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Opgave 6 Stap 2

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 14 Nov 2010 22:28:10 +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/Nov/14/t1289773630jzasblbv8kpupp6.htm/, Retrieved Sun, 14 Nov 2010 23:27:10 +0100

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/Nov/14/t1289773630jzasblbv8kpupp6.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:

Mijn eigen cijferreeks

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W11

Dataseries X:

» Textbox « » Textfile « » CSV «

361,58 363,19 363,61 364,14 365,51 365,51 365,5 365,5 364,59 364,63 364,54 363,67 365,22 369,05 370,45 370,46 370,46 370,58 370,58 370,22 370,21 370,29 370,29 370,2 370,2 372,55 374,51 375,58 375,75 375,75 375,75 375,69 375,76 377,5 377,51 377,74 369,82 373,1 374,55 375,01 374,81 375,31 375,31 375,39 375,59 376,26 377,18 377,26 377,26 381,87 387,09 387,14 388,78 389,16 389,16 389,42 389,49 388,97 388,97 389,09 389,09 391,76 390,96 391,76 392,8 393,06 393,06 393,26 393,87 394,47 394,57 394,57 394,57 399,57 406,13 407,03 409,46 409,9 409,9 410,14 410,54 410,69 410,79 410,97

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	0.152601	1.3903	0.084083
2	-0.011123	-0.1013	0.459764
3	-0.043048	-0.3922	0.347965
4	-0.018444	-0.168	0.433483
5	-0.071258	-0.6492	0.259002
6	-0.060955	-0.5553	0.290083
7	-0.092819	-0.8456	0.200098
8	-0.053607	-0.4884	0.313284
9	-0.066384	-0.6048	0.273485
10	-0.117246	-1.0682	0.144272
11	0.015685	0.1429	0.443358
12	0.236497	2.1546	0.017046
13	0.016219	0.1478	0.441444
14	-0.175877	-1.6023	0.056443
15	0.017032	0.1552	0.438532
16	-0.085295	-0.7771	0.219662
17	-0.047413	-0.432	0.333449
18	-0.057992	-0.5283	0.29934
19	-0.038816	-0.3536	0.362258
20	-0.01402	-0.1277	0.449335
21	0.023788	0.2167	0.414479
22	-0.033559	-0.3057	0.380286
23	0.026135	0.2381	0.406196
24	0.349096	3.1804	0.001034
25	0.1321	1.2035	0.116105
26	0.07823	0.7127	0.239011
27	0.0069	0.0629	0.475014
28	0.008838	0.0805	0.468011
29	-0.051068	-0.4652	0.321486
30	-0.041211	-0.3754	0.354143
31	-0.044241	-0.4031	0.343971
32	-0.088635	-0.8075	0.210843
33	-0.054953	-0.5006	0.308972
34	-0.032114	-0.2926	0.385291
35	0.005338	0.0486	0.480667
36	0.206647	1.8826	0.031626
37	-0.001017	-0.0093	0.496314
38	-0.211514	-1.927	0.028702
39	-0.026737	-0.2436	0.404075
40	-0.077772	-0.7085	0.240299
41	-0.033668	-0.3067	0.379909
42	-0.055191	-0.5028	0.308215
43	-0.031949	-0.2911	0.385863
44	-0.076769	-0.6994	0.24313
45	-0.03658	-0.3333	0.369891
46	0.015344	0.1398	0.444581
47	0.056657	0.5162	0.303554
48	0.132799	1.2099	0.114884

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.152601	1.3903	0.084083
2	-0.035231	-0.321	0.374521
3	-0.036816	-0.3354	0.369081
4	-0.006578	-0.0599	0.476178
5	-0.070875	-0.6457	0.260127
6	-0.042506	-0.3872	0.349783
7	-0.083301	-0.7589	0.225028
8	-0.036751	-0.3348	0.369304
9	-0.065153	-0.5936	0.277208
10	-0.118977	-1.0839	0.140768
11	0.034436	0.3137	0.377259
12	0.213715	1.947	0.027456
13	-0.07756	-0.7066	0.240894
14	-0.19928	-1.8155	0.036527
15	0.072341	0.6591	0.255843
16	-0.127517	-1.1617	0.124336
17	-0.039818	-0.3628	0.358855
18	-0.044246	-0.4031	0.343957
19	-0.040518	-0.3691	0.356483
20	-0.024277	-0.2212	0.412751
21	0.006088	0.0555	0.477951
22	-0.021259	-0.1937	0.423451
23	-0.026802	-0.2442	0.403847
24	0.281225	2.5621	0.006106
25	0.040915	0.3728	0.355141
26	0.120115	1.0943	0.138494
27	-0.036159	-0.3294	0.371333
28	0.033228	0.3027	0.381429
29	0.013848	0.1262	0.449955
30	-0.031378	-0.2859	0.387845
31	0.055013	0.5012	0.308783
32	-0.100651	-0.917	0.180907
33	0.007808	0.0711	0.471731
34	0.054968	0.5008	0.308926
35	0.032633	0.2973	0.383491
36	0.091946	0.8377	0.20231
37	-0.088627	-0.8074	0.210862
38	-0.170712	-1.5553	0.061844
39	0.02307	0.2102	0.417021
40	-0.025232	-0.2299	0.409376
41	-0.030309	-0.2761	0.391568
42	-0.007043	-0.0642	0.474497
43	-0.037449	-0.3412	0.366918
44	-0.059627	-0.5432	0.294216
45	-0.056244	-0.5124	0.304865
46	-0.001045	-0.0095	0.496214
47	0.003251	0.0296	0.488221
48	-0.09005	-0.8204	0.207171

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289773630jzasblbv8kpupp6/19id91289773686.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289773630jzasblbv8kpupp6/19id91289773686.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289773630jzasblbv8kpupp6/29id91289773686.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/14/t1289773630jzasblbv8kpupp6/29id91289773686.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 1 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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