IKO opdracht 6 bis werkloosheid in België Glen Arnouts

*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, 12 Apr 2011 15:12:23 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t.htm/, Retrieved Tue, 12 Apr 2011 17:09:05 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 577 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564 558 575 580 575 563 552 537 545 601 604 586 564 549 551 556

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' @ 216.218.223.82 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.250341 2.6016 0.00529 2 -0.241394 -2.5086 0.006803 3 -0.328447 -3.4133 0.000452 4 -0.241751 -2.5124 0.006736 5 0.115858 1.204 0.115606 6 0.179358 1.8639 0.032523 7 0.121052 1.258 0.10555 8 -0.200253 -2.0811 0.019895 9 -0.302185 -3.1404 0.001088 10 -0.21953 -2.2814 0.012242 11 0.230061 2.3909 0.00927 12 0.805298 8.3689 0 13 0.184072 1.9129 0.029203 14 -0.226171 -2.3504 0.010283 15 -0.316782 -3.2921 0.000672 16 -0.221831 -2.3053 0.011529 17 0.091696 0.9529 0.171377 18 0.132125 1.3731 0.086285 19 0.074806 0.7774 0.21931 20 -0.211556 -2.1986 0.015021 21 -0.278155 -2.8907 0.002324 22 -0.183915 -1.9113 0.029309 23 0.201406 2.0931 0.019342 24 0.667933 6.9414 0 25 0.134144 1.3941 0.08308 26 -0.21492 -2.2335 0.013788 27 -0.287321 -2.9859 0.001749 28 -0.197902 -2.0567 0.021065 29 0.065153 0.6771 0.2499 30 0.090971 0.9454 0.173283 31 0.052797 0.5487 0.292176 32 -0.195921 -2.0361 0.022095 33 -0.21798 -2.2653 0.012744 34 -0.129526 -1.3461 0.090549 35 0.195115 2.0277 0.022527 36 0.581756 6.0458 0 37 0.084004 0.873 0.192301 38 -0.199419 -2.0724 0.020303 39 -0.261433 -2.7169 0.003838 40 -0.147854 -1.5365 0.063665 41 0.081934 0.8515 0.198193 42 0.079658 0.8278 0.204796 43 0.044106 0.4584 0.323807 44 -0.174523 -1.8137 0.036251 45 -0.180974 -1.8807 0.031351 46 -0.081884 -0.851 0.198336 47 0.1543 1.6035 0.055869 48 0.468944 4.8734 2e-06 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.250341 2.6016 0.00529 2 -0.324394 -3.3712 0.00052 3 -0.199363 -2.0718 0.020331 4 -0.206788 -2.149 0.016934 5 0.11025 1.1458 0.127215 6 -0.05322 -0.5531 0.290677 7 0.05932 0.6165 0.269439 8 -0.272325 -2.8301 0.002775 9 -0.119776 -1.2448 0.107959 10 -0.282117 -2.9318 0.002057 11 0.259787 2.6998 0.004028 12 0.677132 7.037 0 13 -0.18894 -1.9635 0.026078 14 0.08466 0.8798 0.190456 15 0.007264 0.0755 0.469984 16 0.074411 0.7733 0.220517 17 -0.113637 -1.1809 0.120109 18 -0.090904 -0.9447 0.173459 19 -0.124735 -1.2963 0.09882 20 -0.12507 -1.2998 0.098225 21 -0.038362 -0.3987 0.345462 22 -0.057758 -0.6002 0.274803 23 -0.089542 -0.9305 0.177082 24 0.036672 0.3811 0.351935 25 -0.040678 -0.4227 0.336664 26 0.000916 0.0095 0.496212 27 0.014317 0.1488 0.441001 28 -0.009057 -0.0941 0.462594 29 -0.061584 -0.64 0.261765 30 -0.043644 -0.4536 0.325528 31 0.004411 0.0458 0.481762 32 -0.038277 -0.3978 0.345787 33 0.046237 0.4805 0.315919 34 -0.007696 -0.08 0.468199 35 0.028814 0.2994 0.382588 36 0.066056 0.6865 0.246942 37 -0.062122 -0.6456 0.259956 38 0.012074 0.1255 0.450192 39 -0.071289 -0.7409 0.230194 40 0.069904 0.7265 0.234564 41 -0.020156 -0.2095 0.417237 42 0.008564 0.089 0.464625 43 -0.016773 -0.1743 0.430974 44 0.015616 0.1623 0.435693 45 -0.045233 -0.4701 0.319624 46 0.028547 0.2967 0.383646 47 -0.188298 -1.9568 0.026473 48 -0.072568 -0.7541 0.2262

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t/1tlsh1302621139.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t/1tlsh1302621139.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t/24gx41302621139.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t/24gx41302621139.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t/3cdxt1302621139.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302620941wpwi91ap4vfew8t/3cdxt1302621139.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 (par8 != '') par8 <- as.numeric(par8) ox <- x if (par8 == '') { if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } } else { x <- log(x,base=par8) } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) bitmap(file='picts.png') op <- par(mfrow=c(2,1)) plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value') if (par8=='') { mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } else { mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } plot(x,type='l', main=mytitle,xlab='time',ylab='value') par(op) dev.off() bitmap(file='pic1.png') racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) dev.off() bitmap(file='pic2.png') rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) 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')

Copyright

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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