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Opgave 6Bis - Oef 2 - Kelly Janbroers

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 28 Apr 2010 19:54:51 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Apr/28/t1272484537x34vr5si9bcc10k.htm/, Retrieved Wed, 28 Apr 2010 21:55:40 +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/2010/Apr/28/t1272484537x34vr5si9bcc10k.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

18450 21845 26488 22394 28057 25451 24872 33424 24052 28449 33533 37351 19969 21701 26249 24493 24603 26485 30723 34569 26689 26157 32064 38870 21337 19419 23166 28286 24570 24001 33151 24878 26804 28967 33311 40226 20504 23060 23562 27562 23940 24584 34303 25517 23494 29095 32903 34379 16991 21109 23740 25552 21752 20294 29009 25500 24166 26960 31222 38641 14672 17543 25453 32683 22449 22316 27595 25451 25421 25288 32568 35110 16052 22146 21198 19543 22084 23816 29961 26773 26635 26972 30207 38687 16974 21697 24179 23757 25013 24019 30345 24488 25156 25650 30923 37240 17466 19463 24352 26805 25236 24735 29356 31234 22724 28496 32857 37198

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.132587	1.3779	0.085543
2	-0.236193	-2.4546	0.007851
3	-0.077444	-0.8048	0.211344
4	0.151843	1.578	0.058745
5	0.007514	0.0781	0.468952
6	-0.402292	-4.1807	3e-05
7	-0.007994	-0.0831	0.466974
8	0.117604	1.2222	0.112151
9	-0.114417	-1.1891	0.118513
10	-0.254409	-2.6439	0.004708
11	0.051351	0.5337	0.297337
12	0.755688	7.8533	0
13	0.112771	1.172	0.121897
14	-0.207862	-2.1602	0.016485
15	-0.089601	-0.9312	0.176923
16	0.126103	1.3105	0.096404
17	-0.010244	-0.1065	0.457709
18	-0.374805	-3.8951	8.5e-05
19	-0.036553	-0.3799	0.352395
20	0.086802	0.9021	0.184512
21	-0.121584	-1.2635	0.104559
22	-0.210692	-2.1896	0.015353
23	0.085343	0.8869	0.18855
24	0.636187	6.6114	0
25	0.089475	0.9298	0.177261
26	-0.165174	-1.7165	0.044465
27	-0.083695	-0.8698	0.193173
28	0.127978	1.33	0.093163
29	-0.038905	-0.4043	0.343393
30	-0.347141	-3.6076	0.000235
31	-0.024271	-0.2522	0.400671
32	0.065363	0.6793	0.24921
33	-0.153785	-1.5982	0.056463
34	-0.268447	-2.7898	0.003118
35	0.052836	0.5491	0.292038
36	0.529765	5.5055	0
37	0.039486	0.4104	0.34118
38	-0.168781	-1.754	0.041131
39	-0.090816	-0.9438	0.173693
40	0.115322	1.1985	0.11668
41	-0.054147	-0.5627	0.287398
42	-0.323845	-3.3655	0.000529
43	-0.022585	-0.2347	0.40744
44	0.101491	1.0547	0.146953
45	-0.107309	-1.1152	0.133623
46	-0.197499	-2.0525	0.021271
47	0.031328	0.3256	0.372689
48	0.443273	4.6066	6e-06
49	0.064468	0.67	0.252152
50	-0.127423	-1.3242	0.094114
51	-0.079823	-0.8295	0.204313
52	0.082815	0.8606	0.195673
53	-0.017307	-0.1799	0.428801
54	-0.22342	-2.3219	0.011059
55	-0.052498	-0.5456	0.29324
56	0.018133	0.1884	0.425443
57	-0.094886	-0.9861	0.163147
58	-0.152261	-1.5823	0.058248
59	0.029862	0.3103	0.378452
60	0.347258	3.6088	0.000234

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.132587	1.3779	0.085543
2	-0.258313	-2.6845	0.004205
3	-0.004133	-0.043	0.482908
4	0.113846	1.1831	0.119679
5	-0.061811	-0.6424	0.261002
6	-0.370573	-3.8511	1e-04
7	0.147001	1.5277	0.064758
8	-0.093838	-0.9752	0.165822
9	-0.19576	-2.0344	0.022181
10	-0.139317	-1.4478	0.075281
11	0.087788	0.9123	0.181817
12	0.668495	6.9472	0
13	-0.11522	-1.1974	0.116885
14	0.022605	0.2349	0.407357
15	-0.125264	-1.3018	0.09788
16	-0.072336	-0.7517	0.226922
17	-0.087266	-0.9069	0.183239
18	0.000291	0.003	0.498796
19	-0.068266	-0.7094	0.23979
20	-0.016402	-0.1705	0.432484
21	-0.026785	-0.2784	0.390634
22	0.094547	0.9826	0.164011
23	0.15476	1.6083	0.055343
24	0.084852	0.8818	0.189921
25	-0.073902	-0.768	0.222079
26	0.003562	0.037	0.485269
27	-0.106529	-1.1071	0.13536
28	0.026449	0.2749	0.391972
29	-0.099739	-1.0365	0.151137
30	-0.00801	-0.0832	0.466908
31	0.031639	0.3288	0.371471
32	0.016719	0.1737	0.431196
33	-0.058138	-0.6042	0.273492
34	-0.157773	-1.6396	0.051996
35	-0.086918	-0.9033	0.184194
36	-0.046377	-0.482	0.315404
37	-0.087028	-0.9044	0.183892
38	-0.055235	-0.574	0.283574
39	-0.05949	-0.6182	0.268859
40	-0.060306	-0.6267	0.266084
41	0.003188	0.0331	0.486817
42	-0.011482	-0.1193	0.452618
43	-0.060351	-0.6272	0.26593
44	0.057533	0.5979	0.27558
45	-0.014606	-0.1518	0.439818
46	0.145732	1.5145	0.066411
47	-0.132617	-1.3782	0.085496
48	-0.056499	-0.5872	0.279161
49	0.005731	0.0596	0.47631
50	0.004715	0.049	0.480503
51	-0.034482	-0.3583	0.360392
52	-0.073378	-0.7626	0.223691
53	0.043223	0.4492	0.3271
54	0.129424	1.345	0.09072
55	-0.082502	-0.8574	0.196564
56	-0.186334	-1.9364	0.027713
57	-0.005934	-0.0617	0.47547
58	-0.090397	-0.9394	0.174803
59	0.054663	0.5681	0.285583
60	-0.000272	-0.0028	0.498876

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/28/t1272484537x34vr5si9bcc10k/1djsf1272484488.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/28/t1272484537x34vr5si9bcc10k/1djsf1272484488.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/28/t1272484537x34vr5si9bcc10k/2djsf1272484488.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/28/t1272484537x34vr5si9bcc10k/2djsf1272484488.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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