Home » date » 2009 » Dec » 25 »

Paper(7) met d=2 en D=0 OVERDIFFERENTIATIE

*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, 25 Dec 2009 05:53:18 -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/25/t1261745952xj31u278jw6r4ls.htm/, Retrieved Fri, 25 Dec 2009 13:59:14 +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/25/t1261745952xj31u278jw6r4ls.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

2.3 2.3 2.6 3.1 2.8 2.5 2.9 3.1 3.1 3.2 2.5 2.6 2.9 2.6 2.4 1.7 2 2.2 1.9 1.6 1.6 1.2 1.2 1.5 1.6 1.7 1.8 1.8 1.8 1.3 1.3 1.4 1.1 1.5 2.2 2.9 3.1 3.5 3.6 4.4 4.2 5.2 5.8 5.9 5.4 5.5 4.7 3.1 2.6 2.3 1.9 0.6 0.6 -0.4 -1.1 -1.7 -0.8 -1.2 -1 -0.1

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	-0.457518	-3.4844	0.000473
2	-0.038696	-0.2947	0.384638
3	-0.029226	-0.2226	0.412324
4	0.311011	2.3686	0.010604
5	-0.30646	-2.3339	0.011543
6	0.046954	0.3576	0.360973
7	0.111461	0.8489	0.199725
8	0.014162	0.1079	0.457243
9	-0.124649	-0.9493	0.173204
10	-0.070223	-0.5348	0.297415
11	0.383514	2.9208	0.002484
12	-0.404219	-3.0784	0.001588
13	0.004854	0.037	0.48532
14	0.036762	0.28	0.390247
15	0.154452	1.1763	0.122146
16	-0.278949	-2.1244	0.018955
17	0.192537	1.4663	0.073982
18	-0.07106	-0.5412	0.29523
19	0.123355	0.9394	0.175699
20	-0.175235	-1.3345	0.09362
21	0.029868	0.2275	0.41043
22	0.104368	0.7948	0.214973
23	-0.032323	-0.2462	0.403213
24	-0.143312	-1.0914	0.139799
25	0.176205	1.3419	0.092423
26	-0.007884	-0.06	0.476164
27	-0.088309	-0.6725	0.251955
28	0.062806	0.4783	0.317111
29	0.004709	0.0359	0.485757
30	0.001924	0.0147	0.49418
31	-0.113463	-0.8641	0.195544
32	0.087242	0.6644	0.25453
33	0.049889	0.3799	0.352689
34	-0.00132	-0.0101	0.496007
35	-0.143393	-1.0921	0.139663
36	0.188923	1.4388	0.077792

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.457518	-3.4844	0.000473
2	-0.31368	-2.3889	0.010086
3	-0.274938	-2.0939	0.020326
4	0.222466	1.6943	0.047791
5	-0.0408	-0.3107	0.378563
6	-0.063704	-0.4852	0.314698
7	0.075404	0.5743	0.284006
8	0.041854	0.3187	0.375531
9	0.036666	0.2792	0.390527
10	-0.207065	-1.577	0.060122
11	0.288511	2.1972	0.016006
12	-0.177649	-1.3529	0.090663
13	-0.235833	-1.7961	0.038848
14	-0.186352	-1.4192	0.080594
15	-0.185481	-1.4126	0.081561
16	-0.056165	-0.4277	0.335211
17	0.048209	0.3671	0.357424
18	-0.069447	-0.5289	0.29945
19	0.165106	1.2574	0.106823
20	0.084911	0.6467	0.2602
21	-0.078398	-0.5971	0.276395
22	-0.055847	-0.4253	0.336089
23	0.110659	0.8428	0.201414
24	-0.140798	-1.0723	0.144016
25	-0.029254	-0.2228	0.412239
26	-0.147317	-1.1219	0.133258
27	-0.093492	-0.712	0.239656
28	-0.005612	-0.0427	0.483028
29	0.009323	0.071	0.47182
30	-0.02655	-0.2022	0.420234
31	-0.030794	-0.2345	0.407705
32	0.049875	0.3798	0.352726
33	0.030524	0.2325	0.408497
34	0.046315	0.3527	0.362786
35	0.077723	0.5919	0.278102
36	-0.030162	-0.2297	0.409563

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745952xj31u278jw6r4ls/125ib1261745596.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745952xj31u278jw6r4ls/125ib1261745596.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745952xj31u278jw6r4ls/2jmez1261745596.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745952xj31u278jw6r4ls/2jmez1261745596.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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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