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Katleen van den Akker - Opgave 6 BIS - 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: Sat, 01 May 2010 10:49:04 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/May/01/t12727110132hdcq8qvp35vgu4.htm/, Retrieved Sat, 01 May 2010 12:50:13 +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/2010/May/01/t12727110132hdcq8qvp35vgu4.htm/},
    year = {2010},
}
@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 = {2010},
    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:
KDGP2W21
 
Dataseries X:
» Textbox « » Textfile « » CSV «
285708 905858 225733 405481 845758 805651 395747 695853 175625 405534 965639 575634 576023 566089 336141 26271 586226 376484 176583 287042 997142 207694 418003 838258 848182 658215 208304 398599 438399 578393 988390 958304 318251 78307 408520 748640 258520 518618 388588 238842 328957 499266 109011 168896 798921 878732 897576 518317 228370 758167 658491 518170 398212 498286 78136 647990 357927 698061 407932 637934 397784 217980 47737 467672 67651 167524 687406 367345 157553 887453 227566 817279 697059 997185 847075 547122 996977 346998 967154 547097 586853 46728 236883 36784 277085 446998 586725 496845 86765 146966 197113 657096 337200 17273 457284 507696 547628 157435 67793 267631 518397 918560 918895 429509 289569 9010172 1810617 7111400 1611919 9712714 2913310 1013816 6714518 2414721 9114534 8214993 6215159 515612 9415340 3715267
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.4047324.43361e-05
20.5799356.35290
30.4582665.02011e-06
40.5119075.60770
50.3877474.24762.1e-05
60.3366743.68810.00017
70.3720924.07614.1e-05
80.1834222.00930.023375
90.397694.35651.4e-05
100.1915392.09820.018992
110.1990772.18080.015575
120.030020.32890.371419
130.1534881.68140.047645
140.0379630.41590.339125
15-0.022924-0.25110.401075
16-0.028274-0.30970.378652
17-0.03392-0.37160.355434
18-0.022545-0.2470.402679
19-0.034011-0.37260.355062
20-0.034335-0.37610.353748
21-0.03979-0.43590.331854
22-0.039918-0.43730.331346
23-0.032584-0.35690.360884
24-0.042925-0.47020.319524
25-0.041138-0.45060.326529
26-0.051519-0.56440.286782
27-0.023202-0.25420.399901
28-0.037812-0.41420.33973
29-0.017416-0.19080.424509
30-0.035966-0.3940.347146
31-0.021054-0.23060.408996
32-0.024128-0.26430.396
33-0.020191-0.22120.412662
34-0.012057-0.13210.44757
35-0.029347-0.32150.374202
360.0066680.0730.470946
37-0.031014-0.33970.367322
38-0.004634-0.05080.479798
39-0.015503-0.16980.432714
40-0.004164-0.04560.481848
41-0.019942-0.21850.413723
42-0.017567-0.19240.423864
43-0.019482-0.21340.415683
44-0.038958-0.42680.33516
45-0.03427-0.37540.354009
46-0.030153-0.33030.370872
47-0.043544-0.4770.317115
48-0.04744-0.51970.302122


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.4047324.43361e-05
20.4976465.45140
30.2208542.41930.008525
40.1957672.14450.017004
5-0.002617-0.02870.488587
6-0.131119-1.43630.076754
70.0441980.48420.314574
8-0.191238-2.09490.019141
90.2335382.55830.005882
100.0298990.32750.371919
11-0.150776-1.65170.050608
12-0.274757-3.00980.001593
13-0.039552-0.43330.3328
140.0307330.33670.368481
15-0.008615-0.09440.462487
16-0.035938-0.39370.347257
170.0962831.05470.146834
180.0072260.07920.468519
190.0651040.71320.238559
20-0.00867-0.0950.462245
210.1402111.53590.063594
22-0.003393-0.03720.485208
23-0.068694-0.75250.226612
24-0.040893-0.4480.327494
250.0627270.68710.246661
26-0.046022-0.50410.307541
27-0.025542-0.27980.390055
28-0.077197-0.84560.199716
290.0462540.50670.306652
30-0.075358-0.82550.20536
31-0.016845-0.18450.426955
320.0098260.10760.45723
330.0763390.83630.202338
34-0.003814-0.04180.483372
35-0.001123-0.01230.495101
360.049930.5470.292714
370.0329260.36070.359484
38-0.072295-0.79190.214977
390.0209690.22970.409357
400.0105190.11520.454226
410.0176790.19370.423382
42-0.083027-0.90950.182449
43-0.043139-0.47260.318691
44-0.02617-0.28670.387425
45-0.03586-0.39280.347571
46-0.01174-0.12860.448944
470.0330010.36150.359177
480.0112080.12280.451244
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/May/01/t12727110132hdcq8qvp35vgu4/1y4xw1272710941.png (open in new window)
http://www.freestatistics.org/blog/date/2010/May/01/t12727110132hdcq8qvp35vgu4/1y4xw1272710941.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/May/01/t12727110132hdcq8qvp35vgu4/2y4xw1272710941.png (open in new window)
http://www.freestatistics.org/blog/date/2010/May/01/t12727110132hdcq8qvp35vgu4/2y4xw1272710941.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
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')
 




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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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