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Opgave 6 Bis oef2 Trang Huynh Tuyet

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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 21:57:04 +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/05/t1273096732v34x4ynv6wpwor8.htm/, Retrieved Wed, 05 May 2010 23:58:55 +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/t1273096732v34x4ynv6wpwor8.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 «

93.2 96 95.2 77.1 70.9 64.8 70.1 77.3 79.5 100.6 100.7 107.1 95.9 82.8 83.3 80 80.4 67.5 75.7 71.1 89.3 101.1 105.2 114.1 96.3 84.4 91.2 81.9 80.5 70.4 74.8 75.9 86.3 98.7 100.9 113.8 89.8 84.4 87.2 85.6 72 69.2 77.5 78.1 94.3 97.7 100.2 116.4 97.1 93 96 80.5 76.1 69.9 73.6 92.6 94.2 93.5 108.5 109.4 105.1 92.5 97.1 81.4 79.1 72.1 78.7 87.1 91.4 109.9 116.3 113 100 84.8 94.3 87.1 90.3 72.4 84.9 92.7 92.2 114.9 112.5 118.3 106 91.2 96.6 96.3 88.2 70.2 86.5 88.2 102.8 119.1 119.2 125.1

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	0.701909	6.8773	0
2	0.392792	3.8486	0.000107
3	0.02451	0.2401	0.405365
4	-0.293312	-2.8739	0.002496
5	-0.450222	-4.4113	1.3e-05
6	-0.556502	-5.4526	0
7	-0.409232	-4.0096	6e-05
8	-0.212241	-2.0795	0.020117
9	0.086331	0.8459	0.199866
10	0.350621	3.4354	0.000438
11	0.624573	6.1195	0
12	0.761635	7.4625	0
13	0.546834	5.3579	0
14	0.312781	3.0646	0.001415
15	-0.020785	-0.2036	0.419531
16	-0.262753	-2.5744	0.005784
17	-0.439293	-4.3042	2e-05
18	-0.535359	-5.2454	0
19	-0.394257	-3.8629	0.000102
20	-0.203033	-1.9893	0.024756
21	0.070324	0.689	0.246233
22	0.292023	2.8612	0.00259
23	0.522844	5.1228	1e-06
24	0.609971	5.9765	0
25	0.454259	4.4508	1.2e-05
26	0.230277	2.2562	0.013162
27	-0.045673	-0.4475	0.327759
28	-0.267776	-2.6237	0.00506
29	-0.421768	-4.1325	3.8e-05
30	-0.491654	-4.8172	3e-06
31	-0.353293	-3.4615	0.000402
32	-0.14008	-1.3725	0.086553
33	0.06027	0.5905	0.278115
34	0.26339	2.5807	0.005687
35	0.417901	4.0946	4.4e-05
36	0.464006	4.5463	8e-06
37	0.356197	3.49	0.000366
38	0.136205	1.3345	0.092593
39	-0.07048	-0.6906	0.245753
40	-0.256187	-2.5101	0.006871
41	-0.38829	-3.8044	0.000125
42	-0.432278	-4.2354	2.6e-05
43	-0.312962	-3.0664	0.001407
44	-0.159897	-1.5667	0.060241
45	0.010878	0.1066	0.457671
46	0.208996	2.0477	0.021659
47	0.308274	3.0205	0.001617
48	0.38373	3.7598	0.000146

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.701909	6.8773	0
2	-0.196884	-1.9291	0.028338
3	-0.34303	-3.361	0.000558
4	-0.249451	-2.4441	0.008173
5	-0.043072	-0.422	0.336977
6	-0.249092	-2.4406	0.008248
7	0.164051	1.6074	0.05563
8	0.005742	0.0563	0.477626
9	0.18933	1.855	0.03333
10	0.10617	1.0403	0.150418
11	0.474262	4.6468	5e-06
12	0.265225	2.5987	0.005417
13	-0.263873	-2.5854	0.005615
14	0.112445	1.1017	0.136667
15	0.1074	1.0523	0.147652
16	0.010017	0.0981	0.461012
17	-0.094041	-0.9214	0.179573
18	-0.075167	-0.7365	0.231617
19	0.016344	0.1601	0.436555
20	-0.045406	-0.4449	0.328703
21	-0.024292	-0.238	0.406188
22	-0.072469	-0.71	0.239698
23	0.011102	0.1088	0.456803
24	0.068833	0.6744	0.25083
25	-0.050031	-0.4902	0.312556
26	-0.098327	-0.9634	0.168883
27	0.102993	1.0091	0.157726
28	-0.093361	-0.9147	0.181307
29	0.089385	0.8758	0.191664
30	-0.059093	-0.579	0.281977
31	0.087307	0.8554	0.197222
32	0.057991	0.5682	0.285614
33	-0.141353	-1.385	0.084636
34	0.065269	0.6395	0.26201
35	-0.064265	-0.6297	0.265204
36	-0.043252	-0.4238	0.336336
37	0.069329	0.6793	0.249295
38	-0.143175	-1.4028	0.081947
39	0.069427	0.6802	0.248993
40	-0.038603	-0.3782	0.353047
41	-0.025299	-0.2479	0.402379
42	0.014638	0.1434	0.44313
43	-0.090639	-0.8881	0.18836
44	-0.11942	-1.1701	0.122434
45	0.029116	0.2853	0.388024
46	0.060142	0.5893	0.278533
47	-0.089721	-0.8791	0.190776
48	-0.036342	-0.3561	0.361282

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273096732v34x4ynv6wpwor8/1f32i1273096622.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273096732v34x4ynv6wpwor8/1f32i1273096622.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273096732v34x4ynv6wpwor8/2f32i1273096622.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273096732v34x4ynv6wpwor8/2f32i1273096622.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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