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Opdracht 6bis oefening2B

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Nov 2010 18:54:51 +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/16/t1289933624erg2m8o1nxwmmtr.htm/, Retrieved Tue, 16 Nov 2010 19:53:46 +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/16/t1289933624erg2m8o1nxwmmtr.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 «

110.04 111.73 110.99 115.83 125.33 123.03 123.46 130.34 131.21 132.97 133.91 133.14 135.31 133.09 135.39 131.85 130.25 127.65 118.3 119.73 122.51 123.28 133.52 153.2 163.63 168.45 166.26 162.31 161.56 156.59 157.97 158.68 163.55 162.89 164.95 159.82 159.05 166.76 164.55 163.22 160.68 155.24 157.6 156.56 154.82 151.11 149.65 148.99 148.53 146.7 145.11 142.7 143.59 140.96 140.77 139.81 140.58 139.59 138.05 136.06 135.98 134.75 132.22 135.37 138.84 138.83 136.55 135.63 139.14 136.09 135.97 134.51 134.54 134.08 132.86 134.48 129.08 133.13 134.78 134.13 132.43 127.84 128.12 128.94

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	0.353604	3.2215	0.000911
2	0.148022	1.3485	0.090575
3	0.076518	0.6971	0.243841
4	-0.135689	-1.2362	0.109938
5	-0.1104	-1.0058	0.158719
6	-0.188458	-1.7169	0.044861
7	-0.094985	-0.8654	0.19467
8	-0.030748	-0.2801	0.39004
9	0.066845	0.609	0.272098
10	0.053065	0.4834	0.315026
11	-0.005361	-0.0488	0.480582
12	0.007658	0.0698	0.472272
13	0.021423	0.1952	0.422866
14	0.070666	0.6438	0.260741
15	0.050707	0.462	0.322659
16	0.061161	0.5572	0.289444
17	-0.020986	-0.1912	0.424422
18	0.021681	0.1975	0.42195
19	0.06005	0.5471	0.292895
20	0.112064	1.021	0.155122
21	0.000376	0.0034	0.498637
22	-0.045365	-0.4133	0.34023
23	-0.008176	-0.0745	0.470401
24	-0.040236	-0.3666	0.357436
25	-0.032849	-0.2993	0.382742
26	-0.013732	-0.1251	0.450371
27	-0.01065	-0.097	0.46147
28	-0.002753	-0.0251	0.490025
29	-0.039055	-0.3558	0.361444
30	0.047896	0.4364	0.331856
31	0.009192	0.0837	0.466731
32	-0.04445	-0.405	0.343274
33	0.067686	0.6167	0.269576
34	-0.062471	-0.5691	0.285399
35	-0.017563	-0.16	0.436631
36	-0.029551	-0.2692	0.394214
37	-0.134605	-1.2263	0.111775
38	-0.031927	-0.2909	0.38594
39	-0.077058	-0.702	0.242313
40	0.099785	0.9091	0.182968
41	0.070046	0.6381	0.262567
42	-0.045903	-0.4182	0.338443
43	-0.024697	-0.225	0.411264
44	-0.041152	-0.3749	0.354341
45	0.016535	0.1506	0.440313
46	-0.067571	-0.6156	0.26992
47	-0.05846	-0.5326	0.297867
48	-0.047527	-0.433	0.333071

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.353604	3.2215	0.000911
2	0.026272	0.2393	0.405713
3	0.018599	0.1694	0.432931
4	-0.196229	-1.7877	0.038735
5	-0.010022	-0.0913	0.463735
6	-0.144589	-1.3173	0.095686
7	0.051771	0.4717	0.319206
8	-0.012272	-0.1118	0.455626
9	0.109594	0.9984	0.160483
10	-0.060624	-0.5523	0.291111
11	-0.04053	-0.3693	0.356441
12	-0.028289	-0.2577	0.398627
13	0.063214	0.5759	0.283119
14	0.071667	0.6529	0.257808
15	0.027032	0.2463	0.40304
16	0.026458	0.241	0.405058
17	-0.090167	-0.8215	0.20687
18	0.062866	0.5727	0.284186
19	0.059898	0.5457	0.29337
20	0.166592	1.5177	0.066442
21	-0.122963	-1.1202	0.13292
22	-0.023872	-0.2175	0.414181
23	-0.03826	-0.3486	0.364149
24	0.045267	0.4124	0.340555
25	-0.012888	-0.1174	0.453408
26	0.071552	0.6519	0.258142
27	-0.048395	-0.4409	0.330215
28	-0.04101	-0.3736	0.354819
29	-0.108236	-0.9861	0.16348
30	0.135378	1.2334	0.110463
31	-0.00096	-0.0087	0.496521
32	-0.042398	-0.3863	0.350146
33	0.055012	0.5012	0.308786
34	-0.175858	-1.6021	0.056462
35	0.047122	0.4293	0.334409
36	-0.056381	-0.5137	0.30443
37	-0.001915	-0.0174	0.493063
38	-0.021014	-0.1914	0.424323
39	-0.074192	-0.6759	0.250484
40	0.127568	1.1622	0.124243
41	0.001267	0.0115	0.495409
42	-0.113638	-1.0353	0.15177
43	-0.037963	-0.3459	0.365163
44	0.016234	0.1479	0.44139
45	0.067288	0.613	0.27077
46	-0.095296	-0.8682	0.193899
47	-0.006145	-0.056	0.477744
48	-0.03136	-0.2857	0.387907

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933624erg2m8o1nxwmmtr/17jwh1289933690.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933624erg2m8o1nxwmmtr/17jwh1289933690.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933624erg2m8o1nxwmmtr/2itwk1289933690.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289933624erg2m8o1nxwmmtr/2itwk1289933690.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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