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Autocorrelation function - Opdracht 3 (d=0 ;D=0)

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 09:18:57 -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/t1196352569dd6hql6cqfpwpuc.htm/, Retrieved Thu, 29 Nov 2007 17:09:29 +0100

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

138,1 138,6 160,8 151,5 142,7 157,4 138,9 141,0 150,9 149,9 153,0 144,3 128,1 123,3 155,9 144,1 134,1 153,1 131,0 129,8 139,9 135,6 126,8 134,4 113,5 107,5 133,8 119,0 125,9 130,1 114,2 111,6 131,2 124,1 127,1 123,4 100,7 100,3 121,6 110,5 110,3 122,7 102,6 101,8 113,6 107,2 116,8 112,5 89,0 95,2 110,6 102,6 106,4 112,7 103,2 104,2 111,3 115,7 111,6 112,2 92,2 97,1 108,1 107,2 107,2 110,3 97,6 100,6 102,8 105,3 109,5 105,7 93,7 91,7 111,6 109,2 101,2 114,3 100,9 106,0 109,0 110,4 110,7 105,7 89,6 83,1 103,5 104,8 93,5 106,7 93,7 84,7 99,2 91,9 94,9 94,1 80,8 72,6 94,0 80,0 85,4 91,5 76,1 76,1 89,5 85,3 91,0 93,0 73,4 76,6 95,0 84,5 88,7 93,1 83,4 82,2 95,6 83,7 94,3 93,0 71,8 75,3 91,8 80,7 84,8 83,1 78,4 78,7 84,7 80,5 91,8 83,5 66,6 68,6 83,6 79,7 79,9 81,2 74,3 73,0 78,8 81,6 85,0 91,1 68,2 59,8 83,1 76,7 73,2 83,9 73,0 70,9

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 5 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 12.3288 0 1 0.863694 10.6483 0 2 0.80262 9.8954 0 3 0.829092 10.2217 0 4 0.75648 9.3265 0 5 0.771524 9.512 0 6 0.822396 10.1392 0 7 0.721356 8.8935 0 8 0.671281 8.2761 0 9 0.687511 8.4762 0 10 0.6095 7.5144 0 11 0.634119 7.8179 0 12 0.706662 8.7123 0 13 0.597987 7.3725 0 14 0.545848 6.7297 0 15 0.555101 6.8437 0 16 0.487476 6.01 0 17 0.502194 6.1915 0 18 0.541462 6.6756 0 19 0.449218 5.5383 0 20 0.408591 5.0374 1e-06 21 0.413876 5.1026 0 22 0.35079 4.3248 1.4e-05 23 0.3862 4.7614 2e-06 24 0.444727 5.483 0 25 0.357799 4.4112 1e-05 26 0.317848 3.9187 6.7e-05 27 0.325796 4.0167 4.6e-05 28 0.276998 3.4151 0.000409 29 0.294193 3.6271 0.000195 30 0.331961 4.0927 3.4e-05 31 0.262079 3.2311 0.000756 32 0.230662 2.8438 0.002536 33 0.23489 2.8959 0.002169 34 0.181232 2.2344 0.013458 35 0.208102 2.5657 0.005633 36 0.264027 3.2551 0.000699 37 0.197183 2.431 0.00811 38 0.158298 1.9516 0.02641 39 0.171275 2.1116 0.018177 40 0.136273 1.6801 0.047498 41 0.153137 1.888 0.030466 42 0.186441 2.2986 0.011445 43 0.132216 1.6301 0.052579 44 0.102172 1.2597 0.104861 45 0.112505 1.3871 0.083728 46 0.074531 0.9189 0.179808 47 0.097283 1.1994 0.116121 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.863694 10.6483 0 1 0.223015 2.7495 0.003346 2 0.405367 4.9977 1e-06 3 -0.177084 -2.1832 0.984724 4 0.362569 4.47 8e-06 5 0.19251 2.3734 0.009437 6 -0.31088 -3.8328 0.999907 7 -0.126185 -1.5557 0.939071 8 0.047575 0.5865 0.279189 9 -0.129506 -1.5967 0.943791 10 0.238431 2.9396 0.0019 11 0.252526 3.1133 0.001105 12 -0.308861 -3.8079 0.999899 13 -0.139511 -1.72 0.956267 14 -0.026479 -0.3265 0.627735 15 0.075636 0.9325 0.176278 16 -0.023833 -0.2938 0.615358 17 -0.034572 -0.4262 0.664731 18 -0.038044 -0.469 0.680143 19 -0.01362 -0.1679 0.566564 20 0.003344 0.0412 0.483587 21 0.096291 1.1872 0.11851 22 0.126676 1.5618 0.060211 23 0.03188 0.393 0.34742 24 -0.120387 -1.4842 0.930091 25 -0.081533 -1.0052 0.841801 26 0.028559 0.3521 0.362627 27 0.049759 0.6135 0.270241 28 -0.109041 -1.3443 0.909581 29 -0.000662 -0.0082 0.503248 30 0.038581 0.4757 0.317498 31 0.00449 0.0554 0.477965 32 0.024048 0.2965 0.383635 33 -0.008364 -0.1031 0.540995 34 -0.027518 -0.3393 0.632559 35 0.055808 0.688 0.246237 36 -0.041449 -0.511 0.694961 37 -0.05993 -0.7389 0.769437 38 0.045421 0.56 0.288158 39 0.031534 0.3888 0.348991 40 -0.028358 -0.3496 0.636447 41 -0.072151 -0.8895 0.812439 42 0.055593 0.6854 0.247071 43 -0.00523 -0.0645 0.525662 44 0.03788 0.467 0.320578 45 0.008094 0.0998 0.460324 46 0.017975 0.2216 0.412459 47 -0.025838 -0.3185 0.624747

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196352569dd6hql6cqfpwpuc/1ig071196353130.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196352569dd6hql6cqfpwpuc/1ig071196353130.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196352569dd6hql6cqfpwpuc/2jnhb1196353130.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196352569dd6hql6cqfpwpuc/2jnhb1196353130.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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