Opgave 6 bis, eigen reeks

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 01 May 2011 11:53:46 +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/May/01/t1304250747qwha0u6eda0hp3h.htm/, Retrieved Sun, 01 May 2011 13:52:30 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

8 8 8,2 8,5 8,7 8,7 8 8 8,3 8,5 8,7 8,6 8,3 7,9 7,9 8,1 8,3 8,1 7,4 7,3 7,7 8 8 7,7 6,9 6,6 6,9 7,5 7,9 7,7 6,5 6,1 6,4 6,8 7,1 7,3 7,2 7 7 7 7,3 7,5 7,2 7,7 8 7,9 8 8 7,9 7,9 8 8,1 8,1 8,2 8 8,3 8,5 8,6 8,7 8,7 8,5 8,4 8,5 8,7 8,7 8,6 7,9 8,1 8,2 8,5 8,6 8,5

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 0.870739 7.3885 0 2 0.659764 5.5983 0 3 0.529785 4.4954 1.3e-05 4 0.544014 4.6161 8e-06 5 0.648667 5.5041 0 6 0.709694 6.022 0 7 0.621625 5.2747 1e-06 8 0.449048 3.8103 0.000145 9 0.301582 2.559 0.006299 10 0.246995 2.0958 0.019807 11 0.275501 2.3377 0.011093 12 0.280612 2.3811 0.009955 13 0.159683 1.355 0.089834 14 0.012954 0.1099 0.456389 15 -0.08104 -0.6876 0.246941 16 -0.110798 -0.9401 0.175143 17 -0.102495 -0.8697 0.193677 18 -0.124871 -1.0596 0.146441 19 -0.224715 -1.9068 0.030271 20 -0.341997 -2.9019 0.002459 21 -0.418814 -3.5538 0.000338 22 -0.432801 -3.6724 0.000229 23 -0.393005 -3.3348 0.000676 24 -0.370639 -3.145 0.001207 25 -0.43445 -3.6864 0.000219 26 -0.501375 -4.2543 3.1e-05 27 -0.526767 -4.4698 1.4e-05 28 -0.512772 -4.351 2.2e-05 29 -0.470154 -3.9894 7.9e-05 30 -0.438292 -3.719 0.000196 31 -0.443007 -3.759 0.000172 32 -0.44452 -3.7719 0.000165 33 -0.413211 -3.5062 0.000393 34 -0.349469 -2.9653 0.002049 35 -0.270741 -2.2973 0.012255 36 -0.23081 -1.9585 0.027023 37 -0.258618 -2.1944 0.015715 38 -0.272071 -2.3086 0.01192 39 -0.239405 -2.0314 0.022952 40 -0.159562 -1.3539 0.089998 41 -0.064006 -0.5431 0.294366 42 -0.010409 -0.0883 0.464933 43 -0.022543 -0.1913 0.424422 44 -0.04906 -0.4163 0.339218 45 -0.046587 -0.3953 0.346893 46 0.001695 0.0144 0.494283 47 0.06955 0.5901 0.27847 48 0.111537 0.9464 0.17355 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.870739 7.3885 0 2 -0.407023 -3.4537 0.000465 3 0.376138 3.1916 0.001049 4 0.340026 2.8852 0.002579 5 0.240583 2.0414 0.022438 6 -0.056645 -0.4806 0.316112 7 -0.313306 -2.6585 0.004833 8 -0.03695 -0.3135 0.377391 9 -0.141462 -1.2003 0.116971 10 -0.125743 -1.067 0.144776 11 -0.047631 -0.4042 0.343646 12 -0.224292 -1.9032 0.030507 13 -0.393047 -3.3351 0.000675 14 0.293469 2.4902 0.007538 15 -0.011307 -0.0959 0.461915 16 -0.160977 -1.3659 0.088106 17 0.009619 0.0816 0.467587 18 0.03132 0.2658 0.395592 19 -0.025847 -0.2193 0.413509 20 -0.046113 -0.3913 0.348371 21 -0.083864 -0.7116 0.239503 22 -0.043499 -0.3691 0.356569 23 0.061674 0.5233 0.301179 24 0.057913 0.4914 0.312317 25 -0.1383 -1.1735 0.122229 26 0.111554 0.9466 0.173513 27 0.025211 0.2139 0.415607 28 -0.048927 -0.4152 0.339631 29 -0.039978 -0.3392 0.367713 30 -0.012224 -0.1037 0.458838 31 0.037211 0.3157 0.376556 32 0.008168 0.0693 0.472468 33 0.127002 1.0776 0.142394 34 0.080283 0.6812 0.248958 35 -0.047661 -0.4044 0.343554 36 -0.053125 -0.4508 0.326752 37 -0.08308 -0.705 0.241556 38 -0.120116 -1.0192 0.155756 39 -0.176215 -1.4952 0.069612 40 0.06247 0.5301 0.298845 41 -0.088667 -0.7524 0.227143 42 -0.096638 -0.82 0.207462 43 0.038267 0.3247 0.373171 44 0.031959 0.2712 0.393513 45 -0.021554 -0.1829 0.427698 46 0.007698 0.0653 0.474049 47 -0.132816 -1.127 0.131745 48 0.047838 0.4059 0.343002

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/01/t1304250747qwha0u6eda0hp3h/12j191304250825.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/01/t1304250747qwha0u6eda0hp3h/12j191304250825.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/01/t1304250747qwha0u6eda0hp3h/2jiw61304250825.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/01/t1304250747qwha0u6eda0hp3h/2jiw61304250825.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/01/t1304250747qwha0u6eda0hp3h/3i8ds1304250825.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/01/t1304250747qwha0u6eda0hp3h/3i8ds1304250825.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')

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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