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Opgave 6B visproducten autocorrelatie

*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, 22 Nov 2010 14:39:16 +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/22/t1290436681dwedkbsx769y3va.htm/, Retrieved Mon, 22 Nov 2010 15:38:02 +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/22/t1290436681dwedkbsx769y3va.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 «

96,1 96,5 96,9 97,8 98,9 100,2 101,2 101 101,6 102,4 103,7 103,7 104,6 104,5 104,5 105,6 106,1 107,6 107,7 108,3 108,1 108,1 108 108,2 108,9 109,8 109,9 109,8 110,9 111,1 112,2 112,7 114,6 114,2 114,7 114,7 116 116,3 116,4 116,6 118,1 117,2 108,3 109,5 110,5 110,6 111,2 111,1 111 112,4 112,5 112,4 111,8 111,6 112,9 112,8 113,7 113,8 114 113,8 113,9 114,4 114,4 114,5 113,8 114,3 115 115,4 115,3 114,9 114,3 114,5 115,5 115,8 115,8 116 114,9 114,1 114,1 113,5 115 114,7 115,4 116,1 116,6 117,2 118,2 118 117,7 118,5 117,5 118 117,7 116,3 115 115,7 113,6 114,8 114,9 117,3 117,3 117,7 120 119,6 119,2 117,3 117,5 119 112,5 118,9 118,4 119,4 120,6 118,6 122 122,6 120,6 117,4 116,4 122,2 121 122,4 124,9 126,1 124,5 123,2 126,4 123,9 116 126,6 125,9 126,6 116,7 126,4 129 128,7 128,4 129,2 133,3 128,9 132,7 127,7 131,8 133,9

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	-0.363929	-4.352	1.3e-05
2	-0.045842	-0.5482	0.292207
3	-0.106044	-1.2681	0.103412
4	0.221843	2.6529	0.004442
5	0.017442	0.2086	0.417536
6	-0.314427	-3.76	0.000123
7	0.183974	2.2	0.014706
8	-0.051912	-0.6208	0.267866
9	0.044311	0.5299	0.298509
10	-0.02243	-0.2682	0.394456
11	0.042875	0.5127	0.304472
12	0.01785	0.2135	0.415639
13	-0.070435	-0.8423	0.20052
14	0.045326	0.542	0.294323
15	0.063799	0.7629	0.223382
16	-0.066495	-0.7952	0.213917
17	0.027625	0.3304	0.370809
18	-0.107072	-1.2804	0.10124
19	0.042756	0.5113	0.304968
20	0.119334	1.427	0.077876
21	-0.090839	-1.0863	0.139593
22	0.033435	0.3998	0.344939
23	-0.044989	-0.538	0.295712
24	0.194154	2.3217	0.010829
25	-0.146551	-1.7525	0.040916
26	-0.030003	-0.3588	0.360141
27	0.031858	0.381	0.351895
28	0.016903	0.2021	0.420052
29	0.015363	0.1837	0.427251
30	-0.107314	-1.2833	0.100734
31	0.108878	1.302	0.097506
32	-0.044793	-0.5356	0.296517
33	-0.025649	-0.3067	0.379754
34	0.056679	0.6778	0.249503
35	-0.010989	-0.1314	0.447819
36	0.039548	0.4729	0.318493
37	-0.044013	-0.5263	0.299741
38	0.002529	0.0302	0.487958
39	-0.011651	-0.1393	0.444694
40	-0.011374	-0.136	0.446
41	0.002414	0.0289	0.488507
42	-0.035044	-0.4191	0.337898
43	0.0107	0.128	0.449184
44	-0.020089	-0.2402	0.405248
45	0.002068	0.0247	0.490154
46	-0.00911	-0.1089	0.456701
47	-0.005347	-0.0639	0.474551
48	0.00986	0.1179	0.453154

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.363929	-4.352	1.3e-05
2	-0.205504	-2.4575	0.007594
3	-0.241835	-2.8919	0.002214
4	0.086607	1.0357	0.151053
5	0.145968	1.7455	0.04152
6	-0.270963	-3.2402	0.000743
7	0.006981	0.0835	0.466794
8	-0.088162	-1.0543	0.14677
9	-0.090367	-1.0806	0.140841
10	0.114388	1.3679	0.086747
11	0.07442	0.8899	0.187498
12	-0.009172	-0.1097	0.456407
13	0.010695	0.1279	0.449207
14	-0.041947	-0.5016	0.308356
15	0.081597	0.9758	0.165415
16	0.027508	0.3289	0.371339
17	0.0687	0.8215	0.206356
18	-0.098756	-1.181	0.119791
19	-0.127617	-1.5261	0.0646
20	0.149126	1.7833	0.038331
21	0.013325	0.1593	0.436811
22	0.052252	0.6248	0.266536
23	0.072314	0.8648	0.194312
24	0.078194	0.9351	0.175664
25	-0.040966	-0.4899	0.312484
26	0.000666	0.008	0.496831
27	-0.008782	-0.105	0.458256
28	0.00417	0.0499	0.480148
29	0.047886	0.5726	0.283895
30	-0.023861	-0.2853	0.387901
31	-0.019665	-0.2352	0.407213
32	-0.021972	-0.2627	0.396562
33	-0.05682	-0.6795	0.248969
34	0.040964	0.4899	0.312494
35	0.007089	0.0848	0.46628
36	0.041217	0.4929	0.311424
37	0.042621	0.5097	0.305532
38	-0.049056	-0.5866	0.279191
39	-0.066349	-0.7934	0.214426
40	-0.009666	-0.1156	0.454073
41	-0.029767	-0.356	0.361196
42	-0.00047	-0.0056	0.497763
43	-0.033231	-0.3974	0.345839
44	-0.138672	-1.6583	0.049727
45	-0.065878	-0.7878	0.216062
46	-0.067313	-0.8049	0.211093
47	-0.029655	-0.3546	0.361699
48	-0.018343	-0.2194	0.413343

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436681dwedkbsx769y3va/15i6b1290436752.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436681dwedkbsx769y3va/15i6b1290436752.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436681dwedkbsx769y3va/25i6b1290436752.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t1290436681dwedkbsx769y3va/25i6b1290436752.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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