Home » date » 2010 » Nov » 20 »

oef 6 bis oef 2 stap 1 (juiste)

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sat, 20 Nov 2010 16:28:20 +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/20/t12902704364mpsdkh1aufye2j.htm/, Retrieved Sat, 20 Nov 2010 17:27:17 +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/20/t12902704364mpsdkh1aufye2j.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:
KDGP1W12
 
Dataseries X:
» Textbox « » Textfile « » CSV «
102.8 106.3 103.7 106.9 104.3 105.4 96.2 95.7 95.9 93.6 94.7 94.5 96.6 96.7 98.9 102 105.2 106.4 99.3 96.4 93.1 95.6 93.3 96.7 105.6 105.2 107 104.9 104.5 105.2 99.7 100.2 98.5 98.4 97.1 98.4 100.6 111.3 119 117.8 108.8 109.3 103.5 103.7 110 105.5 110.4 106.7 110.2 105.2 108 108.1 107.2 106 99.4 100.2 100.3 100.8 99.5 100.2 103 111 120.5 109.5 106.6 105.5 103.9 104.9 104.8 99.6 97 95.4 99.3 103.9 107.4 107.4 111 113.2 108.5 113.3 113.8 105.3 107.5 109.4 118.9 119 115 124.1 120.5 117.7 117.1 118.1 119.6 118.8 124.9 124 124.9 121.7 121.6 125.1 127.9 129 130.1 130.3 127.9 124.1 125.7 129.2 129.2 132.6 131.5 131 125.8 127.2 127.3 127.5 122 118.4 118.3 115.5
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9331510.22210
20.8664929.49190
30.7988448.75090
40.7477668.19140
50.7126887.80710
60.6831587.48360
70.6717527.35870
80.6508887.13010
90.6404487.01580
100.6281196.88070
110.6207046.79950
120.6031886.60760
130.5611916.14750
140.5191425.68690
150.4654045.09821e-06
160.4012314.39531.2e-05
170.3492833.82620.000104
180.3094683.39010.000473
190.2778323.04350.001437
200.2686252.94260.001954
210.2664972.91930.002095
220.2752493.01520.001567
230.2654152.90750.002171
240.2304042.5240.006455
250.1798711.97040.025548
260.1321161.44730.075215
270.0923551.01170.156859
280.0463760.5080.306186
290.0142670.15630.438035
30-0.015471-0.16950.432855
31-0.035411-0.38790.349386
32-0.043036-0.47140.319094
33-0.037298-0.40860.34179
34-0.020786-0.22770.410133
35-0.019091-0.20910.417352
36-0.017302-0.18950.424996
37-0.035405-0.38780.349409
38-0.040718-0.4460.328186
39-0.052208-0.57190.284226
40-0.069977-0.76660.222423
41-0.076739-0.84060.201113
42-0.098013-1.07370.14256
43-0.101117-1.10770.135107
44-0.098316-1.0770.14182
45-0.067537-0.73980.230423
46-0.040789-0.44680.327905
47-0.021052-0.23060.409002
48-0.010378-0.11370.454837


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9331510.22210
2-0.033087-0.36250.358825
3-0.043391-0.47530.317709
40.0909810.99660.160472
50.0953221.04420.149247
60.0197240.21610.414651
70.1363231.49330.068986
8-0.053725-0.58850.278641
90.0922291.01030.157189
100.0250470.27440.392132
110.0549210.60160.274278
12-0.063043-0.69060.245573
13-0.167987-1.84020.034104
14-0.020828-0.22820.409954
15-0.100017-1.09560.137718
16-0.190282-2.08440.019621
170.0230660.25270.400476
18-0.004402-0.04820.480809
19-0.051232-0.56120.287847
200.1628581.7840.038474
210.0308240.33770.368104
220.0990541.08510.14003
23-0.075847-0.83090.203851
24-0.16349-1.79090.037911
25-0.085935-0.94140.174204
260.0168310.18440.427016
270.0120530.1320.447591
28-0.068737-0.7530.226469
29-0.006341-0.06950.472367
300.0160.17530.430582
310.0243490.26670.395066
320.0123860.13570.446148
330.0803290.880.190319
340.0451480.49460.310902
35-0.057594-0.63090.264651
360.1035041.13380.129563
37-0.07158-0.78410.217256
380.1696431.85830.032785
390.0464930.50930.305735
40-0.085094-0.93220.176563
410.0511290.56010.288231
42-0.161898-1.77350.039341
430.0187020.20490.419009
44-0.011412-0.1250.450361
450.1064041.16560.123044
460.0209220.22920.409558
470.021020.23030.409138
48-0.032448-0.35550.361438
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Nov/20/t12902704364mpsdkh1aufye2j/111xz1290270496.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/20/t12902704364mpsdkh1aufye2j/111xz1290270496.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/20/t12902704364mpsdkh1aufye2j/211xz1290270496.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/20/t12902704364mpsdkh1aufye2j/211xz1290270496.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 = 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')
 




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Creative Commons License

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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