Alexander De Raeymaeker - Opdracht 6Bis oefening 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: Mon, 28 Mar 2011 18:53:36 +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/Mar/28/t13013382303ceayb9ydm1vubi.htm/, Retrieved Mon, 28 Mar 2011 20:50:32 +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 1 seconds R Server 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.125989 -1.1616 0.124333 2 -0.125771 -1.1595 0.12474 3 0.132311 1.2198 0.112948 4 0.239128 2.2046 0.01509 5 -0.053157 -0.4901 0.312668 6 0.052032 0.4797 0.316332 7 -0.07058 -0.6507 0.258492 8 0.183933 1.6958 0.046794 9 0.110463 1.0184 0.155685 10 -0.115 -1.0603 0.146017 11 -0.158898 -1.465 0.073309 12 0.692052 6.3804 0 13 -0.191467 -1.7652 0.040557 14 -0.174412 -1.608 0.055772 15 0.0219 0.2019 0.420234 16 0.1551 1.4299 0.078199 17 -0.11029 -1.0168 0.156062 18 -0.038658 -0.3564 0.361207 19 -0.103484 -0.9541 0.171374 20 0.117996 1.0879 0.139863 21 0.003528 0.0325 0.487066 22 -0.163332 -1.5059 0.067906 23 -0.193348 -1.7826 0.039113 24 0.556493 5.1306 1e-06 25 -0.197171 -1.8178 0.036307 26 -0.171956 -1.5854 0.0583 27 0.041529 0.3829 0.351381 28 0.164985 1.5211 0.065974 29 -0.087827 -0.8097 0.21018 30 0.008159 0.0752 0.470108 31 -0.080584 -0.7429 0.22978 32 0.05738 0.529 0.299085 33 0.03697 0.3408 0.367031 34 -0.125136 -1.1537 0.125929 35 -0.150881 -1.391 0.08392 36 0.492748 4.5429 9e-06 37 -0.141703 -1.3064 0.097465 38 -0.150773 -1.3901 0.08407 39 0.080502 0.7422 0.230007 40 0.117067 1.0793 0.141753 41 -0.092481 -0.8526 0.19813 42 -0.006933 -0.0639 0.474592 43 -0.077042 -0.7103 0.239734 44 0.044263 0.4081 0.342119 45 0.009129 0.0842 0.466561 46 -0.048741 -0.4494 0.327155 47 -0.130233 -1.2007 0.116603 48 0.333019 3.0703 0.001436 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.125989 -1.1616 0.124333 2 -0.143929 -1.327 0.094039 3 0.099665 0.9189 0.180382 4 0.264692 2.4403 0.008375 5 0.052961 0.4883 0.313305 6 0.101792 0.9385 0.175329 7 -0.130259 -1.2009 0.116557 8 0.118701 1.0944 0.138442 9 0.135166 1.2462 0.108063 10 -0.059724 -0.5506 0.291666 11 -0.187472 -1.7284 0.043773 12 0.625237 5.7644 0 13 -0.199923 -1.8432 0.034393 14 -0.0836 -0.7708 0.221496 15 -0.187477 -1.7285 0.043769 16 -0.110774 -1.0213 0.155009 17 -0.049699 -0.4582 0.323989 18 -0.09476 -0.8736 0.192387 19 0.042599 0.3927 0.347748 20 0.012503 0.1153 0.454249 21 -0.102363 -0.9437 0.173989 22 -0.071758 -0.6616 0.255017 23 -0.055485 -0.5115 0.305147 24 0.204923 1.8893 0.031131 25 0.058857 0.5426 0.2944 26 0.065067 0.5999 0.275089 27 0.131681 1.214 0.114048 28 0.011696 0.1078 0.457192 29 0.020138 0.1857 0.426575 30 0.08026 0.74 0.23068 31 -0.030457 -0.2808 0.389772 32 -0.149296 -1.3764 0.08615 33 0.000483 0.0045 0.498227 34 -0.073611 -0.6787 0.2496 35 0.026794 0.247 0.40274 36 0.006626 0.0611 0.475715 37 0.029914 0.2758 0.391688 38 -0.032855 -0.3029 0.381349 39 0.001236 0.0114 0.495467 40 -0.138617 -1.278 0.102367 41 -0.009001 -0.083 0.467028 42 -0.04564 -0.4208 0.337488 43 0.017977 0.1657 0.434377 44 0.086006 0.7929 0.215012 45 -0.028271 -0.2606 0.3975 46 0.214873 1.981 0.02541 47 -0.017905 -0.1651 0.434636 48 -0.149073 -1.3744 0.086468

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Mar/28/t13013382303ceayb9ydm1vubi/184kw1301338414.png (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/28/t13013382303ceayb9ydm1vubi/184kw1301338414.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/28/t13013382303ceayb9ydm1vubi/2rufm1301338414.png (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/28/t13013382303ceayb9ydm1vubi/2rufm1301338414.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/28/t13013382303ceayb9ydm1vubi/3hdht1301338414.png (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/28/t13013382303ceayb9ydm1vubi/3hdht1301338414.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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 (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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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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