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Opgave 6 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: Wed, 05 May 2010 09:51:48 +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/05/t1273053338y6rdazm81tdo4u3.htm/, Retrieved Wed, 05 May 2010 11:55:40 +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/05/t1273053338y6rdazm81tdo4u3.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 «

22577.0 22792.0 23932.0 22321.0 21102.0 22824.0 23129.0 23604.0 24746.0 26911.0 27909.0 28922.0 29800.0 30506.0 30771.0 31976.0 33749.0 34371.0 33246.0 35072.0 35762.0 36179.0 37433.0 38298.0 37559.0 37511.0 39364.0 40084.0 42712.0 41938.0 40799.0 38568.0 41134.0 43955.0 43607.0 45082.0 46464.0 46496.0 46774.0 47890.0 45740.0 42660.0 39190.0 39010.0 41150.0 42530.0 44710.0 46620.0 44560.0 46120.0 48060.0 51970.0 57720.0 63490.0 65370.0 64260.0 58700.0 58630.0 59803.0 59266.0 60570.0 63062.0 63846.0 64726.0 63460.0 65220.0 66659.0 66871.0 65672.0 67182.0 68292.0 68318.0 69530.0 70500.0 72044.0 73811.0 76018.0 77818.0 79455.0 81408.0 81815.0

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	0.953737	8.5836	0
2	0.902068	8.1186	0
3	0.852672	7.674	0
4	0.803589	7.2323	0
5	0.756432	6.8079	0
6	0.71508	6.4357	0
7	0.6752	6.0768	0
8	0.635553	5.72	0
9	0.595988	5.3639	0
10	0.560412	5.0437	1e-06
11	0.526623	4.7396	5e-06
12	0.495358	4.4582	1.3e-05
13	0.467173	4.2046	3.3e-05
14	0.436792	3.9311	8.9e-05
15	0.404371	3.6393	0.00024
16	0.374108	3.367	0.000582
17	0.346372	3.1173	0.001263
18	0.314825	2.8334	0.002905
19	0.281486	2.5334	0.006613
20	0.249946	2.2495	0.013597
21	0.222557	2.003	0.02426
22	0.197373	1.7764	0.039714
23	0.17256	1.553	0.062156
24	0.149819	1.3484	0.090649
25	0.124218	1.118	0.133444
26	0.08666	0.7799	0.218849
27	0.046272	0.4165	0.33909
28	0.006973	0.0628	0.475059
29	-0.021649	-0.1948	0.423004
30	-0.042407	-0.3817	0.351856
31	-0.059678	-0.5371	0.296333
32	-0.077267	-0.6954	0.244398
33	-0.089928	-0.8094	0.210342
34	-0.10324	-0.9292	0.177784
35	-0.114544	-1.0309	0.15283
36	-0.120889	-1.088	0.139911
37	-0.123559	-1.112	0.134708
38	-0.124095	-1.1169	0.133679
39	-0.126282	-1.1365	0.129541
40	-0.133654	-1.2029	0.116263
41	-0.148753	-1.3388	0.092194
42	-0.171881	-1.5469	0.062889
43	-0.198913	-1.7902	0.038578
44	-0.22708	-2.0437	0.022115
45	-0.254656	-2.2919	0.012254
46	-0.279632	-2.5167	0.00691
47	-0.300724	-2.7065	0.004145
48	-0.320475	-2.8843	0.002512

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.953737	8.5836	0
2	-0.083489	-0.7514	0.227293
3	0.001494	0.0134	0.494652
4	-0.026259	-0.2363	0.406886
5	-0.005299	-0.0477	0.481039
6	0.035429	0.3189	0.375325
7	-0.014302	-0.1287	0.448952
8	-0.019901	-0.1791	0.429148
9	-0.022951	-0.2066	0.418435
10	0.021763	0.1959	0.422601
11	-0.004524	-0.0407	0.483811
12	0.006912	0.0622	0.475275
13	0.010609	0.0955	0.462085
14	-0.046081	-0.4147	0.339719
15	-0.034514	-0.3106	0.378442
16	0.005645	0.0508	0.479804
17	0.006749	0.0607	0.475857
18	-0.062842	-0.5656	0.286623
19	-0.039135	-0.3522	0.362795
20	-0.005831	-0.0525	0.47914
21	0.024077	0.2167	0.414496
22	0.002958	0.0266	0.489412
23	-0.024373	-0.2194	0.413462
24	-0.001991	-0.0179	0.492873
25	-0.052934	-0.4764	0.317533
26	-0.147432	-1.3269	0.094138
27	-0.050052	-0.4505	0.326787
28	-0.023563	-0.2121	0.416294
29	0.086054	0.7745	0.220449
30	0.040627	0.3656	0.357794
31	0.000461	0.0041	0.49835
32	-0.027152	-0.2444	0.403781
33	0.039869	0.3588	0.360331
34	-0.026678	-0.2401	0.405427
35	0.003644	0.0328	0.486959
36	0.035858	0.3227	0.373867
37	0.015409	0.1387	0.445022
38	0.011757	0.1058	0.457996
39	-0.020746	-0.1867	0.426177
40	-0.051616	-0.4645	0.321751
41	-0.091924	-0.8273	0.205244
42	-0.10802	-0.9722	0.166929
43	-0.063319	-0.5699	0.28517
44	-0.034826	-0.3134	0.377377
45	-0.020833	-0.1875	0.42587
46	-0.030954	-0.2786	0.390635
47	-0.013888	-0.125	0.450419
48	-0.025624	-0.2306	0.409098

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273053338y6rdazm81tdo4u3/1m6bx1273053106.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273053338y6rdazm81tdo4u3/1m6bx1273053106.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273053338y6rdazm81tdo4u3/2m6bx1273053106.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273053338y6rdazm81tdo4u3/2m6bx1273053106.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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