Home » date » 2009 » Jun » 07 »

Opdracht 6Bis Oefening 2 stap 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: Sun, 07 Jun 2009 11:43:57 -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/t124439671888qrvnxaqx1evqb.htm/, Retrieved Sun, 07 Jun 2009 19:45:20 +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/t124439671888qrvnxaqx1evqb.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.676167	5.8558	0
2	0.463118	4.0107	7.1e-05
3	0.38258	3.3132	0.000711
4	0.319677	2.7685	0.003546
5	0.187138	1.6207	0.054643
6	0.085375	0.7394	0.230996
7	0.079308	0.6868	0.247155
8	0.009837	0.0852	0.46617
9	-0.060767	-0.5263	0.300131
10	-0.040122	-0.3475	0.364608
11	-0.015304	-0.1325	0.447457
12	-0.077974	-0.6753	0.250788
13	-0.153075	-1.3257	0.094486
14	-0.127794	-1.1067	0.135973
15	-0.170133	-1.4734	0.072414
16	-0.275354	-2.3846	0.009812
17	-0.282483	-2.4464	0.008387
18	-0.175976	-1.524	0.065858
19	-0.095849	-0.8301	0.204564
20	-0.09977	-0.864	0.195162
21	-0.035571	-0.3081	0.379446
22	0.04538	0.393	0.347718
23	0.003929	0.034	0.486472
24	-0.021723	-0.1881	0.425642
25	0.006961	0.0603	0.476046
26	0.032069	0.2777	0.390994
27	-0.068477	-0.593	0.277474
28	-0.151619	-1.3131	0.096583
29	-0.076633	-0.6637	0.254472
30	-0.082383	-0.7135	0.238887
31	-0.054227	-0.4696	0.319995
32	-0.021112	-0.1828	0.427709
33	0.034815	0.3015	0.381932
34	0.039414	0.3413	0.366902
35	0.072354	0.6266	0.266412
36	0.157666	1.3654	0.0881
37	0.162189	1.4046	0.082134
38	0.125113	1.0835	0.141026
39	0.107629	0.9321	0.177139
40	0.139093	1.2046	0.116077
41	0.113585	0.9837	0.16422
42	0.055852	0.4837	0.315006
43	0.041585	0.3601	0.35988
44	0.049249	0.4265	0.33548
45	0.059551	0.5157	0.30378
46	0.036699	0.3178	0.375751
47	-0.002465	-0.0213	0.491512
48	-0.038645	-0.3347	0.369402

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.676167	5.8558	0
2	0.010898	0.0944	0.462529
3	0.120647	1.0448	0.149728
4	0.028148	0.2438	0.404036
5	-0.1224	-1.06	0.14627
6	-0.048555	-0.4205	0.337661
7	0.06569	0.5689	0.285565
8	-0.108743	-0.9417	0.174674
9	-0.038027	-0.3293	0.371414
10	0.080016	0.693	0.245238
11	0.002315	0.02	0.49203
12	-0.105753	-0.9158	0.181341
13	-0.088063	-0.7626	0.224033
14	0.027792	0.2407	0.405226
15	-0.136753	-1.1843	0.120014
16	-0.144453	-1.251	0.107412
17	0.016903	0.1464	0.442007
18	0.118495	1.0262	0.154048
19	0.089271	0.7731	0.220943
20	-0.017359	-0.1503	0.440453
21	0.050194	0.4347	0.332517
22	0.026436	0.2289	0.409769
23	-0.127453	-1.1038	0.13661
24	-0.02268	-0.1964	0.422408
25	-0.010142	-0.0878	0.465123
26	0.018318	0.1586	0.437191
27	-0.1165	-1.0089	0.158129
28	-0.11559	-1.001	0.160014
29	0.097396	0.8435	0.200822
30	-0.075453	-0.6534	0.257734
31	0.110268	0.9549	0.171337
32	-0.024202	-0.2096	0.417277
33	-0.009203	-0.0797	0.468343
34	0.047086	0.4078	0.342299
35	0.140819	1.2195	0.113233
36	0.082238	0.7122	0.239275
37	-0.013729	-0.1189	0.452836
38	0.027337	0.2367	0.40675
39	-0.007508	-0.065	0.474164
40	-0.027405	-0.2373	0.406522
41	-0.054981	-0.4761	0.317676
42	-0.006845	-0.0593	0.476444
43	-0.076933	-0.6663	0.253645
44	-0.035506	-0.3075	0.379662
45	0.052821	0.4574	0.324338
46	0.009841	0.0852	0.466154
47	-0.068648	-0.5945	0.276982
48	-0.029393	-0.2545	0.399884

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t124439671888qrvnxaqx1evqb/15c891244396634.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t124439671888qrvnxaqx1evqb/15c891244396634.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t124439671888qrvnxaqx1evqb/2355a1244396635.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t124439671888qrvnxaqx1evqb/2355a1244396635.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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