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Q2, groep 1

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Fri, 23 Nov 2007 03:25:42 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/23/t119581303693qhxocpz6a2rbt.htm/, Retrieved Fri, 23 Nov 2007 11:17:18 +0100
 
User-defined keywords:
Q2, groep 1
 
Dataseries X:
» Textbox « » Textfile « » CSV «
93,5 94,7 112,9 99,2 105,6 113 83,1 81,1 96,9 104,3 97,7 102,6 89,9 96 112,7 107,1 106,2 121 101,2 83,2 105,1 113,3 99,1 100,3 93,5 98,8 106,2 98,3 102,1 117,1 101,5 80,5 105,9 109,5 97,2 114,5 93,5 100,9 121,1 116,5 109,3 118,1 108,3 105,4 116,2 111,2 105,8 122,7 99,5 107,9 124,6 115 110,3 132,7 99,7 96,5 118,7 112,9 130,5 137,9 115 116,8 140,9 120,7 134,2 147,3 112,4 107,1 128,4 137,7 135 151 137,4 132,4 161,3 139,8 146 154,6 142,1 120,5
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
018.24620
10.4209053.47090.000453
20.292812.41460.009225
30.378723.1230.001315
40.361862.9840.001975
50.2987682.46370.008143
60.2127861.75470.04191
70.1702851.40420.082405
80.0480230.3960.34667
90.1107080.91290.182254
100.0863130.71180.239526
110.0592880.48890.313242
12-0.070835-0.58410.719465
130.0220210.18160.428223
140.1573331.29740.099438
150.0724390.59740.276129
160.009030.07450.470429
17-0.037195-0.30670.620001
180.0485340.40020.345125


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.4209053.47090.000453
10.1405481.1590.125257
20.2648692.18420.016201
30.15251.25750.106429
40.0741820.61170.271382
5-0.036881-0.30410.61902
6-0.04856-0.40040.654955
7-0.178738-1.47390.92744
80.0396910.32730.372224
9-0.011336-0.09350.537102
100.0551070.45440.325486
11-0.135281-1.11560.86573
120.0978020.80650.211384
130.1784441.47150.072886
140.0443540.36580.357841
15-0.052247-0.43080.666028
16-0.126881-1.04630.850434
17-0.004598-0.03790.515068
18-0.011037-0.0910.536127
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t119581303693qhxocpz6a2rbt/1am6f1195813540.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t119581303693qhxocpz6a2rbt/1am6f1195813540.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t119581303693qhxocpz6a2rbt/2dtdx1195813540.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/23/t119581303693qhxocpz6a2rbt/2dtdx1195813540.ps (open in new window)


 
Parameters:
par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
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 (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 





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Software written by Ed van Stee & Patrick Wessa


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