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Opdracht 6bis Oefening 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, 03 Jun 2009 05:19:51 -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/03/t1244028116t4p4ngx48u427u6.htm/, Retrieved Wed, 03 Jun 2009 13:21:58 +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/03/t1244028116t4p4ngx48u427u6.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:

Thomas Cammaert

Dataseries X:

» Textbox « » Textfile « » CSV «

8,9722 8,8284 8,7446 8,7519 8,6337 8,7272 8,6330 8,5865 8,5968 8,5114 8,3884 8,2671 8,2410 8,3177 8,4070 8,3917 8,4145 8,5245 8,6289 8,6622 8,9055 8,9770 9,1264 9,1120 9,0576 9,2106 9,2637 9,3107 9,6744 9,5780 9,4166 9,4359 9,2275 9,1828 9,0594 9,1358 9,2208 9,1137 9,2689 9,2489 9,1679 9,1051 9,0818 9,0961 9,1733 9,1455 9,2265 9,1541 9,1559 9,1182 9,1856 9,2378 9,0682 9,0105 8,9939 9,0228 9,1368 9,1763 9,2346 9,1653 9,1277 9,1430 9,1962 9,1861 9,0920 9,0620 8,9981 8,9819 9,0476 9,0852 9,0884 9,1670 9,1931 9,2628 9,4276 9,3398 9,3342 9,4223 9,5614 9,4316 9,3111 9,3414 9,4017 9,3346 9,3310 9,2349 9,2170 9,2098 9,2665 9,2533 9,1008 9,0377 9,0795 9,1896 9,2992 9,2372 9,2061 9,3290 9,1842 9,3231 9,2835 9,1735 9,2889 9,4319 9,4314 9,3642 9,4020 9,3699 9,3106 9,3739 9,4566 9,3984 9,5637 9,8506

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.92267	9.8514	0
2	0.854662	9.1253	0
3	0.800555	8.5476	0
4	0.727779	7.7706	0
5	0.667319	7.125	0
6	0.60652	6.4759	0
7	0.537772	5.7418	0
8	0.461896	4.9317	1e-06
9	0.384338	4.1036	3.8e-05
10	0.313214	3.3442	0.000559
11	0.228054	2.435	0.008222
12	0.148871	1.5895	0.057358
13	0.098164	1.0481	0.148404
14	0.048205	0.5147	0.303882
15	0.013322	0.1422	0.443569
16	-0.014929	-0.1594	0.436818
17	-0.048943	-0.5226	0.301145
18	-0.058141	-0.6208	0.267992
19	-0.065267	-0.6969	0.243654
20	-0.070145	-0.7489	0.227716
21	-0.071548	-0.7639	0.223246
22	-0.064087	-0.6843	0.247599
23	-0.050148	-0.5354	0.296695
24	-0.044802	-0.4784	0.316657
25	-0.036156	-0.386	0.350093
26	-0.029614	-0.3162	0.376216
27	-0.020082	-0.2144	0.415302
28	0.005145	0.0549	0.478146
29	0.027062	0.2889	0.386573
30	0.043962	0.4694	0.319845
31	0.05267	0.5624	0.287486
32	0.047856	0.511	0.305184
33	0.044178	0.4717	0.319026
34	0.04513	0.4819	0.315416
35	0.042682	0.4557	0.32473
36	0.027977	0.2987	0.382851
37	0.017081	0.1824	0.427805
38	0.015828	0.169	0.433048
39	0.011604	0.1239	0.450808
40	0.000659	0.007	0.497201
41	0.002698	0.0288	0.488533
42	0.006362	0.0679	0.472983
43	0.01119	0.1195	0.452555
44	0.012066	0.1288	0.448858
45	0.020795	0.222	0.412343
46	0.035096	0.3747	0.354283
47	0.048077	0.5133	0.304361
48	0.067613	0.7219	0.235913
49	0.079931	0.8534	0.197607
50	0.084585	0.9031	0.184183
51	0.080089	0.8551	0.197139
52	0.070079	0.7482	0.227928
53	0.065034	0.6944	0.244431
54	0.050928	0.5438	0.293834
55	0.033385	0.3565	0.361079
56	0.009927	0.106	0.457889
57	-0.019552	-0.2088	0.417503
58	-0.048419	-0.517	0.303087
59	-0.071859	-0.7672	0.222261
60	-0.093212	-0.9952	0.160866

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.92267	9.8514	0
2	0.022474	0.24	0.405396
3	0.06036	0.6445	0.260282
4	-0.145577	-1.5543	0.061437
5	0.037963	0.4053	0.342997
6	-0.052217	-0.5575	0.28913
7	-0.066048	-0.7052	0.241064
8	-0.117097	-1.2503	0.106883
9	-0.069014	-0.7369	0.231358
10	-0.016608	-0.1773	0.429783
11	-0.145729	-1.556	0.061245
12	-0.0342	-0.3652	0.357837
13	0.112243	1.1984	0.116618
14	0.013523	0.1444	0.442726
15	0.079527	0.8491	0.198798
16	-0.006007	-0.0641	0.474488
17	-0.026673	-0.2848	0.388162
18	0.129123	1.3787	0.08535
19	-0.004659	-0.0497	0.480205
20	-0.000627	-0.0067	0.497337
21	-0.044693	-0.4772	0.317069
22	0.053284	0.5689	0.285266
23	-0.004375	-0.0467	0.481413
24	-0.070849	-0.7565	0.225467
25	-0.016193	-0.1729	0.43152
26	-0.03894	-0.4158	0.33918
27	0.068	0.726	0.23465
28	0.075986	0.8113	0.209438
29	0.000503	0.0054	0.49786
30	0.028738	0.3068	0.379762
31	-0.053137	-0.5673	0.285798
32	-0.067659	-0.7224	0.235764
33	-0.023319	-0.249	0.401914
34	0.031647	0.3379	0.368032
35	0.001967	0.021	0.491639
36	-0.111634	-1.1919	0.117882
37	0.008923	0.0953	0.462133
38	0.038145	0.4073	0.342284
39	0.056115	0.5991	0.275133
40	-0.016013	-0.171	0.432275
41	0.081628	0.8715	0.192644
42	0.079714	0.8511	0.198245
43	0.035315	0.3771	0.353414
44	-0.072862	-0.7779	0.219106
45	0.053604	0.5723	0.284113
46	0.057915	0.6184	0.268785
47	0.016557	0.1768	0.429998
48	-0.026423	-0.2821	0.389182
49	-0.068465	-0.731	0.233138
50	-0.034506	-0.3684	0.356622
51	-0.101139	-1.0799	0.141241
52	-0.079395	-0.8477	0.199188
53	-0.013731	-0.1466	0.441849
54	-0.021386	-0.2283	0.409895
55	0.014462	0.1544	0.438779
56	-0.078146	-0.8344	0.202907
57	-0.047986	-0.5124	0.304698
58	0.006233	0.0665	0.473529
59	0.075943	0.8109	0.20957
60	0.057568	0.6147	0.270004

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244028116t4p4ngx48u427u6/16c931244027990.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244028116t4p4ngx48u427u6/16c931244027990.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244028116t4p4ngx48u427u6/2av6m1244027990.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244028116t4p4ngx48u427u6/2av6m1244027990.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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