27:09 -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/t1243952875rxsz6zxjgrkabdv.htm/, Retrieved Tue, 02 Jun 2009 16:27:55 +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/t1243952875rxsz6zxjgrkabdv.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.943355	8.1697	0
2	0.873321	7.5632	0
3	0.795308	6.8876	0
4	0.71467	6.1892	0
5	0.63228	5.4757	0
6	0.549013	4.7546	5e-06
7	0.462365	4.0042	7.3e-05
8	0.368606	3.1922	0.001032
9	0.268554	2.3257	0.011369
10	0.163905	1.4195	0.079954
11	0.060886	0.5273	0.299776
12	-0.034199	-0.2962	0.383957
13	-0.120929	-1.0473	0.149168
14	-0.196962	-1.7057	0.046098
15	-0.263904	-2.2855	0.012556
16	-0.326205	-2.825	0.003027
17	-0.385266	-3.3365	0.000661
18	-0.442009	-3.8279	0.000133
19	-0.493684	-4.2754	2.8e-05
20	-0.538906	-4.6671	7e-06
21	-0.559833	-4.8483	3e-06
22	-0.574467	-4.975	2e-06
23	-0.582295	-5.0428	2e-06
24	-0.581859	-5.039	2e-06
25	-0.571952	-4.9533	2e-06
26	-0.552206	-4.7822	4e-06
27	-0.527554	-4.5688	9e-06
28	-0.499718	-4.3277	2.3e-05
29	-0.465584	-4.0321	6.6e-05
30	-0.424879	-3.6796	0.000219
31	-0.380648	-3.2965	0.000749
32	-0.334655	-2.8982	0.002459
33	-0.287078	-2.4862	0.007569
34	-0.238156	-2.0625	0.021312
35	-0.188438	-1.6319	0.053445
36	-0.136873	-1.1854	0.119809
37	-0.08301	-0.7189	0.237222
38	-0.027805	-0.2408	0.405185
39	0.028579	0.2475	0.4026
40	0.085242	0.7382	0.231344
41	0.137682	1.1924	0.11844
42	0.184357	1.5966	0.057283
43	0.227432	1.9696	0.026287
44	0.266427	2.3073	0.011899
45	0.299652	2.5951	0.005685
46	0.325286	2.8171	0.003096
47	0.34279	2.9686	0.002007
48	0.351379	3.043	0.001614

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.943355	8.1697	0
2	-0.150776	-1.3058	0.097813
3	-0.097836	-0.8473	0.199767
4	-0.054071	-0.4683	0.320475
5	-0.056402	-0.4885	0.313326
6	-0.05469	-0.4736	0.31857
7	-0.083363	-0.7219	0.236288
8	-0.120942	-1.0474	0.149141
9	-0.115791	-1.0028	0.159596
10	-0.110809	-0.9596	0.170162
11	-0.066447	-0.5754	0.283355
12	-0.022032	-0.1908	0.424598
13	-0.031371	-0.2717	0.393306
14	-0.009958	-0.0862	0.465753
15	-0.02231	-0.1932	0.423658
16	-0.061008	-0.5283	0.299409
17	-0.070521	-0.6107	0.271612
18	-0.086444	-0.7486	0.228211
19	-0.072935	-0.6316	0.264773
20	-0.074557	-0.6457	0.260229
21	0.095433	0.8265	0.205578
22	-0.087406	-0.757	0.225724
23	-0.062105	-0.5378	0.296138
24	-0.025473	-0.2206	0.412999
25	-0.003609	-0.0313	0.487574
26	0.009482	0.0821	0.467386
27	-0.043643	-0.378	0.353265
28	-0.067771	-0.5869	0.279513
29	-0.030738	-0.2662	0.395407
30	-0.025868	-0.224	0.411673
31	-0.041709	-0.3612	0.35948
32	-0.041239	-0.3571	0.360996
33	-0.040503	-0.3508	0.363372
34	-0.024048	-0.2083	0.417794
35	-0.019949	-0.1728	0.431653
36	-0.010731	-0.0929	0.463103
37	0.001497	0.013	0.494844
38	-0.004383	-0.038	0.484912
39	0.010433	0.0903	0.464126
40	0.01053	0.0912	0.46379
41	-0.000616	-0.0053	0.497878
42	-0.043784	-0.3792	0.352812
43	-0.009374	-0.0812	0.467756
44	-0.003388	-0.0293	0.488335
45	-0.015233	-0.1319	0.447701
46	-0.029999	-0.2598	0.397867
47	-0.048973	-0.4241	0.336346
48	-0.055973	-0.4847	0.314635

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952875rxsz6zxjgrkabdv/1y6u01243952824.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952875rxsz6zxjgrkabdv/1y6u01243952824.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952875rxsz6zxjgrkabdv/278wd1243952824.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952875rxsz6zxjgrkabdv/278wd1243952824.ps (open in new window)

Parameters (Session):

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

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')

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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