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opgave 6bis oefening 2 zonder trend

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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 04:03:25 -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/t12606158849cr1mhl73l04hab.htm/, Retrieved Sat, 12 Dec 2009 12:04:46 +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/12/t12606158849cr1mhl73l04hab.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.158732	-1.6419	0.051769
2	-0.191914	-1.9852	0.024842
3	-0.199742	-2.0661	0.020615
4	-0.019608	-0.2028	0.419829
5	-0.055598	-0.5751	0.283213
6	0.321646	3.3271	0.000602
7	-0.035876	-0.3711	0.355649
8	-0.000532	-0.0055	0.49781
9	-0.168497	-1.743	0.042107
10	-0.229509	-2.3741	0.009688
11	-0.138351	-1.4311	0.077656
12	0.770369	7.9688	0
13	-0.078776	-0.8149	0.208481
14	-0.194763	-2.0146	0.023225
15	-0.159799	-1.653	0.050634
16	-0.029296	-0.303	0.381224
17	-0.030558	-0.3161	0.376272
18	0.264997	2.7412	0.003588
19	-0.01457	-0.1507	0.440243
20	-0.021459	-0.222	0.412379
21	-0.114145	-1.1807	0.120164
22	-0.236537	-2.4468	0.008022
23	-0.077835	-0.8051	0.211266
24	0.646068	6.683	0
25	-0.080282	-0.8304	0.20407
26	-0.136505	-1.412	0.080424
27	-0.146156	-1.5118	0.06676
28	-0.034519	-0.3571	0.360873
29	-0.011805	-0.1221	0.45152
30	0.216086	2.2352	0.01374
31	-0.023519	-0.2433	0.404128
32	0.019159	0.1982	0.42164
33	-0.136574	-1.4127	0.080319
34	-0.159359	-1.6484	0.051099
35	-0.12853	-1.3295	0.093251
36	0.600084	6.2073	0
37	-0.104543	-1.0814	0.140976
38	-0.093534	-0.9675	0.167732
39	-0.141957	-1.4684	0.072462
40	-0.02121	-0.2194	0.41338
41	-0.026911	-0.2784	0.390635
42	0.18297	1.8927	0.030553
43	-0.02713	-0.2806	0.389767
44	0.036544	0.378	0.353084
45	-0.113853	-1.1777	0.120763
46	-0.142698	-1.4761	0.07143
47	-0.066345	-0.6863	0.247012
48	0.43965	4.5478	7e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.158732	-1.6419	0.051769
2	-0.222721	-2.3038	0.011582
3	-0.293964	-3.0408	0.001484
4	-0.202987	-2.0997	0.019053
5	-0.280747	-2.9041	0.002238
6	0.138302	1.4306	0.077728
7	-0.034209	-0.3539	0.36207
8	0.082912	0.8576	0.196502
9	-0.052057	-0.5385	0.295683
10	-0.320283	-3.313	0.00063
11	-0.443821	-4.5909	6e-06
12	0.569477	5.8907	0
13	0.106082	1.0973	0.137483
14	-0.12653	-1.3088	0.096697
15	0.019274	0.1994	0.421175
16	0.030355	0.314	0.37707
17	0.06604	0.6831	0.248004
18	-0.065064	-0.673	0.251191
19	-0.047597	-0.4923	0.31174
20	-0.098668	-1.0206	0.154866
21	-0.024049	-0.2488	0.402009
22	-0.029255	-0.3026	0.381385
23	0.043479	0.4497	0.3269
24	0.147316	1.5238	0.065248
25	-0.113593	-1.175	0.121299
26	0.115351	1.1932	0.117715
27	0.057508	0.5949	0.276594
28	0.003836	0.0397	0.48421
29	0.020352	0.2105	0.416831
30	-0.05973	-0.6179	0.268993
31	-0.050031	-0.5175	0.302928
32	0.076067	0.7868	0.216555
33	-0.099012	-1.0242	0.154029
34	0.147077	1.5214	0.065557
35	-0.153379	-1.5866	0.057781
36	0.097096	1.0044	0.158734
37	0.025838	0.2673	0.394889
38	-0.020637	-0.2135	0.415684
39	0.016345	0.1691	0.43303
40	-0.047186	-0.4881	0.31324
41	-0.008948	-0.0926	0.463213
42	-0.088481	-0.9153	0.181059
43	0.019863	0.2055	0.4188
44	-0.031992	-0.3309	0.370675
45	0.00346	0.0358	0.48576
46	-0.014291	-0.1478	0.44138
47	0.151326	1.5653	0.06023
48	-0.134609	-1.3924	0.083343

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606158849cr1mhl73l04hab/12zod1260615803.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606158849cr1mhl73l04hab/12zod1260615803.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606158849cr1mhl73l04hab/2o8qa1260615803.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606158849cr1mhl73l04hab/2o8qa1260615803.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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