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6bis eigen reeks

*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, 05 May 2010 09:52:38 +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/05/t12730532009zdi96n01bl2mdh.htm/, Retrieved Wed, 05 May 2010 11:53:23 +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/05/t12730532009zdi96n01bl2mdh.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 «

93.2 96 95.2 77.1 70.9 64.8 70.1 77.3 79.5 100.6 100.7 107.1 95.9 82.8 83.3 80 80.4 67.5 75.7 71.1 89.3 101.1 105.2 114.1 96.3 84.4 91.2 81.9 80.5 70.4 74.8 75.9 86.3 98.7 100.9 113.8 89.8 84.4 87.2 85.6 72 69.2 77.5 78.1 94.3 97.7 100.2 116.4 97.1 93 96 80.5 76.1 69.9 73.6 92.6 94.2 93.5 108.5 109.4 105.1 92.5 97.1

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	0.04691	0.3694	0.356555
2	0.065048	0.5122	0.30517
3	-0.006075	-0.0478	0.481
4	-0.288009	-2.2678	0.013419
5	-0.106347	-0.8374	0.202798
6	-0.399346	-3.1445	0.001277
7	-0.209988	-1.6534	0.051648
8	-0.124557	-0.9808	0.165261
9	0.071305	0.5615	0.288256
10	0.005207	0.041	0.483714
11	0.211407	1.6646	0.050518
12	0.544044	4.2838	3.3e-05
13	0.099465	0.7832	0.218248
14	0.095978	0.7557	0.226336
15	-0.059285	-0.4668	0.321135
16	-0.159593	-1.2566	0.1068
17	-0.107328	-0.8451	0.200651
18	-0.352473	-2.7754	0.00364
19	-0.138579	-1.0912	0.139709
20	-0.127511	-1.004	0.159635
21	0.131192	1.033	0.152807
22	-0.009798	-0.0772	0.469376
23	0.149942	1.1806	0.121127
24	0.393229	3.0963	0.001471
25	0.064402	0.5071	0.30694
26	0.094983	0.7479	0.228676
27	-0.042884	-0.3377	0.368378
28	-0.130973	-1.0313	0.153207
29	-0.087351	-0.6878	0.247071
30	-0.239215	-1.8836	0.032157
31	-0.170578	-1.3431	0.092063
32	0.003513	0.0277	0.489012
33	0.055436	0.4365	0.331995
34	0.026147	0.2059	0.418779
35	0.134269	1.0572	0.147254
36	0.172212	1.356	0.090009
37	0.111796	0.8803	0.191053
38	0.074944	0.5901	0.27863
39	-0.084838	-0.668	0.253301
40	-0.041531	-0.327	0.372378
41	-0.105825	-0.8333	0.203946
42	-0.140276	-1.1045	0.136815
43	-0.071416	-0.5623	0.287961
44	-0.0097	-0.0764	0.469681
45	0.012388	0.0975	0.461306
46	0.06639	0.5228	0.301504
47	0.033987	0.2676	0.394944
48	0.113339	0.8924	0.187807

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.04691	0.3694	0.356555
2	0.062986	0.496	0.310841
3	-0.011963	-0.0942	0.462628
4	-0.293155	-2.3083	0.012166
5	-0.088412	-0.6962	0.244467
6	-0.389488	-3.0668	0.001602
7	-0.255659	-2.0131	0.024228
8	-0.296782	-2.3369	0.011346
9	-0.086006	-0.6772	0.250394
10	-0.424915	-3.3458	0.000699
11	-0.211792	-1.6677	0.050214
12	0.246733	1.9428	0.028294
13	-0.027097	-0.2134	0.415871
14	-0.160238	-1.2617	0.105889
15	-0.008988	-0.0708	0.471905
16	0.048337	0.3806	0.352398
17	-0.021806	-0.1717	0.432116
18	-0.081089	-0.6385	0.262751
19	0.132258	1.0414	0.150867
20	-0.105003	-0.8268	0.205762
21	0.119316	0.9395	0.175562
22	-0.04256	-0.3351	0.369333
23	-0.037937	-0.2987	0.383077
24	0.007686	0.0605	0.47597
25	0.041849	0.3295	0.371436
26	-0.103474	-0.8148	0.209165
27	0.054894	0.4322	0.333536
28	-0.051487	-0.4054	0.343286
29	-0.015159	-0.1194	0.452687
30	-0.044562	-0.3509	0.363433
31	0.006173	0.0486	0.480696
32	0.031526	0.2482	0.402387
33	-0.029505	-0.2323	0.408525
34	0.051306	0.404	0.343806
35	0.030355	0.239	0.405941
36	-0.129529	-1.0199	0.155867
37	0.063189	0.4976	0.310279
38	0.022633	0.1782	0.429569
39	-0.053444	-0.4208	0.337673
40	-0.018281	-0.1439	0.443005
41	0.016755	0.1319	0.447735
42	-0.009733	-0.0766	0.469581
43	0.066377	0.5227	0.301538
44	0.071137	0.5601	0.288704
45	-0.071464	-0.5627	0.287832
46	0.081122	0.6388	0.262667
47	0.027304	0.215	0.41524
48	0.00415	0.0327	0.487019

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t12730532009zdi96n01bl2mdh/1fwuz1273053156.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730532009zdi96n01bl2mdh/1fwuz1273053156.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730532009zdi96n01bl2mdh/2fwuz1273053156.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t12730532009zdi96n01bl2mdh/2fwuz1273053156.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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