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Taak 10 deel 2 stap 2 ACF met d=1 en D=0

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 05 Dec 2008 06:24:16 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228483527shpz1wbvkd0bthi.htm/, Retrieved Fri, 05 Dec 2008 13:25:29 +0000

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228483527shpz1wbvkd0bthi.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

58.972 59.249 63.955 53.785 52.760 44.795 37.348 32.370 32.717 40.974 33.591 21.124 58.608 46.865 51.378 46.235 47.206 45.382 41.227 33.795 31.295 42.625 33.625 21.538 56.421 53.152 53.536 52.408 41.454 38.271 35.306 26.414 31.917 38.030 27.534 18.387 50.556 43.901 48.572 43.899 37.532 40.357 35.489 29.027 34.485 42.598 30.306 26.451 47.460 50.104 61.465 53.726 39.477 43.895 31.481 29.896 33.842 39.120 33.702 25.094

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.277261	-2.1297	0.01869
2	-0.143529	-1.1025	0.137367
3	0.134955	1.0366	0.152073
4	-0.089698	-0.689	0.246767
5	-0.036615	-0.2812	0.389753
6	-0.074884	-0.5752	0.283673
7	-0.116684	-0.8963	0.186876
8	0.052379	0.4023	0.344446
9	0.091238	0.7008	0.243088
10	-0.172544	-1.3253	0.095085
11	-0.209298	-1.6076	0.056626
12	0.684192	5.2554	1e-06
13	-0.1873	-1.4387	0.077762
14	-0.080116	-0.6154	0.270335
15	0.10278	0.7895	0.216499
16	-0.133505	-1.0255	0.154664
17	0.047517	0.365	0.358213
18	-0.09379	-0.7204	0.237057
19	-0.136577	-1.0491	0.149212
20	0.101473	0.7794	0.21942
21	0.031983	0.2457	0.403395
22	-0.141688	-1.0883	0.140438
23	-0.085184	-0.6543	0.257728
24	0.443271	3.4048	0.000598
25	-0.119444	-0.9175	0.181317
26	0.002842	0.0218	0.491328
27	0.009306	0.0715	0.47163
28	-0.086095	-0.6613	0.255494
29	0.080856	0.6211	0.268473
30	-0.11797	-0.9061	0.184273
31	-0.063657	-0.489	0.313341
32	0.091925	0.7061	0.241456
33	0.008339	0.0641	0.474572
34	-0.063588	-0.4884	0.313528
35	-0.064047	-0.492	0.312288
36	0.200794	1.5423	0.06417

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.277261	-2.1297	0.01869
2	-0.238757	-1.8339	0.035855
3	0.022356	0.1717	0.432123
4	-0.081643	-0.6271	0.266503
5	-0.065302	-0.5016	0.30891
6	-0.162573	-1.2487	0.108345
7	-0.236368	-1.8156	0.037259
8	-0.135242	-1.0388	0.151564
9	0.00618	0.0475	0.481149
10	-0.193628	-1.4873	0.071133
11	-0.485186	-3.7268	0.000218
12	0.483558	3.7143	0.000227
13	0.10444	0.8022	0.212823
14	0.05686	0.4368	0.331942
15	-0.071526	-0.5494	0.2924
16	-0.07717	-0.5928	0.277805
17	-0.003057	-0.0235	0.490672
18	-0.048462	-0.3722	0.355524
19	-0.008624	-0.0662	0.473703
20	-0.094421	-0.7253	0.235579
21	-0.13857	-1.0644	0.145747
22	-0.090022	-0.6915	0.24599
23	0.081845	0.6287	0.265997
24	0.03067	0.2356	0.407287
25	-0.038835	-0.2983	0.383261
26	0.018488	0.142	0.443778
27	-0.121991	-0.937	0.176281
28	0.037883	0.291	0.386042
29	0.00961	0.0738	0.470704
30	-0.005472	-0.042	0.483308
31	0.053826	0.4134	0.340391
32	-0.034101	-0.2619	0.397143
33	0.060966	0.4683	0.320653
34	0.115739	0.889	0.188804
35	0.048443	0.3721	0.355576
36	-0.190394	-1.4624	0.074463

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228483527shpz1wbvkd0bthi/15ght1228483455.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228483527shpz1wbvkd0bthi/15ght1228483455.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228483527shpz1wbvkd0bthi/2whpq1228483455.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228483527shpz1wbvkd0bthi/2whpq1228483455.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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 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')

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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