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opdracht 6 bis deel 2 (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 19:21:59 +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/t1289935282dvpxq7tifwueg1j.htm/, Retrieved Tue, 16 Nov 2010 20:21:24 +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/t1289935282dvpxq7tifwueg1j.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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.274546	2.3134	0.011802
2	0.151508	1.2766	0.102947
3	-0.174005	-1.4662	0.073506
4	-0.235038	-1.9805	0.025764
5	-0.316735	-2.6689	0.004712
6	-0.258249	-2.176	0.016441
7	-0.318431	-2.6831	0.004534
8	-0.228174	-1.9226	0.029269
9	-0.15131	-1.275	0.10324
10	0.08648	0.7287	0.234293
11	0.327073	2.756	0.003715
12	0.732206	6.1697	0
13	0.234288	1.9741	0.026128
14	0.137893	1.1619	0.124582
15	-0.162771	-1.3715	0.087265
16	-0.156095	-1.3153	0.096324
17	-0.254387	-2.1435	0.01775
18	-0.213682	-1.8005	0.038013
19	-0.255209	-2.1504	0.017464
20	-0.188005	-1.5842	0.058801
21	-0.159421	-1.3433	0.091726
22	0.120627	1.0164	0.15644
23	0.259921	2.1901	0.0159
24	0.525279	4.4261	1.7e-05
25	0.210936	1.7774	0.039894
26	0.074065	0.6241	0.267287
27	-0.101902	-0.8586	0.196715
28	-0.108024	-0.9102	0.182891
29	-0.210968	-1.7777	0.039872
30	-0.170894	-1.44	0.077134
31	-0.18479	-1.5571	0.06195
32	-0.175032	-1.4748	0.072338
33	-0.087406	-0.7365	0.231928
34	0.06657	0.5609	0.288305
35	0.208475	1.7566	0.041645
36	0.427241	3.6	0.000293
37	0.129575	1.0918	0.139303
38	0.05615	0.4731	0.318785
39	-0.063454	-0.5347	0.297273
40	-0.064679	-0.545	0.293731
41	-0.182452	-1.5374	0.064324
42	-0.106634	-0.8985	0.185974
43	-0.146084	-1.2309	0.111206
44	-0.136389	-1.1492	0.127159
45	-0.036717	-0.3094	0.378968
46	0.010963	0.0924	0.463328
47	0.201772	1.7002	0.046739
48	0.271856	2.2907	0.012476

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.274546	2.3134	0.011802
2	0.082339	0.6938	0.245036
3	-0.255654	-2.1542	0.017311
4	-0.162619	-1.3702	0.087463
5	-0.186687	-1.5731	0.060076
6	-0.155742	-1.3123	0.096822
7	-0.302461	-2.5486	0.00649
8	-0.289521	-2.4395	0.008603
9	-0.3167	-2.6686	0.004716
10	-0.227749	-1.919	0.029499
11	-0.048338	-0.4073	0.342507
12	0.542121	4.568	1e-05
13	-0.1414	-1.1915	0.11872
14	-0.135882	-1.145	0.128034
15	-0.064884	-0.5467	0.293143
16	0.080593	0.6791	0.249645
17	0.012214	0.1029	0.459159
18	-0.025592	-0.2156	0.414943
19	0.051754	0.4361	0.332048
20	0.031355	0.2642	0.396196
21	-0.075173	-0.6334	0.264247
22	0.133821	1.1276	0.131644
23	-0.11162	-0.9405	0.175069
24	-0.071848	-0.6054	0.273422
25	0.068198	0.5746	0.283672
26	-0.069745	-0.5877	0.279306
27	0.038163	0.3216	0.374363
28	-0.02583	-0.2176	0.414164
29	-0.052002	-0.4382	0.331295
30	-0.029494	-0.2485	0.402225
31	0.017578	0.1481	0.441336
32	-0.013958	-0.1176	0.453354
33	0.049521	0.4173	0.33887
34	-0.15885	-1.3385	0.092503
35	0.012636	0.1065	0.457755
36	0.1122	0.9454	0.173827
37	-0.111994	-0.9437	0.174267
38	-0.035024	-0.2951	0.384382
39	-0.000816	-0.0069	0.497265
40	0.059989	0.5055	0.307394
41	-0.07058	-0.5947	0.276961
42	0.017291	0.1457	0.442288
43	0.066188	0.5577	0.289398
44	-0.082119	-0.692	0.245613
45	0.064439	0.543	0.294423
46	0.030066	0.2533	0.400368
47	-0.022916	-0.1931	0.423719
48	-0.088288	-0.7439	0.229687

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935282dvpxq7tifwueg1j/1z9un1289935318.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935282dvpxq7tifwueg1j/1z9un1289935318.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935282dvpxq7tifwueg1j/2sib81289935318.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289935282dvpxq7tifwueg1j/2sib81289935318.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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