iko Guy Hendrickx opgave 6 BIS oef 2 stap 1

*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 14:28:14 +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/t1305815122o0qr594eu6ivera.htm/, Retrieved Thu, 19 May 2011 16:25:25 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

12.94 12.79 12.82 12.85 12.85 12.72 12.62 12.67 12.6 12.54 12.64 12.67 12.51 12.59 12.52 12.5 12.58 12.51 12.47 12.44 12.51 12.27 12.51 12.41 12.35 12.39 12.31 12.31 12.21 12.1 12.01 11.85 12.12 11.96 11.99 11.93 11.91 11.83 11.92 11.86 11.94 11.87 11.86 11.92 11.82 11.85 11.77 11.82 11.61 11.56 11.45 11.4 11.38 11.33 11.19 11.15 10.98 10.92 10.99 11 10.9 10.99 11.04 11.03 10.99 11 10.87 10.88 10.91 10.92 10.83 10.9 10.82 10.79 10.77 10.72 10.71 10.63 10.61 10.57 10.65 10.57 10.57 10.57 10.52 10.43 10.35 10.2 10.2 10.17 10.14 10.05 10.12 10.12

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 0.964418 9.3504 0 2 0.934648 9.0617 0 3 0.900158 8.7274 0 4 0.865598 8.3923 0 5 0.830237 8.0494 0 6 0.79816 7.7384 0 7 0.766014 7.4268 0 8 0.734796 7.1241 0 9 0.706911 6.8538 0 10 0.680811 6.6007 0 11 0.652503 6.3262 0 12 0.624061 6.0505 0 13 0.596894 5.7871 0 14 0.569055 5.5172 0 15 0.541426 5.2493 0 16 0.513761 4.9811 1e-06 17 0.48373 4.6899 5e-06 18 0.457066 4.4314 1.3e-05 19 0.429558 4.1647 3.5e-05 20 0.402843 3.9057 8.8e-05 21 0.374023 3.6263 0.000233 22 0.34921 3.3857 0.000519 23 0.320073 3.1032 0.001264 24 0.290032 2.812 0.002997 25 0.26318 2.5516 0.006168 26 0.232395 2.2532 0.013287 27 0.203594 1.9739 0.025664 28 0.17216 1.6692 0.049207 29 0.145834 1.4139 0.080346 30 0.119709 1.1606 0.124366 31 0.094898 0.9201 0.179945 32 0.07254 0.7033 0.241803 33 0.043801 0.4247 0.336024 34 0.014427 0.1399 0.444529 35 -0.012863 -0.1247 0.450509 36 -0.040158 -0.3893 0.34895 37 -0.070587 -0.6844 0.247715 38 -0.099105 -0.9609 0.169543 39 -0.12541 -1.2159 0.113535 40 -0.151391 -1.4678 0.07275 41 -0.17637 -1.71 0.045286 42 -0.198998 -1.9294 0.028351 43 -0.222248 -2.1548 0.016867 44 -0.246726 -2.3921 0.009371 45 -0.266472 -2.5835 0.00566 46 -0.286896 -2.7816 0.003269 47 -0.301412 -2.9223 0.002176 48 -0.318261 -3.0857 0.001334 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.964418 9.3504 0 2 0.065033 0.6305 0.264943 3 -0.076607 -0.7427 0.229747 4 -0.029219 -0.2833 0.388791 5 -0.027113 -0.2629 0.396613 6 0.027439 0.266 0.395399 7 -0.010379 -0.1006 0.460031 8 -0.009935 -0.0963 0.461734 9 0.030755 0.2982 0.383111 10 0.014629 0.1418 0.443756 11 -0.047738 -0.4628 0.322275 12 -0.028539 -0.2767 0.39131 13 0.003565 0.0346 0.486249 14 -0.018605 -0.1804 0.428621 15 -0.014915 -0.1446 0.442667 16 -0.019256 -0.1867 0.426151 17 -0.05107 -0.4951 0.310826 18 0.027686 0.2684 0.39448 19 -0.022171 -0.215 0.415134 20 -0.016216 -0.1572 0.437703 21 -0.04581 -0.4441 0.32898 22 0.030165 0.2925 0.385289 23 -0.067647 -0.6559 0.256757 24 -0.051311 -0.4975 0.310006 25 0.02568 0.249 0.401959 26 -0.06901 -0.6691 0.252543 27 0.000762 0.0074 0.497059 28 -0.060596 -0.5875 0.279138 29 0.036642 0.3553 0.361595 30 0.002661 0.0258 0.489736 31 -0.017164 -0.1664 0.434095 32 0.008371 0.0812 0.467743 33 -0.114458 -1.1097 0.134976 34 -0.047714 -0.4626 0.322358 35 0.006778 0.0657 0.47387 36 -0.017495 -0.1696 0.432836 37 -0.06728 -0.6523 0.257898 38 -0.018593 -0.1803 0.428667 39 0.019537 0.1894 0.425085 40 -0.027961 -0.2711 0.393458 41 -0.02616 -0.2536 0.400168 42 -0.004036 -0.0391 0.484434 43 -0.027697 -0.2685 0.39444 44 -0.04705 -0.4562 0.324662 45 0.017391 0.1686 0.43323 46 -0.013605 -0.1319 0.44767 47 0.049911 0.4839 0.314789 48 -0.040124 -0.389 0.349073

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/19/t1305815122o0qr594eu6ivera/1kwks1305815291.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305815122o0qr594eu6ivera/1kwks1305815291.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305815122o0qr594eu6ivera/2jzab1305815291.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305815122o0qr594eu6ivera/2jzab1305815291.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305815122o0qr594eu6ivera/3xkc51305815291.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305815122o0qr594eu6ivera/3xkc51305815291.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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