opgave6bisoefening2stap1

*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 17:47:08 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n.htm/, Retrieved Tue, 12 Apr 2011 19:53:31 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

131.676 135.050 129.070 137.792 139.762 142.917 144.198 142.648 152.170 136.022 138.142 138.135 135.027 132.911 133.976 137.012 119.610 118.106 120.383 133.185 131.416 134.248 134.397 127.728 131.837 125.955 134.187 143.291 145.074 149.812 144.668 147.253 145.568 155.564 155.872 156.323 158.010 155.598 154.785 157.294 162.938 157.283 166.074 169.282 172.552 174.055 175.409 173.696 171.283 173.322 170.717 174.229 175.339 173.511 175.839 173.816 173.990 174.777 174.819 176.726 176.199 180.952 176.663 182.346 180.605 182.497 187.856 190.020 190.108 193.288 193.230 199.068 195.076 191.563 191.067 186.665 185.508 184.371 183.046 175.714 175.768 171.029 170.465 170.102 156.389 124.291 99.360 86.675 85.056 128.236 164.257 162.401 152.779 156.005 153.387 153.190 148.840 144.211 145.953 145.542 150.271 147.489 143.824 134.754 131.736 126.304 125.511 125.495 130.133 126.257 110.323 98.417 105.749 120.665 12 etc...

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 2 seconds R Server 'George Udny Yule' @ 216.218.223.82 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.952678 12.7103 0 2 0.875274 11.6776 0 3 0.79473 10.603 0 4 0.732003 9.7661 0 5 0.688806 9.1898 0 6 0.659157 8.7943 0 7 0.634655 8.4674 0 8 0.5993 7.9957 0 9 0.56686 7.5629 0 10 0.526802 7.0284 0 11 0.489606 6.5322 0 12 0.451875 6.0288 0 13 0.414755 5.5335 0 14 0.383194 5.1124 0 15 0.357546 4.7703 2e-06 16 0.340048 4.5368 5e-06 17 0.320955 4.2821 1.5e-05 18 0.306109 4.084 3.3e-05 19 0.283375 3.7807 0.000107 20 0.259557 3.4629 0.000335 21 0.243432 3.2478 0.000695 22 0.237451 3.168 0.000903 23 0.238434 3.1811 0.000866 24 0.225253 3.0052 0.001518 25 0.202323 2.6993 0.003809 26 0.167209 2.2308 0.01347 27 0.125046 1.6683 0.048505 28 0.08068 1.0764 0.141601 29 0.041873 0.5587 0.288547 30 0.010157 0.1355 0.446182 31 -0.015014 -0.2003 0.420732 32 -0.031237 -0.4168 0.338679 33 -0.051118 -0.682 0.248065 34 -0.070063 -0.9348 0.17559 35 -0.090038 -1.2013 0.115625 36 -0.109355 -1.459 0.073167 37 -0.12519 -1.6702 0.048314 38 -0.138911 -1.8533 0.032747 39 -0.15527 -2.0716 0.019875 40 -0.173156 -2.3102 0.011012 41 -0.185187 -2.4707 0.007213 42 -0.191757 -2.5584 0.005675 43 -0.190823 -2.5459 0.005874 44 -0.182393 -2.4334 0.007973 45 -0.175728 -2.3445 0.010078 46 -0.169375 -2.2597 0.012525 47 -0.15948 -2.1277 0.017368 48 -0.151645 -2.0232 0.022275 49 -0.13919 -1.857 0.03248 50 -0.12639 -1.6863 0.046749 51 -0.118248 -1.5776 0.058214 52 -0.11266 -1.5031 0.067296 53 -0.101403 -1.3529 0.088903 54 -0.088614 -1.1823 0.11934 55 -0.069716 -0.9301 0.176782 56 -0.049317 -0.658 0.255704 57 -0.034436 -0.4594 0.323242 58 -0.024773 -0.3305 0.370698 59 -0.017138 -0.2286 0.409704 60 -0.006184 -0.0825 0.467168 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.952678 12.7103 0 2 -0.349781 -4.6667 3e-06 3 0.030067 0.4011 0.344398 4 0.161026 2.1484 0.016519 5 0.067912 0.9061 0.183064 6 0.028876 0.3853 0.350255 7 0.007936 0.1059 0.457897 8 -0.130423 -1.7401 0.041789 9 0.144873 1.9329 0.027421 10 -0.141164 -1.8834 0.030641 11 0.0526 0.7018 0.241868 12 -0.055146 -0.7357 0.231429 13 -0.030385 -0.4054 0.342841 14 0.051462 0.6866 0.246617 15 0.025637 0.342 0.36636 16 0.002286 0.0305 0.487851 17 -0.019074 -0.2545 0.39971 18 0.037972 0.5066 0.30653 19 -0.086667 -1.1563 0.124557 20 0.03979 0.5309 0.298088 21 0.088179 1.1765 0.120491 22 0.036249 0.4836 0.314623 23 -0.003257 -0.0435 0.482695 24 -0.189097 -2.5229 0.006258 25 -0.001003 -0.0134 0.494671 26 -0.033732 -0.45 0.326614 27 -0.126864 -1.6926 0.046143 28 -0.033677 -0.4493 0.32688 29 -0.012533 -0.1672 0.433699 30 -0.042615 -0.5686 0.285186 31 0.062919 0.8394 0.201172 32 -0.012609 -0.1682 0.433301 33 -0.079812 -1.0648 0.1442 34 0.052819 0.7047 0.24096 35 0.000501 0.0067 0.497339 36 -0.003323 -0.0443 0.482346 37 0.045541 0.6076 0.272114 38 -0.056687 -0.7563 0.225234 39 -0.086744 -1.1573 0.124349 40 0.035023 0.4673 0.32044 41 -0.026465 -0.3531 0.362218 42 0.071909 0.9594 0.169333 43 0.034153 0.4557 0.324595 44 0.004074 0.0543 0.478359 45 -0.048063 -0.6412 0.261096 46 0.055319 0.738 0.230729 47 0.070257 0.9373 0.174927 48 -0.056262 -0.7506 0.226935 49 0.116322 1.5519 0.061227 50 -0.038829 -0.518 0.302537 51 -0.00482 -0.0643 0.474397 52 0.072631 0.969 0.166925 53 0.055738 0.7436 0.229038 54 -0.050586 -0.6749 0.250307 55 0.096541 1.288 0.099706 56 -0.053057 -0.7079 0.239974 57 0.002209 0.0295 0.488259 58 0.012205 0.1628 0.435417 59 0.001343 0.0179 0.492865 60 0.017005 0.2269 0.410391

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n/11oci1302630425.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n/11oci1302630425.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n/2nx4s1302630425.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n/2nx4s1302630425.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n/3p05s1302630425.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/12/t1302630807ec1ze67qqs6n37n/3p05s1302630425.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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 (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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