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WS 4 - Q2 - methode 2 - reeks 3 (2)

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Nov 2007 03:39:40 -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/29/t1196332187gskgf8vngdfp7qn.htm/, Retrieved Thu, 29 Nov 2007 11:29:47 +0100

User-defined keywords:

Christel Stuer, Steven Coomans

Dataseries X:

» Textbox « » Textfile « » CSV «

118,4 108,1 105,4 114,6 106,9 115,9 109,8 101,8 114,2 110,8 108,4 127,5 128,6 116,6 127,4 105 108,3 125 111,6 106,5 130,3 115 116,1 134 126,5 125,8 136,4 114,9 110,9 125,5 116,8 116,8 125,5 104,2 115,1 132,8 123,3 124,8 122 117,4 117,9 137,4 114,6 124,7 129,6 109,4 120,9 134,9 136,3 133,2 127,2 122,7 120,5 137,8 119,1 124,3 134,4 121,7 121 128,6

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 7 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 6.9282 0 1 0.117039 0.8109 0.210722 2 -0.011168 -0.0774 0.530675 3 0.111254 0.7708 0.222305 4 0.090801 0.6291 0.266138 5 0.090713 0.6285 0.266334 6 0.135861 0.9413 0.175639 7 -0.149524 -1.0359 0.847288 8 -0.008067 -0.0559 0.522169 9 0.107888 0.7475 0.229213 10 -0.202294 -1.4015 0.916256 11 -0.180458 -1.2503 0.891366 12 -0.193304 -1.3392 0.906601 13 -0.100722 -0.6978 0.755673 14 0.0557 0.3859 0.350638 15 -0.155607 -1.0781 0.856806 16 -0.174858 -1.2114 0.884173 17 0.117838 0.8164 0.209151 18 -0.054844 -0.38 0.647179 19 -0.176492 -1.2228 0.886307 20 0.00819 0.0567 0.477494 21 0.061726 0.4277 0.335409 22 -0.017823 -0.1235 0.548879 23 0.145088 1.0052 0.15992 24 -0.189986 -1.3163 0.902831 25 -0.088932 -0.6161 0.729643 26 0.07191 0.4982 0.310308 27 0.125965 0.8727 0.193584 28 -0.053612 -0.3714 0.644026 29 0.076111 0.5273 0.300204 30 0.004103 0.0284 0.488721 31 0.063666 0.4411 0.330563 32 3.1e-05 2e-04 0.499916 33 -0.148685 -1.0301 0.845942 34 0.052056 0.3607 0.35997 35 0.057136 0.3958 0.346986 36 0.017145 0.1188 0.45297 37 0.074666 0.5173 0.303661 38 -0.013407 -0.0929 0.53681 39 -0.090637 -0.6279 0.733493 40 0.039495 0.2736 0.392771 41 -0.05893 -0.4083 0.657558 42 -0.071682 -0.4966 0.689141 43 0.094582 0.6553 0.257708 44 0.052198 0.3616 0.359606 45 -0.067971 -0.4709 0.680083 46 -0.032584 -0.2258 0.588823 47 -0.029573 -0.2049 0.580737 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.117039 0.8109 0.210722 1 -0.025211 -0.1747 0.568962 2 0.117223 0.8121 0.210358 3 0.06477 0.4487 0.327821 4 0.080539 0.558 0.289723 5 0.113034 0.7831 0.218701 6 -0.196741 -1.3631 0.910389 7 0.017813 0.1234 0.451149 8 0.061832 0.4284 0.335144 9 -0.233733 -1.6194 0.944038 10 -0.12932 -0.896 0.812627 11 -0.205843 -1.4261 0.919847 12 -0.007864 -0.0545 0.521612 13 0.093313 0.6465 0.260519 14 -0.138277 -0.958 0.828571 15 0.016947 0.1174 0.453512 16 0.167373 1.1596 0.125975 17 -0.084217 -0.5835 0.718846 18 -0.152656 -1.0576 0.852241 19 -0.003385 -0.0234 0.509306 20 0.125144 0.867 0.195121 21 -0.151782 -1.0516 0.850871 22 0.021537 0.1492 0.441006 23 -0.174713 -1.2104 0.883982 24 -0.060118 -0.4165 0.660554 25 -0.061304 -0.4247 0.663533 26 0.132718 0.9195 0.181217 27 -0.011338 -0.0785 0.531141 28 0.10515 0.7285 0.234923 29 -0.021828 -0.1512 0.559786 30 -0.027756 -0.1923 0.575841 31 -0.058309 -0.404 0.655988 32 -0.108406 -0.7511 0.771858 33 -0.016473 -0.1141 0.545195 34 -0.067801 -0.4697 0.679666 35 0.010433 0.0723 0.471339 36 0.075101 0.5203 0.302617 37 -0.019732 -0.1367 0.554082 38 0.017146 0.1188 0.452968 39 -0.044253 -0.3066 0.619761 40 -0.027222 -0.1886 0.5744 41 0.010622 0.0736 0.470822 42 -0.018652 -0.1292 0.55114 43 -0.022666 -0.157 0.562062 44 -0.029456 -0.2041 0.580421 45 -0.074449 -0.5158 0.695819 46 0.050933 0.3529 0.362864 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196332187gskgf8vngdfp7qn/135np1196332766.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196332187gskgf8vngdfp7qn/135np1196332766.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196332187gskgf8vngdfp7qn/2udpa1196332766.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196332187gskgf8vngdfp7qn/2udpa1196332766.ps (open in new window)

Parameters:

par1 = 60 ; 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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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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