Home » date » 2009 » Jun » 02 »

Ben Eysackers, opgave 6 bis, oef 2, deel 1

*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 12:57:00 -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/t12439691458uu61ohoaqn6wnk.htm/, Retrieved Tue, 02 Jun 2009 20:59:07 +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/t12439691458uu61ohoaqn6wnk.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 «

-46 -33 -34 -25 -33 -18 -26 -21 -23 -24 -26 -32 -47 -45 -47 -43 -48 -48 -43 -44 -46 -36 -32 -18 -31 -37 -32 -29 -29 -40 -26 -29 -19 -30 -12 -24 -40 -43 -49 -49 -48 -33 -46 -46 -43 -44 -38 -38 -39 -47 -41 -36 -38 -11 -24 -30 -18 -21 -22 -15 -15 -16 -26 -39 -28 -25 -25 -13 -20 -13 -10 -19 -31 -36 -26 -33 -42 -44 -45 -42 -60 -42 -63 -71

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	0.673181	6.1698	0
2	0.545095	4.9959	2e-06
3	0.44164	4.0477	5.7e-05
4	0.297993	2.7312	0.003845
5	0.190296	1.7441	0.042401
6	0.098403	0.9019	0.18485
7	0.035813	0.3282	0.371776
8	-0.067275	-0.6166	0.269588
9	-0.118423	-1.0854	0.140432
10	-0.161359	-1.4789	0.071457
11	-0.183326	-1.6802	0.048316
12	-0.201051	-1.8427	0.034453
13	-0.236215	-2.1649	0.016614
14	-0.229799	-2.1061	0.019088
15	-0.288703	-2.646	0.004861
16	-0.271521	-2.4885	0.007401
17	-0.235146	-2.1551	0.017006
18	-0.218617	-2.0037	0.024165
19	-0.194454	-1.7822	0.039165
20	-0.196549	-1.8014	0.037614
21	-0.210518	-1.9294	0.028527
22	-0.217014	-1.989	0.02498
23	-0.145053	-1.3294	0.093652
24	-0.086805	-0.7956	0.214259
25	0.005593	0.0513	0.479618
26	0.002777	0.0254	0.489878
27	-0.009319	-0.0854	0.466069
28	0.001103	0.0101	0.495979
29	-0.025892	-0.2373	0.406499
30	-0.006179	-0.0566	0.477488
31	0.040659	0.3726	0.355175
32	0.030261	0.2773	0.391099
33	0.094907	0.8698	0.193433
34	0.084216	0.7719	0.221183
35	0.095471	0.875	0.192032
36	0.109077	0.9997	0.160161
37	0.105843	0.9701	0.167399
38	0.107015	0.9808	0.164751
39	0.038507	0.3529	0.362516
40	0.022665	0.2077	0.417971
41	-0.048987	-0.449	0.327302
42	-0.041527	-0.3806	0.35223
43	0.011802	0.1082	0.457059
44	-0.000298	-0.0027	0.498913
45	-0.040318	-0.3695	0.356334
46	-0.056971	-0.5222	0.30147
47	-0.059997	-0.5499	0.291929
48	-0.118274	-1.084	0.140733

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.673181	6.1698	0
2	0.168102	1.5407	0.063577
3	0.043686	0.4004	0.344944
4	-0.101429	-0.9296	0.177618
5	-0.060348	-0.5531	0.290832
6	-0.049837	-0.4568	0.324508
7	-0.009774	-0.0896	0.464416
8	-0.119451	-1.0948	0.138369
9	-0.037133	-0.3403	0.36723
10	-0.042709	-0.3914	0.348234
11	-0.007651	-0.0701	0.472131
12	-0.036822	-0.3375	0.3683
13	-0.085751	-0.7859	0.217062
14	-0.019842	-0.1819	0.428068
15	-0.144223	-1.3218	0.094907
16	-0.001957	-0.0179	0.492867
17	0.019016	0.1743	0.431031
18	-0.021679	-0.1987	0.421493
19	-0.039303	-0.3602	0.359793
20	-0.087261	-0.7998	0.213053
21	-0.112158	-1.0279	0.153463
22	-0.067903	-0.6223	0.267702
23	0.071158	0.6522	0.258033
24	0.044427	0.4072	0.342456
25	0.100904	0.9248	0.178858
26	-0.123095	-1.1282	0.131227
27	-0.110591	-1.0136	0.156846
28	-0.064663	-0.5926	0.277507
29	-0.071341	-0.6539	0.257496
30	-0.001314	-0.012	0.49521
31	0.070964	0.6504	0.258606
32	-0.045995	-0.4216	0.337215
33	0.118448	1.0856	0.140382
34	-0.071485	-0.6552	0.257075
35	-0.027683	-0.2537	0.400165
36	-0.032941	-0.3019	0.381734
37	-0.053957	-0.4945	0.311113
38	0.023157	0.2122	0.416219
39	-0.10852	-0.9946	0.161393
40	0.017825	0.1634	0.435312
41	-0.117049	-1.0728	0.143224
42	0.00052	0.0048	0.498104
43	0.095418	0.8745	0.192164
44	-0.040774	-0.3737	0.354785
45	-0.120274	-1.1023	0.136733
46	0.009161	0.084	0.466645
47	-0.01809	-0.1658	0.434358
48	-0.112307	-1.0293	0.153145

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439691458uu61ohoaqn6wnk/1r7rk1243969018.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439691458uu61ohoaqn6wnk/1r7rk1243969018.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439691458uu61ohoaqn6wnk/2i9851243969018.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t12439691458uu61ohoaqn6wnk/2i9851243969018.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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