Opgave 6 BIS: Eigen reeks

*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, 09 May 2011 14:40:28 +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/09/t13049518536tvtcu3knj3v5r8.htm/, Retrieved Mon, 09 May 2011 16:37:35 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

190,2 180,7 193,6 192,8 195,5 197,2 196,9 178,9 172,4 156,4 143,7 153,6 168,8 185,8 199,9 205,4 197,5 199,6 200,5 193,7 179,6 169,1 169,8 195,5 194,8 204,5 203,8 204,8 204,9 240 248,3 258,4 254,9 288,3 333,6 346,3 357,5 490,7 468,2 471,2 517,1 609,2 682 614 554,2 406,8 348,6 298,8 313,7 282,1 232,9 239,3 241,9 265,7 276 271,5 254,6 269,9 293,5 306,1 365,4 347,9 352,1 377,9 377,4 372,2 362,5 341,9 354,8 369,2 406,7 454,7

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 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.9377 7.9566 0 2 0.847962 7.1952 0 3 0.748535 6.3515 0 4 0.651443 5.5277 0 5 0.555667 4.715 6e-06 6 0.451878 3.8343 0.000134 7 0.348988 2.9613 0.002074 8 0.244487 2.0745 0.020802 9 0.158979 1.349 0.090785 10 0.093245 0.7912 0.215709 11 0.041905 0.3556 0.3616 12 -0.014732 -0.125 0.450435 13 -0.057945 -0.4917 0.312222 14 -0.08201 -0.6959 0.244373 15 -0.08946 -0.7591 0.225138 16 -0.077928 -0.6612 0.255285 17 -0.063089 -0.5353 0.297036 18 -0.048931 -0.4152 0.339616 19 -0.038024 -0.3226 0.37395 20 -0.026753 -0.227 0.410532 21 -0.014064 -0.1193 0.452672 22 0.000792 0.0067 0.497328 23 0.007595 0.0644 0.474398 24 0.002325 0.0197 0.492156 25 0.003356 0.0285 0.48868 26 0.004419 0.0375 0.485097 27 -0.000167 -0.0014 0.499437 28 -0.025061 -0.2127 0.4161 29 -0.06219 -0.5277 0.299666 30 -0.119058 -1.0102 0.157881 31 -0.166219 -1.4104 0.081362 32 -0.1988 -1.6869 0.047978 33 -0.217048 -1.8417 0.034818 34 -0.228468 -1.9386 0.028234 35 -0.243618 -2.0672 0.021157 36 -0.24158 -2.0499 0.02201 37 -0.24104 -2.0453 0.022241 38 -0.232507 -1.9729 0.026174 39 -0.222486 -1.8879 0.031537 40 -0.208776 -1.7715 0.040352 41 -0.194667 -1.6518 0.051465 42 -0.170474 -1.4465 0.076185 43 -0.139568 -1.1843 0.1201 44 -0.108517 -0.9208 0.180116 45 -0.082673 -0.7015 0.242625 46 -0.07227 -0.6132 0.270829 47 -0.070546 -0.5986 0.275658 48 -0.073643 -0.6249 0.267011 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.9377 7.9566 0 2 -0.259438 -2.2014 0.015457 3 -0.085369 -0.7244 0.23559 4 -0.012754 -0.1082 0.457062 5 -0.057903 -0.4913 0.312347 6 -0.140501 -1.1922 0.118551 7 -0.034895 -0.2961 0.384007 8 -0.091306 -0.7748 0.22051 9 0.087822 0.7452 0.229291 10 0.042536 0.3609 0.359604 11 -0.00135 -0.0115 0.495447 12 -0.152639 -1.2952 0.099697 13 0.097987 0.8314 0.204235 14 0.061845 0.5248 0.300678 15 0.022189 0.1883 0.425592 16 0.065694 0.5574 0.28948 17 -0.020951 -0.1778 0.4297 18 -0.035191 -0.2986 0.383049 19 -0.005323 -0.0452 0.48205 20 -0.031214 -0.2649 0.395936 21 -0.020793 -0.1764 0.430225 22 0.038939 0.3304 0.371024 23 -0.038201 -0.3241 0.373383 24 -0.071934 -0.6104 0.271765 25 0.113013 0.9589 0.170397 26 -0.016088 -0.1365 0.4459 27 -0.0925 -0.7849 0.217547 28 -0.141023 -1.1966 0.11769 29 -0.031735 -0.2693 0.394243 30 -0.184128 -1.5624 0.061292 31 0.136299 1.1565 0.125642 32 0.028184 0.2392 0.405833 33 0.038987 0.3308 0.370871 34 0.017782 0.1509 0.440243 35 -0.020828 -0.1767 0.430107 36 0.035453 0.3008 0.382206 37 -0.109405 -0.9283 0.178168 38 -0.007909 -0.0671 0.473341 39 -0.035229 -0.2989 0.382927 40 0.036557 0.3102 0.378653 41 0.005905 0.0501 0.48009 42 0.052051 0.4417 0.330026 43 -0.043284 -0.3673 0.357246 44 0.004514 0.0383 0.484776 45 -0.067147 -0.5698 0.285307 46 -0.055495 -0.4709 0.31957 47 -0.057715 -0.4897 0.312908 48 0.017985 0.1526 0.439568

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/09/t13049518536tvtcu3knj3v5r8/19olu1304952025.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/09/t13049518536tvtcu3knj3v5r8/19olu1304952025.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/09/t13049518536tvtcu3knj3v5r8/2hzsk1304952025.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/09/t13049518536tvtcu3knj3v5r8/2hzsk1304952025.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/09/t13049518536tvtcu3knj3v5r8/3ipwq1304952025.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/09/t13049518536tvtcu3knj3v5r8/3ipwq1304952025.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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