opgave 6 bis 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: Thu, 19 May 2011 11:03:57 +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/t13058028751qgxwux5qaop2w4.htm/, Retrieved Thu, 19 May 2011 13:01:17 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696 17745 19394 20148 20108 18584 18441 18391 19178 18079 18483 19644 19195 19650 20830 23595 22937 21814 21928 21777 21383 21467 22052 22680 24320 24977 25204 25739 26434 27525 30695 32436 30160 30236 31293 31077 32226 33865 32810

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 0.060654 0.5147 0.304181 2 -0.232376 -1.9718 0.026239 3 0.075113 0.6374 0.262958 4 0.010414 0.0884 0.464916 5 -0.1596 -1.3542 0.089946 6 0.078719 0.668 0.25315 7 0.055478 0.4707 0.319624 8 -0.150154 -1.2741 0.103363 9 0.003269 0.0277 0.488975 10 -0.096901 -0.8222 0.206829 11 0.029159 0.2474 0.402641 12 0.107062 0.9084 0.183336 13 0.073131 0.6205 0.268431 14 -0.083819 -0.7112 0.239619 15 0.135382 1.1488 0.12723 16 0.144074 1.2225 0.112752 17 -0.153954 -1.3063 0.097797 18 -0.118267 -1.0035 0.159484 19 -0.078436 -0.6656 0.253912 20 0.014048 0.1192 0.452722 21 -0.047931 -0.4067 0.342714 22 0.15993 1.357 0.089503 23 0.045068 0.3824 0.351641 24 -0.053012 -0.4498 0.327094 25 -0.111169 -0.9433 0.17434 26 0.086086 0.7305 0.233738 27 0.086371 0.7329 0.233005 28 -0.040758 -0.3458 0.365236 29 -0.001196 -0.0101 0.495967 30 -0.092268 -0.7829 0.218121 31 0.011836 0.1004 0.460141 32 -0.108607 -0.9216 0.179917 33 0.091157 0.7735 0.220883 34 0.061116 0.5186 0.30282 35 -0.081179 -0.6888 0.246572 36 -0.038435 -0.3261 0.372635 37 0.068439 0.5807 0.281619 38 -0.031529 -0.2675 0.394914 39 -0.032526 -0.276 0.391671 40 0.027976 0.2374 0.406518 41 -0.115832 -0.9829 0.164481 42 -0.054063 -0.4587 0.323903 43 0.01535 0.1303 0.448365 44 -0.083303 -0.7069 0.24097 45 -0.063591 -0.5396 0.295574 46 0.076204 0.6466 0.25997 47 -0.070405 -0.5974 0.276054 48 -0.040872 -0.3468 0.364873 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.060654 0.5147 0.304181 2 -0.236926 -2.0104 0.024068 3 0.113694 0.9647 0.168955 4 -0.065909 -0.5593 0.288862 5 -0.118056 -1.0017 0.159912 6 0.093979 0.7974 0.213909 7 -0.028848 -0.2448 0.403659 8 -0.099318 -0.8427 0.201081 9 0.023569 0.2 0.421025 10 -0.200732 -1.7033 0.046415 11 0.126416 1.0727 0.143499 12 0.018596 0.1578 0.437531 13 0.073231 0.6214 0.268153 14 -0.052423 -0.4448 0.328892 15 0.156575 1.3286 0.09409 16 0.105704 0.8969 0.186374 17 -0.099418 -0.8436 0.200847 18 -0.101546 -0.8616 0.195871 19 -0.159736 -1.3554 0.089762 20 0.057074 0.4843 0.314825 21 -0.048129 -0.4084 0.342101 22 0.168559 1.4303 0.078483 23 0.02333 0.198 0.421815 24 0.008455 0.0717 0.471503 25 -0.101484 -0.8611 0.196014 26 0.095115 0.8071 0.211139 27 -0.04311 -0.3658 0.357793 28 -0.045919 -0.3896 0.348977 29 -0.04104 -0.3482 0.364339 30 -0.054717 -0.4643 0.32192 31 0.068725 0.5831 0.280807 32 -0.111714 -0.9479 0.173168 33 0.179603 1.524 0.065947 34 0.014689 0.1246 0.450576 35 -0.116115 -0.9853 0.163895 36 0.006943 0.0589 0.476591 37 -0.052182 -0.4428 0.329626 38 -0.114498 -0.9715 0.167265 39 0.040717 0.3455 0.365363 40 -0.050388 -0.4276 0.335125 41 0.030886 0.2621 0.397004 42 -0.143598 -1.2185 0.113511 43 0.051559 0.4375 0.331532 44 -0.174423 -1.48 0.071614 45 0.014183 0.1203 0.452273 46 -0.060638 -0.5145 0.30423 47 -0.058837 -0.4992 0.309564 48 -0.005075 -0.0431 0.482884

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/19/t13058028751qgxwux5qaop2w4/1xw6w1305803035.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13058028751qgxwux5qaop2w4/1xw6w1305803035.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13058028751qgxwux5qaop2w4/29g291305803035.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13058028751qgxwux5qaop2w4/29g291305803035.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13058028751qgxwux5qaop2w4/3hy7p1305803035.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t13058028751qgxwux5qaop2w4/3hy7p1305803035.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')

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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