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opdracht 6 bis oefening 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, 22 Nov 2010 14:55:56 +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/22/t1290437813qxmydcu2egtgc5k.htm/, Retrieved Mon, 22 Nov 2010 15:56:58 +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/22/t1290437813qxmydcu2egtgc5k.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:

Bij de eerste blog had ik getypt: opdracht 6 bis oefening 2 stap 2. Maar dit moest stap 1 zijn. Deze blog is dus de juiste blog. De unieke link staat in de paper. MVG Nicolas Norga

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

132.1 125 127.1 101.5 85.7 79.3 70.9 77.1 83.9 96.2 111.7 127.2 143.6 134.9 135.6 105.3 86.4 74.6 67.6 73.4 78.5 98.2 118.6 136.9 137.9 115.6 119.3 98.5 84.3 73.5 60.7 69.5 77.9 113.9 126.3 135.1 130.5 113.1 110 90.8 85.4 72.5 64.7 67.2 77.9 105.2 107.2 120.7 121.3 107.9 105.6 81.3 71.7 64.8 57.3 61.9 70.1 88.8 106.8 110.7 114.1 108 111.5 86.8 78.4 68 57.3 65.3 73.3 88.6 101.3 122.9 126.6 114.1 124.7 93.3 77.2 66.5 57.9 63.7 65.8 85 101 105.3 121 117.9 106 86.6 79.9 65.2 61.2 67.6 78.9 95.5 113.1 124.4 122 110.3 114 93.3 75.5 65.4 59.2 63.8 74.2 91.7 107 120.7 127.4 119.7 112.7 84.4 75.6 66.5 59.9 64.8 74.3 100.4 105.9 131.1

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	3 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.813831	8.9151	0
2	0.480261	5.261	0
3	0.018067	0.1979	0.421724
4	-0.418669	-4.5863	6e-06
5	-0.707115	-7.7461	0
6	-0.816313	-8.9423	0
7	-0.670003	-7.3395	0
8	-0.366876	-4.0189	5.1e-05
9	0.069699	0.7635	0.223327
10	0.48383	5.3001	0
11	0.755689	8.2782	0
12	0.852383	9.3374	0
13	0.689361	7.5516	0
14	0.389533	4.2671	2e-05
15	-0.025969	-0.2845	0.388268
16	-0.402845	-4.4129	1.1e-05
17	-0.646967	-7.0872	0
18	-0.730378	-8.0009	0
19	-0.586189	-6.4214	0
20	-0.305141	-3.3427	0.000554
21	0.077325	0.8471	0.199324
22	0.419181	4.5919	5e-06
23	0.644136	7.0562	0
24	0.718863	7.8747	0
25	0.568815	6.2311	0
26	0.314386	3.4439	0.000395
27	-0.034566	-0.3786	0.352808
28	-0.364922	-3.9975	5.5e-05
29	-0.576562	-6.3159	0
30	-0.646917	-7.0866	0
31	-0.513585	-5.626	0
32	-0.272524	-2.9854	0.001717
33	0.057369	0.6284	0.265453
34	0.349983	3.8339	0.000101
35	0.536367	5.8756	0
36	0.595898	6.5277	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.813831	8.9151	0
2	-0.539151	-5.9061	0
3	-0.604265	-6.6194	0
4	-0.31713	-3.474	0.000357
5	0.019297	0.2114	0.41647
6	-0.149321	-1.6357	0.052258
7	0.163417	1.7901	0.037976
8	0.044736	0.4901	0.312493
9	0.314441	3.4445	0.000394
10	0.223237	2.4454	0.00796
11	-0.006382	-0.0699	0.472192
12	0.190327	2.0849	0.019598
13	-0.045884	-0.5026	0.308073
14	0.162542	1.7806	0.038758
15	0.004145	0.0454	0.48193
16	0.056043	0.6139	0.270214
17	0.133146	1.4585	0.073652
18	-0.081778	-0.8958	0.186068
19	-0.035019	-0.3836	0.35097
20	0.007642	0.0837	0.46671
21	-0.009641	-0.1056	0.458034
22	-0.093796	-1.0275	0.153131
23	-0.059742	-0.6544	0.25704
24	0.117214	1.284	0.100806
25	-0.107875	-1.1817	0.119829
26	0.044562	0.4881	0.313167
27	0.047623	0.5217	0.301427
28	-0.158477	-1.736	0.042562
29	0.042153	0.4618	0.322543
30	-0.037474	-0.4105	0.341084
31	0.02487	0.2724	0.392876
32	-0.011358	-0.1244	0.450595
33	-0.046581	-0.5103	0.3054
34	-0.029799	-0.3264	0.372333
35	-0.071853	-0.7871	0.216383
36	0.003367	0.0369	0.485317

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290437813qxmydcu2egtgc5k/1z7dl1290437752.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290437813qxmydcu2egtgc5k/1z7dl1290437752.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290437813qxmydcu2egtgc5k/2z7dl1290437752.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290437813qxmydcu2egtgc5k/2z7dl1290437752.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; 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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