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opgave 6bis oefening 2 stap 1

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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 11:59:02 -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/t1244051992qrgfrva163ac5kd.htm/, Retrieved Wed, 03 Jun 2009 19:59:54 +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/t1244051992qrgfrva163ac5kd.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 «

41 39 50 40 43 38 44 35 39 35 29 49 50 59 63 32 47 53 60 57 52 70 90 74 62 55 84 94 70 108 139 120 97 126 149 158 124 140 109 114 77 120 133 110 92 97 78 99 107 112 90 98 125 155 190 236 189 174 178 136 161 171 149 184 155 276 224 213 279 268 287 238 213 257 293 212 246 353 339 308 247 257 322 298 273 312 249 286 279 309 401 309 328 353 354 327 324 285 243 241 287 355 460 364 487 452 391 500 451 375 372 302 316 398 394 431 431

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	0.926728	10.0241	0
2	0.879715	9.5156	0
3	0.851771	9.2133	0
4	0.80569	8.7149	0
5	0.794104	8.5895	0
6	0.771425	8.3442	0
7	0.746152	8.0709	0
8	0.741631	8.022	0
9	0.708197	7.6603	0
10	0.677275	7.3259	0
11	0.67975	7.3526	0
12	0.664529	7.188	0
13	0.624518	6.7552	0
14	0.594576	6.4313	0
15	0.5455	5.9005	0
16	0.514484	5.565	0
17	0.500215	5.4107	0
18	0.477967	5.17	0
19	0.472841	5.1146	1e-06
20	0.459586	4.9712	1e-06
21	0.428661	4.6367	5e-06
22	0.423426	4.58	6e-06
23	0.408475	4.4183	1.1e-05
24	0.388605	4.2034	2.6e-05
25	0.370794	4.0107	5.4e-05
26	0.335514	3.6291	0.000211
27	0.30246	3.2716	0.000703
28	0.282737	3.0583	0.00138
29	0.254262	2.7503	0.003451
30	0.241043	2.6073	0.005157
31	0.232036	2.5098	0.006723
32	0.206353	2.2321	0.013758
33	0.191212	2.0683	0.020409
34	0.182724	1.9765	0.025228
35	0.17195	1.8599	0.032704
36	0.167622	1.8131	0.036189
37	0.14928	1.6147	0.054534
38	0.120333	1.3016	0.097805
39	0.10064	1.0886	0.139286
40	0.057847	0.6257	0.266362
41	0.028362	0.3068	0.379778
42	0.01144	0.1237	0.450865
43	-0.017918	-0.1938	0.423327
44	-0.039018	-0.422	0.336883
45	-0.058358	-0.6312	0.264559
46	-0.07128	-0.771	0.221127
47	-0.082058	-0.8876	0.18829
48	-0.104057	-1.1255	0.131331

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.926728	10.0241	0
2	0.147971	1.6005	0.056087
3	0.144979	1.5682	0.059769
4	-0.091862	-0.9936	0.161224
5	0.215228	2.328	0.010814
6	-0.03521	-0.3808	0.352003
7	0.034039	0.3682	0.3567
8	0.093728	1.0138	0.15638
9	-0.119307	-1.2905	0.099711
10	-0.033423	-0.3615	0.35918
11	0.186124	2.0132	0.023192
12	-0.000196	-0.0021	0.499155
13	-0.245025	-2.6504	0.004577
14	-0.031346	-0.3391	0.367588
15	-0.11873	-1.2843	0.100795
16	0.030512	0.33	0.37098
17	0.067639	0.7316	0.23293
18	0.063754	0.6896	0.245905
19	0.000568	0.0061	0.497553
20	-0.025782	-0.2789	0.390416
21	-0.004458	-0.0482	0.480812
22	0.112123	1.2128	0.113826
23	-0.04566	-0.4939	0.311154
24	-0.02505	-0.271	0.393451
25	-0.076501	-0.8275	0.204822
26	-0.070168	-0.759	0.224694
27	-0.025917	-0.2803	0.389857
28	0.040858	0.4419	0.329672
29	-0.052838	-0.5715	0.284369
30	-0.025653	-0.2775	0.39095
31	-0.012758	-0.138	0.445238
32	-0.021978	-0.2377	0.406252
33	0.034036	0.3682	0.35671
34	0.072524	0.7845	0.217176
35	0.058535	0.6332	0.263934
36	-0.041656	-0.4506	0.326565
37	-0.032932	-0.3562	0.361162
38	-0.05613	-0.6071	0.272467
39	-0.001336	-0.0145	0.494246
40	-0.193876	-2.0971	0.01907
41	-0.007421	-0.0803	0.468078
42	-0.085922	-0.9294	0.1773
43	-0.052645	-0.5694	0.285072
44	-0.029003	-0.3137	0.377149
45	0.047761	0.5166	0.3032
46	0.074078	0.8013	0.212299
47	-0.06935	-0.7501	0.22734
48	-0.036518	-0.395	0.346778

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244051992qrgfrva163ac5kd/1n3od1244051940.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244051992qrgfrva163ac5kd/1n3od1244051940.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244051992qrgfrva163ac5kd/2xjcz1244051940.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/03/t1244051992qrgfrva163ac5kd/2xjcz1244051940.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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