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opgave6bisoef2

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 20:20:37 +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/03/t127291814068vwx04l8a4w42r.htm/, Retrieved Mon, 03 May 2010 22:22:20 +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/2010/May/03/t127291814068vwx04l8a4w42r.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 «

196.9 192.1 201.8 186.9 218 214.4 227.5 204.1 225.8 223.7 244.7 243.9 257.3 234.5 251.4 243.8 247.4 245.3 262.5 270 259.9 262.2 244.9 249.3 268.2 231.2 264.3 252.7 275.5 261.5 275.5 272.3 268.6 270.4 267.7 275 272.6 248.6 279.4 270.5 292.8 297.8 296.8 290.9 282.8 312.8 303.2 301.4 289.8 279.6 302.2 299.1 319.7 310.9 315.2 338.5 315.6 321.2 318.5 342.7 261.4 287 331.5 326.9 338.6 337 358.4 344.5 345.7 344.1 317.4 354.5 345.2 314.1 352.5 361.2 365.9 332.5 364 359.1 345.6 366.9 370.2 359.9 366.6 336.3 368.5 374.2 384.3 358.9 407.7 433.3 404.7 392.7 409.7 416.5 414.3 404.3 421.4 372.6 404.7 420.2 438.4 449.1 445.8 413.8 420.5 442.3 438.9 394.5 416.8 402.9 424.5 432.3 484.1 492.7 496.3 471.9 491.2 512.9 482.4 407.9 448.5 431.1 498.8 497.1 517.1 487.7 512.5 550.1 532.5 524.1 515.7 461 529.3 467.4 559.8 536.5 531.9 546.5 547.4 536.1 482.8 551 532.9 484.1 etc...

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.918748	19.5976	0
2	0.890754	19.0004	0
3	0.871031	18.5797	0
4	0.850645	18.1449	0
5	0.834521	17.8009	0
6	0.809257	17.262	0
7	0.809817	17.274	0
8	0.796822	16.9968	0
9	0.795434	16.9672	0
10	0.800765	17.0809	0
11	0.787942	16.8074	0
12	0.806687	17.2072	0
13	0.775612	16.5444	0
14	0.766075	16.3409	0
15	0.747526	15.9453	0
16	0.736617	15.7126	0
17	0.729052	15.5512	0
18	0.705192	15.0423	0
19	0.703859	15.0138	0
20	0.69319	14.7863	0
21	0.690408	14.7269	0
22	0.687668	14.6685	0
23	0.663243	14.1475	0
24	0.681153	14.5295	0
25	0.655697	13.9865	0
26	0.651125	13.889	0
27	0.641385	13.6812	0
28	0.636778	13.5829	0
29	0.627188	13.3784	0
30	0.609135	12.9933	0
31	0.601944	12.8399	0
32	0.589227	12.5686	0
33	0.588822	12.56	0
34	0.591397	12.6149	0
35	0.572411	12.2099	0
36	0.585825	12.4961	0
37	0.560129	11.948	0
38	0.570754	12.1746	0
39	0.558996	11.9238	0
40	0.541999	11.5612	0
41	0.536219	11.4379	0
42	0.519921	11.0903	0
43	0.519031	11.0713	0
44	0.502142	10.7111	0
45	0.501021	10.6871	0
46	0.505855	10.7903	0
47	0.490442	10.4615	0
48	0.508292	10.8422	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.918748	19.5976	0
2	0.299266	6.3836	0
3	0.159331	3.3986	0.000368
4	0.071009	1.5147	0.065276
5	0.061368	1.309	0.095594
6	-0.031139	-0.6642	0.253442
7	0.152115	3.2447	0.000631
8	0.022626	0.4826	0.314795
9	0.099923	2.1314	0.016794
10	0.121662	2.5951	0.00488
11	-0.028053	-0.5984	0.274935
12	0.194796	4.1551	1.9e-05
13	-0.194711	-4.1533	2e-05
14	-0.002677	-0.0571	0.477244
15	-0.076031	-1.6218	0.052771
16	0.034355	0.7328	0.232023
17	0.00483	0.103	0.458994
18	-0.041947	-0.8948	0.185691
19	0.022861	0.4876	0.313021
20	0.003825	0.0816	0.467501
21	0.032924	0.7023	0.24143
22	-0.012029	-0.2566	0.39881
23	-0.094465	-2.015	0.022246
24	0.141418	3.0165	0.00135
25	-0.097764	-2.0854	0.018796
26	0.034759	0.7414	0.229404
27	0.011046	0.2356	0.406921
28	0.042711	0.9111	0.181372
29	-0.060792	-1.2967	0.097688
30	0.009413	0.2008	0.420478
31	-0.07026	-1.4987	0.067324
32	0.009399	0.2005	0.420597
33	0.062764	1.3388	0.090652
34	0.036869	0.7864	0.216011
35	-0.011013	-0.2349	0.407193
36	0.061861	1.3195	0.093825
37	-0.126222	-2.6924	0.003678
38	0.13214	2.8186	0.002517
39	-0.059922	-1.2782	0.100918
40	-0.079541	-1.6967	0.045221
41	0.00728	0.1553	0.438331
42	0.00179	0.0382	0.484776
43	0.02494	0.532	0.297494
44	-0.028751	-0.6133	0.269998
45	0.032684	0.6972	0.243026
46	0.010421	0.2223	0.412095
47	0.026382	0.5627	0.286946
48	0.058629	1.2506	0.105863

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t127291814068vwx04l8a4w42r/1wn5l1272918033.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t127291814068vwx04l8a4w42r/1wn5l1272918033.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t127291814068vwx04l8a4w42r/27xm61272918033.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t127291814068vwx04l8a4w42r/27xm61272918033.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')

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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