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Opdracht 6 bis oefening 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: Tue, 08 Dec 2009 11:25:43 -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/08/t1260296803pzs7ssaiohg3w4y.htm/, Retrieved Tue, 08 Dec 2009 19:26:46 +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/08/t1260296803pzs7ssaiohg3w4y.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

100,09 100,09 100,06 100,11 100,08 100,08 100,08 100,08 99,94 99,79 99,98 99,98 99,98 99,98 99,93 99,93 99,93 99,93 99,93 99,93 99,76 99,48 99,55 99,56 99,57 99,56 99,65 99,5 99,5 99,49 99,49 99,46 99,52 99,49 99,55 99,57 99,57 99,57 99,57 99,57 99,57 99,57 99,57 99,53 100,38 100,32 100,46 100,47 100,47 100,47 100,51 100,5 100,51 100,51 100,51 100,51 101,65 102,13 102,2 102,13 102,13 102,12 102,13 102,05 102 102,01 102,01 102,02 102,78 103,39 103,41 103,5 103,5 103,49 103,38 103,24 103,25 103,25 103,25 103,25 103,83 104,33 104,36 104,48 104,5 104,48 104,35 104,48 104,48 104,47 104,47 104,86 105,22 105,96 106,03 106,03

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	0.962064	9.4263	0
2	0.919425	9.0085	0
3	0.875957	8.5826	0
4	0.841712	8.2471	0
5	0.811764	7.9536	0
6	0.787716	7.718	0
7	0.764274	7.4883	0
8	0.741386	7.2641	0
9	0.718138	7.0363	0
10	0.69576	6.817	0
11	0.670905	6.5735	0
12	0.6426	6.2962	0
13	0.604846	5.9263	0
14	0.563429	5.5205	0
15	0.521571	5.1103	1e-06
16	0.485603	4.7579	3e-06
17	0.456934	4.477	1e-05
18	0.429666	4.2098	2.9e-05
19	0.403146	3.95	7.5e-05
20	0.377182	3.6956	0.000182
21	0.350767	3.4368	0.000436
22	0.321511	3.1501	0.001088
23	0.289516	2.8367	0.002781
24	0.255664	2.505	0.006965
25	0.215999	2.1164	0.018451
26	0.172943	1.6945	0.046707
27	0.130186	1.2756	0.102596
28	0.093992	0.9209	0.179699
29	0.067458	0.661	0.255113
30	0.04194	0.4109	0.341021
31	0.017049	0.167	0.433843
32	-0.008027	-0.0786	0.468739
33	-0.033482	-0.3281	0.371791
34	-0.060092	-0.5888	0.278695
35	-0.087875	-0.861	0.195692
36	-0.11651	-1.1416	0.128238
37	-0.147484	-1.445	0.075851
38	-0.182578	-1.7889	0.038393
39	-0.216911	-2.1253	0.018065
40	-0.245537	-2.4058	0.009027
41	-0.259823	-2.5457	0.006248
42	-0.273945	-2.6841	0.004283
43	-0.287499	-2.8169	0.002943
44	-0.301722	-2.9563	0.001959
45	-0.312774	-3.0645	0.001415
46	-0.324397	-3.1784	0.000997
47	-0.335976	-3.2919	0.000697
48	-0.348047	-3.4102	0.000476

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.962064	9.4263	0
2	-0.082517	-0.8085	0.210402
3	-0.029648	-0.2905	0.386035
4	0.102773	1.007	0.158242
5	0.024709	0.2421	0.404609
6	0.054112	0.5302	0.298602
7	-0.001542	-0.0151	0.493988
8	0.001944	0.019	0.492421
9	-0.000363	-0.0036	0.498585
10	0.006625	0.0649	0.474188
11	-0.040264	-0.3945	0.347043
12	-0.05558	-0.5446	0.293656
13	-0.135361	-1.3263	0.093951
14	-0.064552	-0.6325	0.264289
15	-0.035629	-0.3491	0.363892
16	0.019861	0.1946	0.42306
17	0.043533	0.4265	0.335337
18	-0.035188	-0.3448	0.36551
19	-0.007501	-0.0735	0.470783
20	0.006361	0.0623	0.475216
21	-0.012407	-0.1216	0.451749
22	-0.045702	-0.4478	0.327657
23	-0.044016	-0.4313	0.333619
24	-0.032498	-0.3184	0.375433
25	-0.092285	-0.9042	0.184076
26	-0.072512	-0.7105	0.239569
27	-0.041386	-0.4055	0.343008
28	0.016366	0.1604	0.43647
29	0.056537	0.554	0.29045
30	-0.046696	-0.4575	0.324164
31	-0.01401	-0.1373	0.445551
32	0.004337	0.0425	0.483095
33	-0.008499	-0.0833	0.466904
34	-0.017659	-0.173	0.431499
35	-0.024811	-0.2431	0.404225
36	-0.022494	-0.2204	0.413014
37	-0.046205	-0.4527	0.325889
38	-0.08769	-0.8592	0.196189
39	-0.035235	-0.3452	0.365338
40	0.006829	0.0669	0.473397
41	0.10791	1.0573	0.146513
42	-0.062122	-0.6087	0.272091
43	-0.015458	-0.1515	0.439966
44	0.02323	0.2276	0.410217
45	0.051008	0.4998	0.309188
46	-0.005759	-0.0564	0.477558
47	-0.007201	-0.0706	0.471948
48	-0.000838	-0.0082	0.496734

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260296803pzs7ssaiohg3w4y/1eb7v1260296741.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260296803pzs7ssaiohg3w4y/1eb7v1260296741.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260296803pzs7ssaiohg3w4y/2sc0v1260296741.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260296803pzs7ssaiohg3w4y/2sc0v1260296741.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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