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oefening 6 bis 2

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 07 Dec 2009 14:05:56 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/07/t1260220010b7sxn4rdmfjyj8f.htm/, Retrieved Mon, 07 Dec 2009 22:06:52 +0100

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/2009/Dec/07/t1260220010b7sxn4rdmfjyj8f.htm/},
    year = {2009},
}
@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 = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

104.65 109.2 103.93 101.93 101.58 102.63 106.83 105.57 105 104.16 106.93 106.5 106.47 112.33 106.81 103.49 104.13 103.2 105.55 102.8 106.68 105.43 109.01 112.24 112.87 110.98 112.85 112.08 110.72 109.69 112.53 112.99 111.74 111.15 114.82 117.38 117.81 122.85 116.96 119.16 117.74 118.84 123.81 120.33 119.2 117.32 128.58 129.2 126.19 132.1 128.12 122.28 122.36 123.13 125.97 126.14 122.7 122.67 129.19 133.01 123.96 128.96 127.32 131.38 125.25 127.91 130.42 128.44 125.86 125.71 130.63 131.78 125.61 131.84 122.14 127.13 124.49 125.48 129.86 126.32 125.56 125.64 128.26 125.47 134.4 134.5 131.22 121.62 124.16 127.5 132.86 127.87 124.07 124.25 131.16 129.24 129.24 135.51 128.97 126.89 127.52 130.31 132.39 132.69 128.73 129.66 127.72 132.63 129.74 138.46 134.31 128.8 129.95 134.15 136.01 135.1 132.27 132.49 130.06 136.11 131.47 140.61 141.65 126.75 133.9 138.75 141.86 141.13 138.76 138.65 1 etc...

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	-0.335572	-3.9563	6e-05
2	-0.104949	-1.2373	0.109026
3	-0.137662	-1.623	0.053427
4	0.018574	0.219	0.413493
5	0.099425	1.1722	0.121561
6	-0.030343	-0.3577	0.36054
7	0.121602	1.4337	0.076956
8	-0.086252	-1.0169	0.155485
9	-0.028904	-0.3408	0.366896
10	-0.155012	-1.8276	0.03488
11	-0.085412	-1.007	0.157845
12	0.470289	5.5446	0
13	-0.037905	-0.4469	0.327825
14	-0.176428	-2.0801	0.019678
15	-0.042369	-0.4995	0.309101
16	-0.022861	-0.2695	0.39396
17	0.096698	1.1401	0.128112
18	-0.103707	-1.2227	0.111758
19	0.209576	2.4709	0.007344
20	-0.103962	-1.2257	0.111194
21	-0.062559	-0.7376	0.231012
22	-0.115612	-1.363	0.087536
23	-0.005192	-0.0612	0.475641
24	0.312516	3.6845	0.000164
25	-0.045429	-0.5356	0.296547
26	-0.098161	-1.1573	0.124567
27	-0.021924	-0.2585	0.39821
28	-0.047405	-0.5589	0.288564
29	0.044492	0.5245	0.300366
30	-0.079398	-0.9361	0.175425
31	0.174117	2.0528	0.020983
32	0.003557	0.0419	0.483303
33	-0.172164	-2.0298	0.022143
34	-0.062026	-0.7313	0.232921
35	-0.057613	-0.6792	0.249056
36	0.356002	4.1972	2.4e-05
37	-0.052703	-0.6214	0.267692
38	-0.105741	-1.2467	0.107307
39	-0.02636	-0.3108	0.378216
40	-0.027961	-0.3297	0.371077
41	0.007878	0.0929	0.463066
42	-0.012382	-0.146	0.442074
43	0.109176	1.2872	0.100087
44	0.010699	0.1261	0.4499
45	-0.141119	-1.6638	0.049206
46	-0.062378	-0.7354	0.231661
47	0.0159	0.1875	0.425789
48	0.169061	1.9932	0.024099

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.335572	-3.9563	6e-05
2	-0.245165	-2.8905	0.002233
3	-0.316268	-3.7287	0.00014
4	-0.26025	-3.0683	0.001294
5	-0.127696	-1.5055	0.067231
6	-0.155823	-1.8371	0.034163
7	0.057088	0.6731	0.251015
8	0.023029	0.2715	0.393203
9	0.016016	0.1888	0.425252
10	-0.190324	-2.2439	0.01321
11	-0.420223	-4.9544	1e-06
12	0.151055	1.7809	0.038555
13	0.235781	2.7798	0.003096
14	0.050985	0.6011	0.274376
15	0.175039	2.0637	0.020454
16	0.097174	1.1457	0.126952
17	0.085994	1.0139	0.156207
18	-0.125893	-1.4843	0.070003
19	0.047079	0.5551	0.289875
20	0.029397	0.3466	0.364713
21	-0.054907	-0.6473	0.259238
22	-0.057493	-0.6778	0.249502
23	-0.009332	-0.11	0.456273
24	0.070778	0.8345	0.202728
25	0.000288	0.0034	0.498647
26	0.000355	0.0042	0.498333
27	0.125587	1.4807	0.070481
28	-0.02409	-0.284	0.388412
29	-0.059259	-0.6987	0.242967
30	-0.099002	-1.1672	0.122561
31	-0.088739	-1.0462	0.148639
32	0.016473	0.1942	0.423144
33	-0.092882	-1.0951	0.137692
34	-0.069279	-0.8168	0.207723
35	-0.2008	-2.3674	0.009646
36	-0.030529	-0.3599	0.35972
37	0.076046	0.8966	0.18575
38	-0.04048	-0.4773	0.316966
39	-0.015333	-0.1808	0.428403
40	0.008598	0.1014	0.4597
41	-0.059654	-0.7033	0.24152
42	0.00675	0.0796	0.46834
43	-0.065147	-0.7681	0.221873
44	-0.02731	-0.322	0.373975
45	-0.026109	-0.3078	0.379341
46	-0.0213	-0.2511	0.401045
47	0.118132	1.3928	0.082959
48	-0.067426	-0.7949	0.214002

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260220010b7sxn4rdmfjyj8f/1e9y61260219954.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260220010b7sxn4rdmfjyj8f/1e9y61260219954.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260220010b7sxn4rdmfjyj8f/2oqz81260219954.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260220010b7sxn4rdmfjyj8f/2oqz81260219954.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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 (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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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