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opdracht 6 bis deel 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: Tue, 16 Nov 2010 19:19:08 +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/t1289935114ut7fqcb2qqzkad5.htm/, Retrieved Tue, 16 Nov 2010 20:18:36 +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/t1289935114ut7fqcb2qqzkad5.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 «

2834 4683 4120 3849 8435 12854 15883 10520 12562 5060 4520 2150 2905 4820 3950 4053 8700 13520 15400 11100 11950 4900 4633 2300 2945 3960 3900 3767 8820 11980 14085 11600 9814 4930 4360 2640 3050 5485 4366 4790 10100 14830 17930 13580 12490 6400 4980 4930 5856 5120 5100 5623 12035 19846 17030 15860 14890 8053 6080 5987 5682 4980 5450 6035 13240 18400 17689 16490 14062 9556 7555 4328

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	0.75897	6.4401	0
2	0.407246	3.4556	0.000462
3	-0.010305	-0.0874	0.465282
4	-0.339037	-2.8768	0.002641
5	-0.540227	-4.584	9e-06
6	-0.580293	-4.9239	3e-06
7	-0.491508	-4.1706	4.2e-05
8	-0.288461	-2.4477	0.008409
9	0.007506	0.0637	0.474698
10	0.345942	2.9354	0.002234
11	0.642215	5.4494	0
12	0.783924	6.6518	0
13	0.596617	5.0625	2e-06
14	0.309539	2.6265	0.005266
15	-0.038257	-0.3246	0.373205
16	-0.295471	-2.5072	0.007214
17	-0.464276	-3.9395	9.3e-05
18	-0.498977	-4.234	3.3e-05
19	-0.423777	-3.5959	0.000294
20	-0.265882	-2.2561	0.013552
21	-0.035313	-0.2996	0.382657
22	0.243046	2.0623	0.021394
23	0.465831	3.9527	8.9e-05
24	0.56472	4.7918	4e-06
25	0.425147	3.6075	0.000284
26	0.193323	1.6404	0.052642
27	-0.068906	-0.5847	0.280294
28	-0.270731	-2.2972	0.012258
29	-0.404301	-3.4306	5e-04
30	-0.421289	-3.5748	0.000315
31	-0.361307	-3.0658	0.001528
32	-0.237112	-2.012	0.023983
33	-0.052185	-0.4428	0.329617
34	0.155253	1.3174	0.095947
35	0.33329	2.8281	0.003031
36	0.405163	3.4379	0.000489
37	0.283553	2.406	0.009348
38	0.115354	0.9788	0.165476
39	-0.080653	-0.6844	0.247973
40	-0.234734	-1.9918	0.025094
41	-0.337656	-2.8651	0.00273
42	-0.336183	-2.8526	0.002828
43	-0.281125	-2.3854	0.009846
44	-0.181737	-1.5421	0.063718
45	-0.036188	-0.3071	0.379841
46	0.106263	0.9017	0.185119
47	0.239199	2.0297	0.023043
48	0.277984	2.3588	0.010526

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.75897	6.4401	0
2	-0.39812	-3.3782	0.00059
3	-0.393213	-3.3365	0.000672
4	-0.129538	-1.0992	0.137679
5	-0.134404	-1.1405	0.128938
6	-0.098093	-0.8324	0.203982
7	-0.100986	-0.8569	0.197174
8	0.00621	0.0527	0.47906
9	0.182709	1.5503	0.062722
10	0.287302	2.4378	0.008623
11	0.326069	2.7668	0.003595
12	0.244993	2.0788	0.020598
13	-0.390498	-3.3135	0.000722
14	0.136539	1.1586	0.125229
15	0.153996	1.3067	0.097736
16	0.137195	1.1641	0.124105
17	-0.083305	-0.7069	0.240965
18	-0.119907	-1.0174	0.156174
19	0.030042	0.2549	0.399757
20	-0.025514	-0.2165	0.414609
21	-0.066151	-0.5613	0.288166
22	-0.007617	-0.0646	0.474323
23	-0.188675	-1.601	0.056882
24	0.033481	0.2841	0.388577
25	-0.065034	-0.5518	0.291386
26	-0.100311	-0.8512	0.198749
27	0.025687	0.218	0.414039
28	-0.10854	-0.921	0.180064
29	-0.021434	-0.1819	0.428096
30	0.019592	0.1662	0.434216
31	-0.064661	-0.5487	0.292465
32	0.011846	0.1005	0.460105
33	-0.041481	-0.352	0.362942
34	-0.068442	-0.5808	0.281611
35	0.090151	0.765	0.223398
36	-0.031511	-0.2674	0.39497
37	-0.111286	-0.9443	0.174089
38	0.069136	0.5866	0.27964
39	0.002493	0.0212	0.49159
40	0.004935	0.0419	0.483358
41	-0.081779	-0.6939	0.244984
42	0.054829	0.4652	0.321582
43	0.066556	0.5648	0.286999
44	-0.076944	-0.6529	0.257953
45	0.05359	0.4547	0.325336
46	-0.124336	-1.055	0.14747
47	0.006831	0.058	0.476968
48	0.089149	0.7565	0.225923

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935114ut7fqcb2qqzkad5/1xdl01289935146.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935114ut7fqcb2qqzkad5/1xdl01289935146.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935114ut7fqcb2qqzkad5/2xdl01289935146.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935114ut7fqcb2qqzkad5/2xdl01289935146.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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