Alexander De Raeymaeker - volvo verkoop - opgave 6.2

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 27 Apr 2011 15:28:04 +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/27/t1303917891yyxcvbgby54xzyb.htm/, Retrieved Wed, 27 Apr 2011 17:25:14 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

2435 1379 1511 2021 1614 1680 1630 870 1877 2428 1711 127 3192 1934 2075 1700 1198 1582 1705 911 1817 1168 920 84 2254 1485 1886 1358 1167 1781 1218 779 1418 1641 1196 132 2926 1777 2094 1648 1646 1537 1917 977 1475 2124 1209 135 2917 1981 1398 1171 903 1390 1280 781 1828 1631 1063 186 2275 1342 1070 950 1121 1305 1586 548 1225 1419 880 124 2044 1143 897 1264 1326 1529 1373 587 1137 1426 1016 176 2614

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 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.463017 -4.2436 2.8e-05 2 -0.133623 -1.2247 0.112061 3 0.055843 0.5118 0.305062 4 0.193353 1.7721 0.040001 5 -0.174395 -1.5984 0.05686 6 0.092566 0.8484 0.199318 7 -0.165161 -1.5137 0.066925 8 0.139984 1.283 0.101514 9 0.063226 0.5795 0.281908 10 -0.067565 -0.6192 0.268717 11 -0.392885 -3.6009 0.000268 12 0.7394 6.7767 0 13 -0.365043 -3.3457 0.000614 14 -0.096309 -0.8827 0.189963 15 0.025426 0.233 0.408152 16 0.192874 1.7677 0.04037 17 -0.148969 -1.3653 0.087898 18 0.044228 0.4054 0.343124 19 -0.115988 -1.063 0.145404 20 0.14472 1.3264 0.094154 21 0.035679 0.327 0.372241 22 -0.06133 -0.5621 0.287774 23 -0.350789 -3.215 0.000926 24 0.645129 5.9127 0 25 -0.313196 -2.8705 0.002592 26 -0.105961 -0.9712 0.16713 27 0.039387 0.361 0.359508 28 0.172066 1.577 0.059276 29 -0.151569 -1.3892 0.084229 30 0.084432 0.7738 0.220601 31 -0.099799 -0.9147 0.18149 32 0.071768 0.6578 0.256243 33 0.057661 0.5285 0.299284 34 -0.060135 -0.5511 0.291497 35 -0.301997 -2.7678 0.00347 36 0.533108 4.886 2e-06 37 -0.226406 -2.075 0.020521 38 -0.131874 -1.2086 0.115096 39 0.080705 0.7397 0.230779 40 0.123395 1.1309 0.130651 41 -0.125879 -1.1537 0.125947 42 0.051091 0.4683 0.320409 43 -0.068863 -0.6311 0.264832 44 0.0632 0.5792 0.28199 45 0.001527 0.014 0.494434 46 0.016159 0.1481 0.441309 47 -0.230191 -2.1097 0.018928 48 0.364399 3.3398 0.000626 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.463017 -4.2436 2.8e-05 2 -0.442974 -4.0599 5.5e-05 3 -0.377757 -3.4622 0.000423 4 -0.051384 -0.4709 0.319452 5 -0.089424 -0.8196 0.207386 6 0.111968 1.0262 0.15387 7 -0.150411 -1.3785 0.085849 8 -0.095439 -0.8747 0.192112 9 0.07205 0.6604 0.255417 10 0.099344 0.9105 0.182581 11 -0.529189 -4.8501 3e-06 12 0.393858 3.6098 0.00026 13 0.047864 0.4387 0.33101 14 0.079834 0.7317 0.233198 15 -0.005156 -0.0473 0.481211 16 -0.03493 -0.3201 0.374827 17 0.043576 0.3994 0.345314 18 -0.096777 -0.887 0.188813 19 -0.016665 -0.1527 0.439487 20 0.078694 0.7212 0.236383 21 0.05996 0.5495 0.292044 22 -0.00637 -0.0584 0.476793 23 -0.162917 -1.4932 0.069571 24 0.07932 0.727 0.234631 25 0.004914 0.045 0.482092 26 -0.058927 -0.5401 0.295288 27 0.044749 0.4101 0.341377 28 -0.035005 -0.3208 0.37457 29 -0.070228 -0.6436 0.260778 30 0.082784 0.7587 0.225071 31 0.08952 0.8205 0.207136 32 -0.014182 -0.13 0.448448 33 0.005423 0.0497 0.48024 34 -0.120955 -1.1086 0.13539 35 -0.065231 -0.5979 0.275774 36 -0.115067 -1.0546 0.147316 37 0.031359 0.2874 0.387253 38 0.001641 0.015 0.494017 39 0.117988 1.0814 0.141311 40 -0.019281 -0.1767 0.430079 41 0.011327 0.1038 0.458782 42 -0.06292 -0.5767 0.282851 43 -0.068369 -0.6266 0.266308 44 0.013822 0.1267 0.449749 45 -0.174891 -1.6029 0.056355 46 0.076192 0.6983 0.243455 47 0.126661 1.1609 0.124493 48 -0.048939 -0.4485 0.327461

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/27/t1303917891yyxcvbgby54xzyb/1lm3n1303918082.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/27/t1303917891yyxcvbgby54xzyb/1lm3n1303918082.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/27/t1303917891yyxcvbgby54xzyb/27q1a1303918082.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/27/t1303917891yyxcvbgby54xzyb/27q1a1303918082.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/27/t1303917891yyxcvbgby54xzyb/35jyj1303918082.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/27/t1303917891yyxcvbgby54xzyb/35jyj1303918082.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')

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Software written by Ed van Stee & Patrick Wessa

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