Home » date » 2009 » Jun » 05 »

Jurgen Leemans - opgave 6bis - oef 2 stap 1

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 05 Jun 2009 09:33:18 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/05/t1244216154vrloqhijj16dxsu.htm/, Retrieved Fri, 05 Jun 2009 17:35:57 +0200

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/Jun/05/t1244216154vrloqhijj16dxsu.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 «

163.40 162.89 162.29 161.26 161.43 161.44 161.44 161.44 161.92 162.23 161.89 161.40 161.40 159.55 158.93 158.59 158.29 158.03 158.03 163.94 164.36 164.39 163.22 163.22 163.56 162.82 162.80 162.44 161.98 161.53 161.53 161.52 162.07 161.84 161.54 161.47 161.47 161.54 161.57 160.75 160.31 160.57 160.57 159.65 158.76 158.95 159.25 158.72 158.72 158.72 158.53 157.92 157.89 157.81 157.81 157.88 157.52 156.11 155.61 155.31 155.31 155.31 153.09 151.94 151.73 151.65 151.65 151.09 149.94 149.47 149.15 149.22

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.922631	7.8288	0
2	0.836474	7.0977	0
3	0.754866	6.4053	0
4	0.685739	5.8187	0
5	0.62351	5.2907	1e-06
6	0.561882	4.7677	5e-06
7	0.508016	4.3107	2.5e-05
8	0.453141	3.845	0.000129
9	0.399894	3.3932	0.000563
10	0.35659	3.0258	0.001719
11	0.330802	2.8069	0.003215
12	0.298551	2.5333	0.006739
13	0.260046	2.2066	0.015267
14	0.225452	1.913	0.029861
15	0.194901	1.6538	0.051262
16	0.175105	1.4858	0.070847
17	0.16378	1.3897	0.084448
18	0.154295	1.3092	0.097308
19	0.14316	1.2147	0.114215
20	0.106776	0.906	0.183972
21	0.071343	0.6054	0.273419
22	0.042216	0.3582	0.360616
23	0.014907	0.1265	0.449849
24	-0.015625	-0.1326	0.447447
25	-0.045587	-0.3868	0.350015
26	-0.06585	-0.5588	0.28903
27	-0.092786	-0.7873	0.216842
28	-0.122875	-1.0426	0.150304
29	-0.143624	-1.2187	0.113469
30	-0.158403	-1.3441	0.09157
31	-0.175158	-1.4863	0.070787
32	-0.194208	-1.6479	0.051865
33	-0.209415	-1.7769	0.0399
34	-0.218082	-1.8505	0.034173
35	-0.228634	-1.94	0.028147
36	-0.241496	-2.0492	0.022045
37	-0.255985	-2.1721	0.016571
38	-0.271289	-2.302	0.012116
39	-0.278038	-2.3592	0.010514
40	-0.277324	-2.3532	0.010674
41	-0.282711	-2.3989	0.009518
42	-0.292866	-2.4851	0.007639
43	-0.304286	-2.582	0.005929
44	-0.298195	-2.5303	0.006792
45	-0.281337	-2.3872	0.009802
46	-0.263333	-2.2345	0.014279
47	-0.249227	-2.1148	0.018956
48	-0.228567	-1.9395	0.028182

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.922631	7.8288	0
2	-0.099319	-0.8428	0.201079
3	-0.012941	-0.1098	0.456434
4	0.034717	0.2946	0.384579
5	-0.002872	-0.0244	0.490314
6	-0.035648	-0.3025	0.381577
7	0.020157	0.171	0.432337
8	-0.043988	-0.3733	0.355028
9	-0.022426	-0.1903	0.424809
10	0.03524	0.299	0.382892
11	0.080815	0.6857	0.247541
12	-0.07887	-0.6692	0.252743
13	-0.048304	-0.4099	0.341559
14	0.017327	0.147	0.44176
15	-0.005908	-0.0501	0.480079
16	0.041063	0.3484	0.364266
17	0.04262	0.3616	0.359339
18	-0.010358	-0.0879	0.465103
19	-0.014773	-0.1254	0.450297
20	-0.161239	-1.3682	0.087758
21	0.007399	0.0628	0.475057
22	-0.000978	-0.0083	0.496699
23	-0.037329	-0.3167	0.376178
24	-0.045276	-0.3842	0.35099
25	-0.008298	-0.0704	0.472031
26	0.035767	0.3035	0.381194
27	-0.075695	-0.6423	0.26136
28	-0.051902	-0.4404	0.330483
29	0.028145	0.2388	0.405963
30	-0.027916	-0.2369	0.406714
31	-0.02224	-0.1887	0.425424
32	-0.009066	-0.0769	0.469447
33	-0.01266	-0.1074	0.457376
34	0.002902	0.0246	0.490211
35	-0.047666	-0.4045	0.343537
36	-0.039629	-0.3363	0.368824
37	-0.050746	-0.4306	0.334024
38	-0.034921	-0.2963	0.383922
39	0.07272	0.617	0.269574
40	0.011457	0.0972	0.461413
41	-0.085657	-0.7268	0.234845
42	-0.04168	-0.3537	0.362312
43	-0.015867	-0.1346	0.446637
44	0.098429	0.8352	0.203184
45	0.019834	0.1683	0.43341
46	0.007904	0.0671	0.473356
47	-0.014544	-0.1234	0.451064
48	0.039497	0.3351	0.369247

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244216154vrloqhijj16dxsu/1q58x1244215996.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244216154vrloqhijj16dxsu/1q58x1244215996.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244216154vrloqhijj16dxsu/2u1qy1244215996.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244216154vrloqhijj16dxsu/2u1qy1244215996.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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