Home » date » 2010 » Nov » 20 »

oef 6 bis oef 2 stap 2 (juiste)

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 20 Nov 2010 16:45:34 +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/20/t1290271508qp272cq6x4bdzs9.htm/, Retrieved Sat, 20 Nov 2010 17:45:09 +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/20/t1290271508qp272cq6x4bdzs9.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

102,8 106,3 103,7 106,9 104,3 105,4 96,2 95,7 95,9 93,6 94,7 94,5 96,6 96,7 98,9 102 105,2 106,4 99,3 96,4 93,1 95,6 93,3 96,7 105,6 105,2 107 104,9 104,5 105,2 99,7 100,2 98,5 98,4 97,1 98,4 100,6 111,3 119 117,8 108,8 109,3 103,5 103,7 110 105,5 110,4 106,7 110,2 105,2 108 108,1 107,2 106 99,4 100,2 100,3 100,8 99,5 100,2 103 111 120,5 109,5 106,6 105,5 103,9 104,9 104,8 99,6 97 95,4 99,3 103,9 107,4 107,4 111 113,2 108,5 113,3 113,8 105,3 107,5 109,4 118,9 119 115 124,1 120,5 117,7 117,1 118,1 119,6 118,8 124,9 124 124,9 121,7 121,6 125,1 127,9 129 130,1 130,3 127,9 124,1 125,7 129,2 129,2 132,6 131,5 131 125,8 127,2 127,3 127,5 122 118,4 118,3 115,5

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	0.002625	0.0286	0.4886
2	-0.003594	-0.0392	0.484397
3	-0.129402	-1.4116	0.080338
4	-0.154044	-1.6804	0.047749
5	-0.039807	-0.4342	0.332449
6	-0.179286	-1.9558	0.026418
7	0.074621	0.814	0.208629
8	-0.099271	-1.0829	0.140516
9	0.001928	0.021	0.491626
10	-0.039932	-0.4356	0.331957
11	0.086824	0.9471	0.172745
12	0.197732	2.157	0.016508
13	0.010011	0.1092	0.456613
14	0.103499	1.129	0.130575
15	0.080151	0.8743	0.191847
16	-0.092293	-1.0068	0.158037
17	-0.091117	-0.994	0.161127
18	-0.090129	-0.9832	0.163753
19	-0.185334	-2.0218	0.022722
20	-0.061474	-0.6706	0.251885
21	-0.066023	-0.7202	0.236399
22	0.134301	1.4651	0.072772
23	0.198362	2.1639	0.016236
24	0.157793	1.7213	0.043896
25	-0.027464	-0.2996	0.382503
26	-0.03717	-0.4055	0.342928
27	0.036886	0.4024	0.344065
28	-0.106342	-1.1601	0.124174
29	-0.013561	-0.1479	0.441324
30	-0.101273	-1.1048	0.135746
31	-0.104615	-1.1412	0.128037
32	-0.124238	-1.3553	0.088949
33	-0.057229	-0.6243	0.266815
34	0.096738	1.0553	0.146716
35	0.003228	0.0352	0.485983
36	0.193371	2.1094	0.018502
37	-0.052319	-0.5707	0.284628
38	0.085901	0.9371	0.175312
39	0.017671	0.1928	0.423733
40	-0.120211	-1.3114	0.096132
41	0.130397	1.4225	0.078754
42	-0.180445	-1.9684	0.025673
43	-0.039199	-0.4276	0.334855
44	-0.183088	-1.9973	0.02404
45	0.013569	0.148	0.441289
46	0.085101	0.9283	0.177554
47	0.071077	0.7754	0.219834
48	0.116117	1.2667	0.103871

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.002625	0.0286	0.4886
2	-0.003601	-0.0393	0.484367
3	-0.129385	-1.4114	0.080364
4	-0.156051	-1.7023	0.045654
5	-0.044955	-0.4904	0.312378
6	-0.207783	-2.2666	0.012609
7	0.024616	0.2685	0.394379
8	-0.154592	-1.6864	0.047169
9	-0.077475	-0.8452	0.199861
10	-0.116613	-1.2721	0.10291
11	0.038949	0.4249	0.335846
12	0.120322	1.3126	0.09593
13	0.001429	0.0156	0.493796
14	0.077037	0.8404	0.201192
15	0.178285	1.9449	0.027076
16	-0.042222	-0.4606	0.322968
17	0.002011	0.0219	0.491268
18	0.013635	0.1487	0.441004
19	-0.194976	-2.1269	0.017745
20	-0.054363	-0.593	0.277144
21	-0.105939	-1.1557	0.125067
22	0.032357	0.353	0.362366
23	0.129939	1.4175	0.079479
24	0.111731	1.2188	0.112658
25	-0.072183	-0.7874	0.216299
26	-0.01328	-0.1449	0.442529
27	0.037758	0.4119	0.340578
28	-0.033998	-0.3709	0.355696
29	-0.034656	-0.3781	0.353033
30	-0.057092	-0.6228	0.267303
31	-0.06378	-0.6958	0.243969
32	-0.121051	-1.3205	0.0946
33	-0.048981	-0.5343	0.297057
34	0.00435	0.0475	0.481115
35	-0.167599	-1.8283	0.035006
36	0.06745	0.7358	0.231651
37	-0.159201	-1.7367	0.042516
38	-0.06712	-0.7322	0.232746
39	0.014184	0.1547	0.438647
40	-0.10598	-1.1561	0.124977
41	0.157777	1.7211	0.043912
42	-0.055348	-0.6038	0.273572
43	0.006954	0.0759	0.469831
44	-0.107448	-1.1721	0.121746
45	-0.042302	-0.4615	0.322656
46	-0.006268	-0.0684	0.472803
47	0.029578	0.3227	0.37376
48	-0.052274	-0.5702	0.284795

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290271508qp272cq6x4bdzs9/1wwdk1290271530.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290271508qp272cq6x4bdzs9/1wwdk1290271530.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290271508qp272cq6x4bdzs9/2wwdk1290271530.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290271508qp272cq6x4bdzs9/2wwdk1290271530.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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