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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: Sun, 07 Jun 2009 07:18:41 -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/07/t1244380756vpws98r7spqeurl.htm/, Retrieved Sun, 07 Jun 2009 15:19:19 +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/07/t1244380756vpws98r7spqeurl.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 «

8,5968 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

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	0.067121	0.6542	0.257276
2	-0.044986	-0.4385	0.331021
3	0.091834	0.8951	0.186502
4	-0.131221	-1.279	0.10201
5	0.08009	0.7806	0.218483
6	0.016447	0.1603	0.436491
7	-0.010651	-0.1038	0.458768
8	0.063825	0.6221	0.267687
9	-0.199592	-1.9454	0.027343
10	0.049559	0.483	0.315088
11	0.03383	0.3297	0.371165
12	-0.174937	-1.7051	0.045724
13	-0.093284	-0.9092	0.182767
14	-0.164388	-1.6023	0.056209
15	0.059211	0.5771	0.282612
16	-0.033099	-0.3226	0.37385
17	-0.164351	-1.6019	0.05625
18	0.009889	0.0964	0.461707
19	-0.044567	-0.4344	0.332497
20	0.062296	0.6072	0.272589
21	0.049191	0.4795	0.316358
22	0.043514	0.4241	0.336219
23	0.060675	0.5914	0.277833
24	-0.107402	-1.0468	0.148918
25	0.017326	0.1689	0.43313
26	0.015478	0.1509	0.440204
27	-0.088594	-0.8635	0.195016
28	0.023469	0.2287	0.40978
29	-0.027708	-0.2701	0.39385
30	0.067319	0.6561	0.256657
31	0.059957	0.5844	0.280172
32	-0.000931	-0.0091	0.496389
33	-0.026626	-0.2595	0.397898
34	-0.002803	-0.0273	0.489129
35	-0.014527	-0.1416	0.443849
36	0.027272	0.2658	0.39548
37	-0.007887	-0.0769	0.469442
38	0.037338	0.3639	0.358361
39	-0.094628	-0.9223	0.17935
40	-0.051529	-0.5022	0.308328
41	-0.039525	-0.3852	0.350459
42	-0.004233	-0.0413	0.483587
43	0.113585	1.1071	0.135524
44	-0.090221	-0.8794	0.19071
45	-0.070858	-0.6906	0.24574
46	0.075289	0.7338	0.232432
47	-0.071795	-0.6998	0.242889
48	0.028681	0.2796	0.390215
49	0.121478	1.184	0.119679
50	0.047296	0.461	0.322932
51	0.013679	0.1333	0.447107
52	-0.051967	-0.5065	0.306835
53	0.104964	1.0231	0.154438
54	0.039763	0.3876	0.349604
55	0.007019	0.0684	0.472799
56	0.10527	1.026	0.153738
57	0.00099	0.0097	0.49616
58	0.015007	0.1463	0.442008
59	-0.020292	-0.1978	0.421819
60	-0.03312	-0.3228	0.373773

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.067121	0.6542	0.257276
2	-0.049715	-0.4846	0.314551
3	0.09903	0.9652	0.168441
4	-0.149844	-1.4605	0.073727
5	0.117493	1.1452	0.127506
6	-0.029941	-0.2918	0.385526
7	0.034312	0.3344	0.369396
8	0.020294	0.1978	0.421813
9	-0.18792	-1.8316	0.035071
10	0.094262	0.9188	0.180276
11	-0.021492	-0.2095	0.417262
12	-0.122829	-1.1972	0.117105
13	-0.147413	-1.4368	0.077029
14	-0.126708	-1.235	0.109938
15	0.115174	1.1226	0.132224
16	-0.112653	-1.098	0.137489
17	-0.117049	-1.1408	0.1284
18	-0.063869	-0.6225	0.267546
19	0.027607	0.2691	0.394225
20	0.105385	1.0272	0.153475
21	-0.073414	-0.7156	0.238011
22	0.072839	0.71	0.239737
23	-0.007781	-0.0758	0.469851
24	-0.039549	-0.3855	0.350374
25	-0.029781	-0.2903	0.386123
26	-0.13082	-1.2751	0.102696
27	-0.051988	-0.5067	0.306764
28	-0.040656	-0.3963	0.3464
29	-0.023862	-0.2326	0.408294
30	-0.002743	-0.0267	0.489364
31	-0.010811	-0.1054	0.45815
32	0.091518	0.892	0.187322
33	-0.110836	-1.0803	0.141372
34	0.080243	0.7821	0.218046
35	-0.05132	-0.5002	0.309044
36	0.036095	0.3518	0.362879
37	-0.021891	-0.2134	0.41575
38	-0.013589	-0.1324	0.447456
39	-0.093913	-0.9154	0.181163
40	-0.095307	-0.9289	0.177637
41	-0.100181	-0.9764	0.165662
42	-0.013762	-0.1341	0.446791
43	0.091913	0.8959	0.186297
44	-0.117447	-1.1447	0.127598
45	-0.093333	-0.9097	0.182641
46	0.110022	1.0724	0.143136
47	-0.031514	-0.3072	0.379698
48	0.040675	0.3965	0.34633
49	0.087497	0.8528	0.197953
50	0.067774	0.6606	0.255241
51	-0.028863	-0.2813	0.389538
52	-0.091592	-0.8927	0.187129
53	0.051168	0.4987	0.309565
54	-0.076139	-0.7421	0.229927
55	0.120022	1.1698	0.122497
56	-0.000575	-0.0056	0.497771
57	-0.03952	-0.3852	0.350479
58	0.035445	0.3455	0.365252
59	-0.032692	-0.3186	0.375349
60	0.079134	0.7713	0.221221

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244380756vpws98r7spqeurl/1aunc1244380719.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244380756vpws98r7spqeurl/1aunc1244380719.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244380756vpws98r7spqeurl/2du4u1244380719.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244380756vpws98r7spqeurl/2du4u1244380719.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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