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opgave6bisoef2stap2

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 04 Jun 2009 09:02:05 -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/04/t1244127963wou9tyyktpagtqe.htm/, Retrieved Thu, 04 Jun 2009 17:06:06 +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/04/t1244127963wou9tyyktpagtqe.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 «

0,8832 0,8707 0,8766 0,8860 0,9170 0,9561 0,9935 0,9781 0,9806 0,9812 1,0013 1,0194 1,0622 1,0785 1,0797 1,0862 1,1556 1,1674 1,1365 1,1155 1,1267 1,1714 1,1710 1,2298 1,2638 1,2640 1,2261 1,1989 1,2000 1,2146 1,2266 1,2191 1,2224 1,2507 1,2997 1,3406 1,3123 1,3013 1,3185 1,2943 1,2697 1,2155 1,2041 1,2295 1,2234 1,2022 1,0000 1,1861 1,2126 1,1940 1,2028 1,2273 1,2767 1,2661 1,2681 1,2810 1,2722 1,2617 1,2888 1,3205 1,2993 1,3080 1,3246 1,3513 1,3518 1,3421 1,3726 1,3626 1,3910 1,4233 1,4683 1,4559 1,4728 1,4759 1,5520 1,5754 1,5554 1,5562 1,5759 1,4955 1,4342 1,3266 1,2744 1,3511 1,3244 1,2797 1,3050 1,3203

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	-0.027566	-0.2571	0.398847
2	-0.100478	-0.9372	0.175626
3	0.002328	0.0217	0.491363
4	0.12161	1.1343	0.129892
5	0.1007	0.9393	0.175098
6	-0.154222	-1.4385	0.076942
7	-0.085664	-0.799	0.213227
8	-0.021765	-0.203	0.419802
9	0.031052	0.2896	0.386394
10	-0.01825	-0.1702	0.432613
11	-0.054344	-0.5069	0.306758
12	-0.026621	-0.2483	0.402241
13	-0.055389	-0.5166	0.303362
14	0.06831	0.6372	0.26285
15	-0.003071	-0.0286	0.488609
16	-0.057693	-0.5381	0.295933
17	-0.02279	-0.2126	0.416079
18	0.022686	0.2116	0.416457
19	0.105395	0.9831	0.164152
20	-0.039059	-0.3643	0.358251
21	-0.03983	-0.3715	0.355582
22	-0.049906	-0.4655	0.32137
23	-0.033255	-0.3102	0.378582
24	0.003012	0.0281	0.488825
25	-0.050731	-0.4732	0.318633
26	-0.008832	-0.0824	0.467265
27	0.10326	0.9631	0.169072
28	-0.063488	-0.5922	0.277633
29	-0.157487	-1.4689	0.072727
30	-0.08833	-0.8239	0.206129
31	0.12122	1.1307	0.130652
32	-0.115663	-1.0788	0.141822
33	-0.090156	-0.8409	0.20135
34	-0.10489	-0.9783	0.165308
35	0.157459	1.4687	0.072763
36	0.172043	1.6047	0.056091
37	-0.127098	-1.1855	0.119526
38	0.002593	0.0242	0.490378
39	0.174876	1.6311	0.053238
40	0.047195	0.4402	0.33044
41	0.01041	0.0971	0.461436
42	0.012705	0.1185	0.452971
43	0.044143	0.4117	0.340771
44	-0.014051	-0.1311	0.448016
45	0.045778	0.427	0.33522
46	-0.033186	-0.3095	0.378825
47	-0.055524	-0.5179	0.302922
48	-0.017665	-0.1648	0.434754

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.027566	-0.2571	0.398847
2	-0.101315	-0.945	0.173638
3	-0.003554	-0.0332	0.486814
4	0.112635	1.0506	0.148178
5	0.110292	1.0287	0.153228
6	-0.128873	-1.202	0.116304
7	-0.081309	-0.7584	0.225131
8	-0.069826	-0.6513	0.258287
9	-0.006273	-0.0585	0.476737
10	0.00052	0.0049	0.498071
11	-0.003742	-0.0349	0.48612
12	-0.025767	-0.2403	0.405318
13	-0.085154	-0.7943	0.214601
14	0.041084	0.3832	0.351252
15	-0.003407	-0.0318	0.487361
16	-0.039062	-0.3643	0.358241
17	-0.019306	-0.1801	0.428757
18	0.000157	0.0015	0.499419
19	0.073097	0.6818	0.248586
20	-0.016503	-0.1539	0.43901
21	-0.014317	-0.1335	0.447038
22	-0.074874	-0.6984	0.243403
23	-0.088847	-0.8287	0.204769
24	-0.02954	-0.2755	0.391782
25	-0.021385	-0.1995	0.421182
26	0.013989	0.1305	0.448245
27	0.131974	1.231	0.110825
28	-0.077851	-0.7261	0.234851
29	-0.193941	-1.809	0.036956
30	-0.15142	-1.4123	0.080707
31	0.061826	0.5767	0.282825
32	-0.127149	-1.186	0.119432
33	-0.029614	-0.2762	0.391516
34	-0.106558	-0.9939	0.161513
35	0.101403	0.9458	0.17343
36	0.136368	1.272	0.103389
37	-0.072806	-0.6791	0.249443
38	-0.023972	-0.2236	0.411796
39	0.127154	1.186	0.119423
40	-0.039423	-0.3677	0.35699
41	0.018928	0.1765	0.430136
42	0.086903	0.8106	0.209909
43	0.055006	0.5131	0.304605
44	-0.047878	-0.4466	0.328144
45	-0.003916	-0.0365	0.485474
46	-0.076467	-0.7132	0.238805
47	-0.026718	-0.2492	0.401892
48	0.050794	0.4738	0.318425

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244127963wou9tyyktpagtqe/163lu1244127723.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244127963wou9tyyktpagtqe/163lu1244127723.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244127963wou9tyyktpagtqe/2zr9b1244127723.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244127963wou9tyyktpagtqe/2zr9b1244127723.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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