Home » date » 2010 » Nov » 22 »

opdracht 6 bis oefening 2 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: Mon, 22 Nov 2010 15:02:03 +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/t129043818951jxyhfciv0bp5u.htm/, Retrieved Mon, 22 Nov 2010 16:03:11 +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/t129043818951jxyhfciv0bp5u.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:

Dit is dus de juiste blog met betrekking tot oefening 2 stap 2 MVG Nicolas Norga

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

132.1 125 127.1 101.5 85.7 79.3 70.9 77.1 83.9 96.2 111.7 127.2 143.6 134.9 135.6 105.3 86.4 74.6 67.6 73.4 78.5 98.2 118.6 136.9 137.9 115.6 119.3 98.5 84.3 73.5 60.7 69.5 77.9 113.9 126.3 135.1 130.5 113.1 110 90.8 85.4 72.5 64.7 67.2 77.9 105.2 107.2 120.7 121.3 107.9 105.6 81.3 71.7 64.8 57.3 61.9 70.1 88.8 106.8 110.7 114.1 108 111.5 86.8 78.4 68 57.3 65.3 73.3 88.6 101.3 122.9 126.6 114.1 124.7 93.3 77.2 66.5 57.9 63.7 65.8 85 101 105.3 121 117.9 106 86.6 79.9 65.2 61.2 67.6 78.9 95.5 113.1 124.4 122 110.3 114 93.3 75.5 65.4 59.2 63.8 74.2 91.7 107 120.7 127.4 119.7 112.7 84.4 75.6 66.5 59.9 64.8 74.3 100.4 105.9 131.1

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.529416	5.5019	0
2	0.241611	2.5109	0.006762
3	0.224704	2.3352	0.010691
4	0.11026	1.1459	0.127193
5	0.046482	0.4831	0.315016
6	0.060303	0.6267	0.266095
7	0.060402	0.6277	0.265756
8	-0.041744	-0.4338	0.332644
9	-0.032674	-0.3396	0.367423
10	0.113217	1.1766	0.120974
11	-0.014295	-0.1486	0.441091
12	-0.310766	-3.2296	0.000821
13	-0.162817	-1.692	0.04676
14	-0.112621	-1.1704	0.122209
15	-0.260876	-2.7111	0.003902
16	-0.135714	-1.4104	0.080651
17	-0.075518	-0.7848	0.217144
18	-0.048717	-0.5063	0.306847
19	0.022313	0.2319	0.408535
20	0.168769	1.7539	0.041142
21	0.230129	2.3916	0.009253
22	0.054435	0.5657	0.286384
23	0.004324	0.0449	0.482119
24	0.035943	0.3735	0.354743
25	-0.045157	-0.4693	0.319906
26	-0.003239	-0.0337	0.486606
27	0.157149	1.6331	0.052675
28	0.077933	0.8099	0.209887
29	0.107585	1.1181	0.133011
30	0.141422	1.4697	0.072275
31	0.105732	1.0988	0.13715
32	0.03902	0.4055	0.342953
33	-0.097664	-1.015	0.156197
34	-0.035223	-0.366	0.357522
35	-0.069616	-0.7235	0.235477
36	-0.158967	-1.652	0.050716

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.529416	5.5019	0
2	-0.05373	-0.5584	0.288872
3	0.164934	1.714	0.044695
4	-0.099111	-1.03	0.152658
5	0.024936	0.2591	0.398011
6	0.02176	0.2261	0.41076
7	0.027073	0.2814	0.389489
8	-0.122118	-1.2691	0.10357
9	0.049068	0.5099	0.305569
10	0.157747	1.6394	0.052025
11	-0.187204	-1.9455	0.027158
12	-0.357982	-3.7203	0.000159
13	0.220112	2.2875	0.012058
14	-0.070021	-0.7277	0.234192
15	-0.196033	-2.0372	0.022036
16	0.11792	1.2255	0.111534
17	-0.023499	-0.2442	0.403767
18	0.125177	1.3009	0.098034
19	0.056856	0.5909	0.277921
20	0.089134	0.9263	0.178176
21	0.143896	1.4954	0.068862
22	-0.050792	-0.5278	0.299344
23	-0.149056	-1.549	0.062149
24	-0.118569	-1.2322	0.110275
25	0.116508	1.2108	0.11431
26	0.026332	0.2736	0.392439
27	-0.012948	-0.1346	0.446604
28	-0.032679	-0.3396	0.367404
29	0.179831	1.8689	0.032176
30	-0.060665	-0.6304	0.264866
31	-0.02489	-0.2587	0.398193
32	0.033768	0.3509	0.363163
33	-0.019764	-0.2054	0.418827
34	0.082287	0.8551	0.197181
35	-0.136185	-1.4153	0.079932
36	-0.147686	-1.5348	0.063879

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/22/t129043818951jxyhfciv0bp5u/1gd3y1290438121.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t129043818951jxyhfciv0bp5u/1gd3y1290438121.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t129043818951jxyhfciv0bp5u/2gd3y1290438121.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/22/t129043818951jxyhfciv0bp5u/2gd3y1290438121.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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