Home » date » 2010 » May » 05 »

Jeroen Cornelissen - personenwagens - opgave 6 bis

*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 21:08:13 +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/t1273093772ra0ava9aknj8oih.htm/, Retrieved Wed, 05 May 2010 23:09:32 +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/t1273093772ra0ava9aknj8oih.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 «

112 118 129 99 116 168 118 129 205 147 150 267 126 129 124 97 102 127 222 214 118 141 154 226 89 77 82 97 127 121 117 117 106 112 134 169 75 108 115 85 101 108 109 124 105 95 135 164 88 85 112 87 91 87 87 142 95 108 139 159 61 82 124 93 108 75 87 103 90 108 123 129 57 65 67 71 76 67 110 118 99 85 107 141 58 65 70 86 93 74 87 73 101 100 96 157 63 115 70 66 67 83 79 77 102 116 100 135 71 60 89 74 73 91 86 74 87 87 109 137 43 69 73 77 69 76 78 70 83 65 110 132 54 55 66 65 60 65 96 55 71 63 74 106 34 47 56 53 53 55 67 52 46 51 58 91 33 40 46 45 41 55 57 54 46 52 48 77 30 35 42 48 44 45

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

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.365346	-4.8054	2e-06
2	-0.205887	-2.708	0.003724
3	0.120999	1.5915	0.056662
4	-0.030313	-0.3987	0.345301
5	0.040937	0.5384	0.295481
6	-0.107643	-1.4158	0.079312
7	0.023913	0.3145	0.37675
8	-0.005673	-0.0746	0.470301
9	0.044126	0.5804	0.281204
10	-0.06456	-0.8492	0.198485
11	-0.203268	-2.6736	0.004112
12	0.553762	7.2836	0
13	-0.234412	-3.0832	0.001192
14	-0.097202	-1.2785	0.101394
15	0.061694	0.8115	0.209108
16	-0.023024	-0.3028	0.381191
17	0.045798	0.6024	0.273857
18	-0.063599	-0.8365	0.202011
19	-0.010406	-0.1369	0.445645
20	-0.004702	-0.0618	0.475379
21	0.067056	0.882	0.189503
22	-0.12328	-1.6215	0.053366
23	-0.160168	-2.1067	0.018294
24	0.497679	6.5459	0
25	-0.213418	-2.8071	0.002787
26	-0.085561	-1.1254	0.130995
27	0.076905	1.0115	0.156588
28	-0.014785	-0.1945	0.423019
29	0.032799	0.4314	0.333357
30	-0.059436	-0.7818	0.217711
31	-0.027232	-0.3582	0.360322
32	-0.00487	-0.0641	0.474499
33	0.088114	1.159	0.124036
34	-0.135784	-1.786	0.037928
35	-0.117482	-1.5452	0.062059
36	0.436996	5.7478	0
37	-0.18927	-2.4895	0.006869
38	-0.089495	-1.1771	0.120381
39	0.059463	0.7821	0.217607
40	0.030202	0.3972	0.345839
41	0.006788	0.0893	0.464479
42	-0.078742	-1.0357	0.150897
43	0.009827	0.1293	0.448654
44	-0.012438	-0.1636	0.43512
45	0.048667	0.6401	0.261472
46	-0.066594	-0.8759	0.191146
47	-0.127599	-1.6783	0.047547
48	0.379885	4.9966	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.365346	-4.8054	2e-06
2	-0.39164	-5.1512	0
3	-0.172794	-2.2728	0.012136
4	-0.172059	-2.2631	0.012437
5	-0.040936	-0.5384	0.295486
6	-0.173649	-2.284	0.011793
7	-0.12917	-1.699	0.045561
8	-0.18926	-2.4893	0.006872
9	-0.090986	-1.1967	0.116524
10	-0.190158	-2.5011	0.006655
11	-0.511591	-6.7289	0
12	0.188589	2.4805	0.007038
13	-0.024794	-0.3261	0.372367
14	0.127893	1.6822	0.04717
15	-0.007554	-0.0994	0.460484
16	0.042304	0.5564	0.289318
17	0.00763	0.1004	0.460091
18	0.08889	1.1692	0.121973
19	0.036504	0.4801	0.315869
20	0.033747	0.4439	0.328846
21	0.116011	1.5259	0.064432
22	-0.117675	-1.5478	0.061752
23	-0.264835	-3.4834	0.000314
24	-0.015877	-0.2088	0.417415
25	-0.080009	-1.0523	0.147053
26	-0.043517	-0.5724	0.283905
27	-0.028034	-0.3687	0.356392
28	-0.00823	-0.1083	0.456961
29	-0.019874	-0.2614	0.397047
30	-0.000209	-0.0028	0.498904
31	-0.043205	-0.5683	0.285295
32	-0.046251	-0.6083	0.271882
33	0.060004	0.7892	0.215529
34	-0.048539	-0.6384	0.262017
35	-0.08471	-1.1142	0.133371
36	0.037828	0.4976	0.309716
37	0.027302	0.3591	0.359976
38	-0.010186	-0.134	0.44679
39	-0.034545	-0.4544	0.325066
40	0.051886	0.6825	0.247932
41	0.011621	0.1528	0.439348
42	-0.019289	-0.2537	0.400011
43	0.008903	0.1171	0.453458
44	-0.02035	-0.2677	0.39464
45	-0.074747	-0.9831	0.163456
46	0.015244	0.2005	0.420663
47	-0.091378	-1.2019	0.115524
48	0.026218	0.3448	0.365314

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273093772ra0ava9aknj8oih/11se91273093689.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273093772ra0ava9aknj8oih/11se91273093689.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273093772ra0ava9aknj8oih/21se91273093689.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273093772ra0ava9aknj8oih/21se91273093689.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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