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Opgave 6bis 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: Sat, 12 Dec 2009 04:01:12 -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/12/t1260615716tf8ufigos02smv7.htm/, Retrieved Sat, 12 Dec 2009 12:01:58 +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/12/t1260615716tf8ufigos02smv7.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 «

102,5 77,7 82,8 77,3 103,1 99,7 99,5 107,2 96,7 97,1 105,2 151,2 102,7 75,4 87,2 83,7 105,8 111,5 99,7 111,2 101,5 110,9 116,3 164,9 118,1 83,7 84 107,2 113,7 120,7 111,2 112,4 112,5 130,4 130,7 174,3 132,2 91,8 104,2 104,8 131,4 141,2 132,7 135,7 136,9 151,2 144 201,5 149,6 108,7 122,8 126,7 139,9 162,5 142,7 151,6 148,1 159 157,8 226,7 153,7 122,3 117,6 166 154,5 183,9 164,4 173,3 160,2 166,4 170,3 238,4 166,8 122,5 141,8 140,5 173,8 188,8 168 187,4 177,7 183,8 196,1 264,6 193,7 141,3 170,1 163,7 190,1 230,7 195,9 210,3 204,7 210,3 221,2 288,2 203,2 162,4 149,2 195,3 213,7 227,9 212,1 226,8 212,6 220,9 228,1 311,6

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.742286	7.7141	0
2	0.595668	6.1904	0
3	0.530686	5.515	0
4	0.549135	5.7068	0
5	0.570394	5.9277	0
6	0.621775	6.4617	0
7	0.532633	5.5353	0
8	0.467537	4.8588	2e-06
9	0.411468	4.2761	2.1e-05
10	0.452092	4.6983	4e-06
11	0.57754	6.002	0
12	0.740936	7.7	0
13	0.529335	5.501	0
14	0.385523	4.0065	5.7e-05
15	0.328089	3.4096	0.000458
16	0.336623	3.4983	0.000341
17	0.356598	3.7059	0.000167
18	0.398239	4.1386	3.5e-05
19	0.307553	3.1962	0.000913
20	0.249963	2.5977	0.005347
21	0.215174	2.2362	0.013699
22	0.223238	2.32	0.011112
23	0.345294	3.5884	0.000251
24	0.474071	4.9267	2e-06
25	0.287272	2.9854	0.001752
26	0.168523	1.7513	0.041363
27	0.111388	1.1576	0.124795
28	0.120452	1.2518	0.106678
29	0.137468	1.4286	0.078001
30	0.17216	1.7891	0.038198
31	0.103802	1.0787	0.141554
32	0.053754	0.5586	0.288786
33	0.016569	0.1722	0.431806
34	0.036347	0.3777	0.353185
35	0.132114	1.373	0.086303
36	0.25928	2.6945	0.004088
37	0.089954	0.9348	0.17598
38	-0.002907	-0.0302	0.487976
39	-0.05433	-0.5646	0.286755
40	-0.045632	-0.4742	0.31815
41	-0.032533	-0.3381	0.367973
42	-0.001837	-0.0191	0.492402
43	-0.059831	-0.6218	0.267697
44	-0.088375	-0.9184	0.180223
45	-0.139611	-1.4509	0.074856
46	-0.111834	-1.1622	0.123855
47	-0.031617	-0.3286	0.371557
48	0.066062	0.6865	0.246922

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.742286	7.7141	0
2	0.099506	1.0341	0.151701
3	0.131959	1.3714	0.086553
4	0.221363	2.3005	0.011671
5	0.157451	1.6363	0.052346
6	0.237584	2.469	0.007557
7	-0.118964	-1.2363	0.109513
8	0.000434	0.0045	0.498206
9	-0.05374	-0.5585	0.288835
10	0.117951	1.2258	0.111474
11	0.322638	3.353	0.000552
12	0.451375	4.6908	4e-06
13	-0.513269	-5.334	0
14	-0.270294	-2.809	0.00295
15	-0.086102	-0.8948	0.186443
16	-0.056544	-0.5876	0.279007
17	0.003333	0.0346	0.486218
18	0.011898	0.1236	0.450912
19	-0.002171	-0.0226	0.491021
20	0.11116	1.1552	0.125276
21	0.140249	1.4575	0.073938
22	-0.19497	-2.0262	0.022605
23	-0.030557	-0.3176	0.375718
24	0.079533	0.8265	0.205163
25	-0.124497	-1.2938	0.099245
26	0.020033	0.2082	0.417738
27	-0.10024	-1.0417	0.149934
28	-0.002569	-0.0267	0.489376
29	0.014169	0.1472	0.441607
30	0.002265	0.0235	0.49063
31	0.051587	0.5361	0.296494
32	-0.012667	-0.1316	0.447757
33	-0.056967	-0.592	0.277539
34	0.086011	0.8938	0.186695
35	-0.115695	-1.2023	0.115932
36	0.096375	1.0016	0.159397
37	-0.079169	-0.8227	0.206232
38	-0.008156	-0.0848	0.466304
39	-0.001959	-0.0204	0.491896
40	-0.0031	-0.0322	0.487181
41	-0.050936	-0.5293	0.298827
42	-0.066328	-0.6893	0.246058
43	0.041889	0.4353	0.332098
44	0.030593	0.3179	0.375575
45	-0.075169	-0.7812	0.218204
46	0.039517	0.4107	0.341061
47	-0.074181	-0.7709	0.221222
48	-0.056041	-0.5824	0.280756

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260615716tf8ufigos02smv7/1wc4i1260615670.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260615716tf8ufigos02smv7/1wc4i1260615670.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260615716tf8ufigos02smv7/2bld41260615670.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260615716tf8ufigos02smv7/2bld41260615670.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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