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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 20:25:24 +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/t1272918414s2d4nh4eplqq96k.htm/, Retrieved Mon, 03 May 2010 22:26:56 +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/t1272918414s2d4nh4eplqq96k.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 «

196.9 192.1 201.8 186.9 218 214.4 227.5 204.1 225.8 223.7 244.7 243.9 257.3 234.5 251.4 243.8 247.4 245.3 262.5 270 259.9 262.2 244.9 249.3 268.2 231.2 264.3 252.7 275.5 261.5 275.5 272.3 268.6 270.4 267.7 275 272.6 248.6 279.4 270.5 292.8 297.8 296.8 290.9 282.8 312.8 303.2 301.4 289.8 279.6 302.2 299.1 319.7 310.9 315.2 338.5 315.6 321.2 318.5 342.7 261.4 287 331.5 326.9 338.6 337 358.4 344.5 345.7 344.1 317.4 354.5 345.2 314.1 352.5 361.2 365.9 332.5 364 359.1 345.6 366.9 370.2 359.9 366.6 336.3 368.5 374.2 384.3 358.9 407.7 433.3 404.7 392.7 409.7 416.5 414.3 404.3 421.4 372.6 404.7 420.2 438.4 449.1 445.8 413.8 420.5 442.3 438.9 394.5 416.8 402.9 424.5 432.3 484.1 492.7 496.3 471.9 491.2 512.9 482.4 407.9 448.5 431.1 498.8 497.1 517.1 487.7 512.5 550.1 532.5 524.1 515.7 461 529.3 467.4 559.8 536.5 531.9 546.5 547.4 536.1 482.8 551 532.9 484.1 554.8 537 558 5 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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.363162	-7.738	0
2	-0.050413	-1.0742	0.14166
3	0.001492	0.0318	0.487327
4	-0.019836	-0.4226	0.336377
5	0.059437	1.2664	0.103003
6	-0.174167	-3.711	0.000116
7	0.093576	1.9939	0.023383
8	-0.075367	-1.6059	0.0545
9	-0.039641	-0.8446	0.19938
10	0.121581	2.5906	0.004945
11	-0.20925	-4.4585	5e-06
12	0.339825	7.2407	0
13	-0.153489	-3.2704	0.000578
14	0.065893	1.404	0.0805
15	-0.052778	-1.1246	0.130686
16	-0.025138	-0.5356	0.29624
17	0.11673	2.4872	0.006617
18	-0.146333	-3.118	0.000968
19	0.061602	1.3126	0.094995
20	-0.060663	-1.2926	0.098411
21	0.004654	0.0992	0.460523
22	0.134897	2.8743	0.00212
23	-0.284051	-6.0524	0
24	0.314798	6.7075	0
25	-0.166075	-3.5386	0.000222
26	0.043899	0.9354	0.17505
27	-0.044741	-0.9533	0.170468
28	0.039988	0.852	0.197322
29	0.069371	1.4781	0.070036
30	-0.070145	-1.4946	0.067856
31	0.041553	0.8854	0.18821
32	-0.089773	-1.9128	0.0282
33	-0.022411	-0.4775	0.316615
34	0.146384	3.119	0.000965
35	-0.227612	-4.8498	1e-06
36	0.26247	5.5925	0
37	-0.252455	-5.3791	0
38	0.155967	3.3232	0.000481
39	0.02991	0.6373	0.262127
40	-0.06196	-1.3202	0.093718
41	0.074704	1.5917	0.056069
42	-0.104796	-2.2329	0.013021
43	0.103689	2.2093	0.013825
44	-0.107018	-2.2803	0.011527
45	-0.022719	-0.4841	0.314282
46	0.120042	2.5578	0.005429
47	-0.22698	-4.8363	1e-06
48	0.258711	5.5124	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.363162	-7.738	0
2	-0.209995	-4.4744	5e-06
3	-0.116799	-2.4887	0.00659
4	-0.091305	-1.9455	0.026168
5	0.011415	0.2432	0.403971
6	-0.186786	-3.9799	4e-05
7	-0.058624	-1.2491	0.106135
8	-0.136573	-2.91	0.001896
9	-0.168528	-3.5909	0.000183
10	-0.005613	-0.1196	0.452427
11	-0.247924	-5.2826	0
12	0.179706	3.829	7.3e-05
13	-0.001886	-0.0402	0.483979
14	0.084594	1.8025	0.036068
15	-0.028833	-0.6144	0.269644
16	-0.016018	-0.3413	0.366517
17	0.05275	1.124	0.130814
18	0.000405	0.0086	0.496559
19	0.011037	0.2352	0.407094
20	-0.029877	-0.6366	0.262354
21	0.01516	0.323	0.373416
22	0.09539	2.0325	0.021342
23	-0.157985	-3.3662	0.000413
24	0.111381	2.3732	0.009025
25	-0.054737	-1.1663	0.122051
26	-0.023789	-0.5069	0.306246
27	-0.077183	-1.6446	0.050376
28	0.043234	0.9212	0.178716
29	-0.012069	-0.2572	0.398589
30	0.094122	2.0055	0.022752
31	0.003284	0.07	0.47212
32	-0.060132	-1.2812	0.10038
33	-0.062436	-1.3303	0.092037
34	-0.006681	-0.1423	0.443436
35	-0.085132	-1.8139	0.035174
36	0.109556	2.3343	0.010007
37	-0.157286	-3.3513	0.000436
38	0.040355	0.8599	0.19516
39	0.07695	1.6396	0.050892
40	0.003854	0.0821	0.467296
41	-0.002817	-0.06	0.476083
42	-0.038179	-0.8135	0.208181
43	0.006234	0.1328	0.447193
44	-0.038576	-0.8219	0.205769
45	-0.004327	-0.0922	0.463291
46	-0.048755	-1.0388	0.149716
47	-0.073519	-1.5665	0.058965
48	0.044402	0.9461	0.172302

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272918414s2d4nh4eplqq96k/1xnel1272918323.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272918414s2d4nh4eplqq96k/1xnel1272918323.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272918414s2d4nh4eplqq96k/2pwd51272918323.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272918414s2d4nh4eplqq96k/2pwd51272918323.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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