IKO opdracht 6BIS werknemers x1000 Marin Peeters MAR 201B

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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: Thu, 19 May 2011 09:43:36 +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/May/19/t13057980564hdi3wb9r3ijx5g.htm/, Retrieved Thu, 19 May 2011 11:40:58 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

3893.9 3799.2 3769.6 3768.6 3854.9 3778.5 3779.7 3803.2 3900.3 3792.6 3767.4 3752.6 3829.6 3722.6 3692.9 3681 3762.9 3661.7 3633.1 3621.5 3710 3619.4 3595.2 3573.2 3650.1 3554.2 3537 3528.6 3597.1 3521.9 3516.5 3515.7 3600.2 3517.1 3513.7 3528.2 3608.3 3502.5 3502.5 3495.3 3543.8 3425.3 3418.4 3406.4 3446.1 3341.1 3347 3354.9 3399 3288.9 3279 3275.2 3314 3227.1 3225.3 3228.6 3287.1 3210.1 3213.1 3228 3287 3211 3199.8 3166.3 3164 3156.7 3156 3165.5 3179.2 3182.5 3179.5 3193.5 3219.6 3221.9 3210.1

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 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.937754 8.1212 0 2 0.906909 7.8541 0 3 0.883323 7.6498 0 4 0.880169 7.6225 0 5 0.812035 7.0324 0 6 0.774188 6.7047 0 7 0.740989 6.4171 0 8 0.725727 6.285 0 9 0.648297 5.6144 0 10 0.602513 5.2179 1e-06 11 0.563695 4.8817 3e-06 12 0.545556 4.7247 5e-06 13 0.473605 4.1015 5.2e-05 14 0.432532 3.7458 0.000175 15 0.403031 3.4904 0.000406 16 0.387841 3.3588 0.000616 17 0.319905 2.7705 0.003527 18 0.281368 2.4367 0.008597 19 0.254142 2.2009 0.015409 20 0.238922 2.0691 0.02099 21 0.175135 1.5167 0.066771 22 0.138977 1.2036 0.116269 23 0.113457 0.9826 0.16449 24 0.099244 0.8595 0.196407 25 0.041663 0.3608 0.359626 26 0.011722 0.1015 0.459706 27 -0.006836 -0.0592 0.476473 28 -0.018196 -0.1576 0.437604 29 -0.06857 -0.5938 0.277204 30 -0.095278 -0.8251 0.205957 31 -0.112044 -0.9703 0.167502 32 -0.123546 -1.0699 0.144038 33 -0.170851 -1.4796 0.071583 34 -0.194065 -1.6807 0.048496 35 -0.206343 -1.787 0.03899 36 -0.217112 -1.8802 0.031979 37 -0.260384 -2.255 0.013526 38 -0.279845 -2.4235 0.008891 39 -0.290369 -2.5147 0.007028 40 -0.301198 -2.6085 0.005486 41 -0.339388 -2.9392 0.002186 42 -0.354816 -3.0728 0.001478 43 -0.361703 -3.1324 0.001236 44 -0.368893 -3.1947 0.001024 45 -0.396927 -3.4375 0.000481 46 -0.405455 -3.5113 0.000379 47 -0.406976 -3.5245 0.000363 48 -0.41015 -3.552 0.000332 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.937754 8.1212 0 2 0.228211 1.9764 0.025896 3 0.113203 0.9804 0.165029 4 0.220301 1.9079 0.030119 5 -0.473583 -4.1013 5.2e-05 6 0.034544 0.2992 0.382822 7 0.017117 0.1482 0.441277 8 0.073399 0.6357 0.263467 9 -0.304222 -2.6346 0.005114 10 -0.008177 -0.0708 0.471868 11 0.032654 0.2828 0.389056 12 0.106313 0.9207 0.18008 13 -0.117108 -1.0142 0.156877 14 -0.009971 -0.0864 0.465708 15 0.089069 0.7714 0.221459 16 0.023475 0.2033 0.419725 17 -0.124813 -1.0809 0.1416 18 -0.051218 -0.4436 0.329318 19 0.026579 0.2302 0.409287 20 0.008901 0.0771 0.469382 21 -0.086712 -0.751 0.227516 22 -0.059196 -0.5127 0.304851 23 -0.002708 -0.0235 0.490675 24 0.036262 0.314 0.377182 25 -0.022522 -0.195 0.422943 26 -0.015175 -0.1314 0.447897 27 0.011955 0.1035 0.458909 28 -0.007577 -0.0656 0.473928 29 -0.011332 -0.0981 0.461041 30 -0.061611 -0.5336 0.29761 31 -0.038571 -0.334 0.369642 32 -0.026412 -0.2287 0.40985 33 -0.025152 -0.2178 0.414079 34 -0.025452 -0.2204 0.413071 35 -0.011746 -0.1017 0.459625 36 -0.036601 -0.317 0.376071 37 -0.0187 -0.1619 0.435891 38 0.002894 0.0251 0.490034 39 -0.03282 -0.2842 0.38851 40 -0.040312 -0.3491 0.363992 41 -0.006067 -0.0525 0.479119 42 -0.010603 -0.0918 0.463542 43 -0.028347 -0.2455 0.403374 44 -0.021664 -0.1876 0.425841 45 0.038727 0.3354 0.369135 46 -0.017466 -0.1513 0.440087 47 -0.035203 -0.3049 0.380657 48 -0.028886 -0.2502 0.401575

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/19/t13057980564hdi3wb9r3ijx5g/1lzw21305798213.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13057980564hdi3wb9r3ijx5g/1lzw21305798213.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13057980564hdi3wb9r3ijx5g/23k4h1305798213.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13057980564hdi3wb9r3ijx5g/23k4h1305798213.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13057980564hdi3wb9r3ijx5g/3awqz1305798213.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13057980564hdi3wb9r3ijx5g/3awqz1305798213.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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