Home » date » 2010 » May » 03 »

Melino Olivini - IKO - Opgave 6bis - oefening 2b

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 16:13:15 +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/May/03/t1272903252mlfnyu8bzu11aul.htm/, Retrieved Mon, 03 May 2010 18:14:12 +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/May/03/t1272903252mlfnyu8bzu11aul.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 «

5221.3 5115.9 5107.4 5202.1 5307.5 5266.1 5329.8 5263.4 5177.1 5204.9 5185.2 5189.8 5253.8 5372.3 5478.4 5590.5 5699.8 5797.9 5854.3 5902.4 5956.9 6007.8 6101.7 6148.6 6207.4 6232 6291.7 6323.4 6365 6435 6493.4 6606.8 6639.1 6723.5 6759.4 6848.6 6918.1 6963.5 7013.1 7030.9 7112.1 7130.3 7130.8 7076.9 7040.8 7086.5 7120.7 7154.1 7228.2 7297.9 7369.5 7450.7 7459.7 7497.5 7536 7637.4 7715.1 7815.7 7859.5 7951.6 7973.7 7988 8053.1 8112 8169.2 8303.1 8372.7 8470.6 8536.1 8665.8 8773.7 8838.4 8936.2 8995.3 9098.9 9237.1 9315.5 9392.6 9502.2 9671.1 9695.6 9847.9 9836.6 9887.7 9875.6 9905.9 9871.1 9910 9977.3 10031.6 10090.7 10095.8 10126 10212.7 10398.7 10467 10543.6 10634.2 10728.7 10796.4 10875.8 10946.1 11050 11086.1 11217.3 11291.7 11314.1 11356.4 11357.8 11491.4 11625.7 11620.7

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.276541	2.9135	0.002161
2	0.244876	2.5799	0.005594
3	0.11359	1.1967	0.116979
4	0.116135	1.2236	0.111855
5	0.032978	0.3474	0.364456
6	0.073924	0.7788	0.218865
7	-0.002949	-0.0311	0.487633
8	-0.075433	-0.7947	0.214233
9	0.047171	0.497	0.310096
10	-0.004736	-0.0499	0.480147
11	-0.075488	-0.7953	0.214064
12	-0.165988	-1.7488	0.041545
13	-0.103074	-1.086	0.139927
14	-0.097961	-1.0321	0.152137
15	-0.012155	-0.1281	0.449166
16	0.055112	0.5806	0.281329
17	-0.026104	-0.275	0.391907
18	0.007055	0.0743	0.47044
19	0.069934	0.7368	0.2314
20	0.049186	0.5182	0.302672
21	-0.060222	-0.6345	0.263538
22	0.01427	0.1503	0.440383
23	-0.036754	-0.3872	0.349664
24	0.031771	0.3347	0.369229
25	-0.01668	-0.1757	0.43041
26	-0.043546	-0.4588	0.323641
27	-0.09882	-1.0411	0.150039
28	-0.07941	-0.8366	0.202297
29	-0.036708	-0.3867	0.349843
30	-0.078973	-0.832	0.203589
31	0.011915	0.1255	0.450165
32	-0.002279	-0.024	0.490442
33	0.018108	0.1908	0.424524
34	0.071215	0.7503	0.227332
35	0.081216	0.8557	0.197014
36	0.047132	0.4966	0.310239
37	0.05142	0.5417	0.294539
38	0.039142	0.4124	0.340427
39	0.092104	0.9704	0.166984
40	0.048604	0.5121	0.304808
41	0.097042	1.0224	0.154406
42	0.115636	1.2183	0.112846
43	0.143088	1.5075	0.067259
44	0.058856	0.6201	0.268237
45	0.097008	1.022	0.15449
46	0.008424	0.0888	0.464718
47	-0.006559	-0.0691	0.472517
48	0.011458	0.1207	0.452065

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.276541	2.9135	0.002161
2	0.182346	1.9211	0.02864
3	0.008729	0.092	0.463447
4	0.049341	0.5198	0.302106
5	-0.028738	-0.3028	0.381314
6	0.045599	0.4804	0.315937
7	-0.038373	-0.4043	0.343391
8	-0.103581	-1.0913	0.138754
9	0.10333	1.0887	0.139333
10	-0.008935	-0.0941	0.462586
11	-0.101178	-1.066	0.144374
12	-0.141658	-1.4925	0.069207
13	-0.015489	-0.1632	0.435336
14	0.009987	0.1052	0.458194
15	0.046902	0.4941	0.311092
16	0.093852	0.9888	0.162458
17	-0.040168	-0.4232	0.336485
18	0.005146	0.0542	0.478431
19	0.063747	0.6716	0.251611
20	-0.004239	-0.0447	0.482231
21	-0.097641	-1.0287	0.152926
22	0.025729	0.2711	0.39342
23	-0.024663	-0.2598	0.397736
24	0.031765	0.3347	0.369254
25	-0.070526	-0.743	0.229516
26	-0.067781	-0.7141	0.238328
27	-0.028625	-0.3016	0.381769
28	-0.024413	-0.2572	0.398748
29	0.013506	0.1423	0.443552
30	-0.025727	-0.2711	0.393427
31	0.083623	0.881	0.190103
32	0.032166	0.3389	0.367665
33	-0.011545	-0.1216	0.451704
34	0.065664	0.6918	0.245251
35	0.016615	0.175	0.430681
36	0.020806	0.2192	0.413447
37	0.020408	0.215	0.415076
38	-0.049453	-0.521	0.301697
39	0.066477	0.7004	0.242577
40	-0.030124	-0.3174	0.375776
41	0.053085	0.5593	0.288546
42	0.091273	0.9616	0.169165
43	0.091554	0.9646	0.168425
44	-0.03054	-0.3218	0.374121
45	0.065469	0.6898	0.245894
46	-0.017256	-0.1818	0.428036
47	-0.030373	-0.32	0.374786
48	0.013288	0.14	0.444459

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272903252mlfnyu8bzu11aul/19rlq1272903192.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272903252mlfnyu8bzu11aul/19rlq1272903192.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272903252mlfnyu8bzu11aul/29rlq1272903192.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272903252mlfnyu8bzu11aul/29rlq1272903192.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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