Home » date » 2009 » Jun » 02 »

Opgave 6 Bis Oefening 2 Anke Winckelmans

*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 14:40:10 -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/t1243975497s8h6jard6osc2gm.htm/, Retrieved Tue, 02 Jun 2009 22:44:59 +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/t1243975497s8h6jard6osc2gm.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 «

3779.7 3795.5 3813.1 3826.9 3833.3 3844.8 3851.3 3851.8 3854.1 3858.4 3861.6 3856.3 3855.8 3860.4 3855.1 3839.5 3833 3833.6 3826.8 3818.2 3811.4 3806.8 3810.3 3818.2 3858.9 3867.8 3872.3 3873.3 3876.7 3882.6 3883.5 3882.2 3888.1 3893.7 3901.9 3914.3 3930.3 3948.3 3971.5 3990.1 3993 3998 4015.8 4041.2 4060.7 4076.7 4103 4125.3 4139.7 4146.7 4158 4155.1 4144.8 4148.2 4142.5 4142.1 4145.4 4146.3 4143.5 4149.2 4158.9 4166.1 4179.1 4194.4 4211.7 4226.3 4235.8 4243.6 4258.7 4278.2 4298 4315.1 4334.3 4356 4374 4395.5

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	8 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.954331	8.3197	0
2	0.90948	7.9287	0
3	0.865843	7.5482	0
4	0.824011	7.1836	0
5	0.783112	6.827	0
6	0.743809	6.4844	0
7	0.706448	6.1587	0
8	0.67045	5.8448	0
9	0.635529	5.5404	0
10	0.60093	5.2388	1e-06
11	0.566771	4.941	2e-06
12	0.532974	4.6464	7e-06
13	0.500689	4.3649	2e-05
14	0.47038	4.1007	5.1e-05
15	0.440607	3.8411	0.000126
16	0.409482	3.5698	0.000312
17	0.378641	3.3009	0.000735
18	0.348145	3.0351	0.001646
19	0.315457	2.7501	0.003721
20	0.28069	2.447	0.008357
21	0.244386	2.1305	0.018182
22	0.2059	1.795	0.038315
23	0.164858	1.4372	0.077383
24	0.123335	1.0752	0.142841
25	0.082481	0.7191	0.237156
26	0.040271	0.3511	0.363252
27	-0.001455	-0.0127	0.494956
28	-0.04342	-0.3785	0.353048
29	-0.083866	-0.7311	0.233474
30	-0.121427	-1.0586	0.146572
31	-0.155855	-1.3587	0.089129
32	-0.189125	-1.6488	0.051663
33	-0.220001	-1.9179	0.029439
34	-0.247648	-2.1589	0.017005
35	-0.27301	-2.38	0.009909
36	-0.297847	-2.5966	0.00565
37	-0.32239	-2.8105	0.003144
38	-0.343783	-2.997	0.001841
39	-0.360501	-3.1428	0.001193
40	-0.373696	-3.2578	0.00084
41	-0.38531	-3.3591	0.000613
42	-0.39561	-3.4488	0.000461
43	-0.403772	-3.52	0.000366
44	-0.409346	-3.5686	0.000313
45	-0.41283	-3.599	0.000283
46	-0.41576	-3.6245	0.00026
47	-0.41662	-3.632	0.000254
48	-0.414784	-3.616	0.000268

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.954331	8.3197	0
2	-0.014209	-0.1239	0.450873
3	-0.009803	-0.0855	0.466059
4	-0.002925	-0.0255	0.48986
5	-0.012002	-0.1046	0.458471
6	-0.004395	-0.0383	0.484769
7	0.000106	9e-04	0.499634
8	-0.005558	-0.0485	0.480739
9	-0.008079	-0.0704	0.472019
10	-0.0162	-0.1412	0.444033
11	-0.015188	-0.1324	0.447507
12	-0.016252	-0.1417	0.443855
13	-0.003686	-0.0321	0.487224
14	0.002061	0.018	0.492855
15	-0.01318	-0.1149	0.454415
16	-0.034279	-0.2988	0.382939
17	-0.017478	-0.1524	0.439649
18	-0.017416	-0.1518	0.43986
19	-0.046104	-0.4019	0.344433
20	-0.046865	-0.4086	0.342005
21	-0.043956	-0.3832	0.351319
22	-0.054587	-0.4759	0.317763
23	-0.062037	-0.5408	0.295103
24	-0.042714	-0.3724	0.355328
25	-0.032046	-0.2794	0.39036
26	-0.055995	-0.4881	0.313425
27	-0.037981	-0.3311	0.370737
28	-0.048151	-0.4198	0.337917
29	-0.030659	-0.2673	0.394988
30	-0.013527	-0.1179	0.45322
31	-0.008805	-0.0768	0.469507
32	-0.029895	-0.2606	0.397546
33	-0.015438	-0.1346	0.446647
34	-0.003308	-0.0288	0.488536
35	-0.011374	-0.0992	0.460639
36	-0.029178	-0.2544	0.39995
37	-0.030076	-0.2622	0.39694
38	0.00223	0.0194	0.492271
39	0.021661	0.1888	0.425364
40	0.014258	0.1243	0.450703
41	-0.001724	-0.015	0.494023
42	-0.003617	-0.0315	0.487466
43	0.006912	0.0603	0.476056
44	0.014434	0.1258	0.450098
45	0.010491	0.0915	0.463686
46	-0.005304	-0.0462	0.481619
47	0.011806	0.1029	0.459146
48	0.017786	0.1551	0.438595

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243975497s8h6jard6osc2gm/1h9p21243975202.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243975497s8h6jard6osc2gm/1h9p21243975202.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243975497s8h6jard6osc2gm/2p15s1243975202.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243975497s8h6jard6osc2gm/2p15s1243975202.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 4 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 4 ;

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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