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Opgave 6bis; Opdracht 2; Stap 1

*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, 15 Nov 2010 18:37:44 +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/Nov/15/t1289846468y5fjrqv3qixa2n7.htm/, Retrieved Mon, 15 Nov 2010 19:41:10 +0100

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/Nov/15/t1289846468y5fjrqv3qixa2n7.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

13,81 13,9 13,91 13,94 13,96 14,01 14,01 14,06 14,09 14,13 14,12 14,13 14,14 14,16 14,21 14,26 14,29 14,32 14,33 14,39 14,48 14,44 14,46 14,48 14,53 14,58 14,62 14,62 14,61 14,65 14,68 14,7 14,78 14,84 14,89 14,89 15,13 15,25 15,33 15,36 15,4 15,4 15,41 15,47 15,54 15,55 15,59 15,65 15,75 15,86 15,89 15,94 15,93 15,95 15,99 15,99 16,06 16,08 16,07 16,11 16,15 16,18 16,3 16,42 16,49 16,5 16,58 16,64 16,66 16,81 16,91 16,92 16,95 17,11 17,16 17,16 17,27 17,34 17,39 17,43 17,45 17,5 17,56 17,65

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
R Framework error message	Warning: there are blank lines in the 'Data' field. Please, use NA for missing data - blank lines are simply deleted and are NOT treated as missing values.

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.964014	8.8353	0
2	0.929411	8.5182	0
3	0.894691	8.2	0
4	0.859749	7.8797	0
5	0.823793	7.5502	0
6	0.788017	7.2223	0
7	0.751628	6.8888	0
8	0.715627	6.5588	0
9	0.680978	6.2413	0
10	0.645766	5.9185	0
11	0.609816	5.5891	0
12	0.575743	5.2768	1e-06
13	0.540903	4.9575	2e-06
14	0.504887	4.6274	7e-06
15	0.470164	4.3091	2.2e-05
16	0.438044	4.0147	6.4e-05
17	0.405552	3.7169	0.000181
18	0.373392	3.4222	0.000481
19	0.341788	3.1325	0.001193
20	0.310051	2.8417	0.002816
21	0.27983	2.5647	0.006052
22	0.250373	2.2947	0.012122
23	0.222596	2.0401	0.022239
24	0.194606	1.7836	0.039051
25	0.16702	1.5308	0.064793
26	0.139836	1.2816	0.101752
27	0.111908	1.0257	0.154
28	0.083209	0.7626	0.223912
29	0.054743	0.5017	0.308585
30	0.02565	0.2351	0.407357
31	-0.003399	-0.0312	0.48761
32	-0.032871	-0.3013	0.381977
33	-0.062378	-0.5717	0.284526
34	-0.09126	-0.8364	0.202648
35	-0.11984	-1.0983	0.137595
36	-0.14721	-1.3492	0.090449
37	-0.169907	-1.5572	0.061589
38	-0.190715	-1.7479	0.042065
39	-0.210215	-1.9267	0.028702
40	-0.229839	-2.1065	0.019072
41	-0.24843	-2.2769	0.012667
42	-0.266552	-2.443	0.008331
43	-0.285033	-2.6124	0.005325
44	-0.303395	-2.7807	0.003347
45	-0.320704	-2.9393	0.002123
46	-0.337987	-3.0977	0.001326
47	-0.353784	-3.2425	0.00085
48	-0.367086	-3.3644	0.000579

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.964014	8.8353	0
2	0.001238	0.0113	0.495486
3	-0.019222	-0.1762	0.43029
4	-0.021516	-0.1972	0.422075
5	-0.033269	-0.3049	0.380594
6	-0.0177	-0.1622	0.435761
7	-0.028579	-0.2619	0.397009
8	-0.015524	-0.1423	0.443602
9	-0.001383	-0.0127	0.494959
10	-0.027909	-0.2558	0.39937
11	-0.031985	-0.2931	0.385067
12	0.003674	0.0337	0.486611
13	-0.031924	-0.2926	0.385278
14	-0.039567	-0.3626	0.358894
15	-0.006264	-0.0574	0.477178
16	0.0138	0.1265	0.449828
17	-0.025499	-0.2337	0.407892
18	-0.019253	-0.1765	0.430181
19	-0.016012	-0.1468	0.441839
20	-0.024993	-0.2291	0.409688
21	-0.003782	-0.0347	0.486217
22	-0.013782	-0.1263	0.449891
23	0.002389	0.0219	0.49129
24	-0.024735	-0.2267	0.410603
25	-0.020944	-0.192	0.424119
26	-0.017953	-0.1645	0.434848
27	-0.034053	-0.3121	0.377869
28	-0.038931	-0.3568	0.361065
29	-0.024618	-0.2256	0.41102
30	-0.034514	-0.3163	0.37627
31	-0.027268	-0.2499	0.401631
32	-0.035496	-0.3253	0.372872
33	-0.031183	-0.2858	0.387869
34	-0.021728	-0.1991	0.421316
35	-0.028886	-0.2647	0.395928
36	-0.014334	-0.1314	0.447899
37	0.037229	0.3412	0.366898
38	0.001014	0.0093	0.496303
39	-0.009469	-0.0868	0.465524
40	-0.028882	-0.2647	0.395941
41	-0.015599	-0.143	0.443331
42	-0.023175	-0.2124	0.416154
43	-0.035676	-0.327	0.37225
44	-0.028336	-0.2597	0.397864
45	-0.014214	-0.1303	0.44833
46	-0.031116	-0.2852	0.388103
47	-0.012654	-0.116	0.453975
48	0.006317	0.0579	0.476983

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289846468y5fjrqv3qixa2n7/1jv251289846262.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289846468y5fjrqv3qixa2n7/1jv251289846262.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289846468y5fjrqv3qixa2n7/2jv251289846262.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t1289846468y5fjrqv3qixa2n7/2jv251289846262.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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