Home » date » 2009 » Jul » 03 »

Opgave 6, oefening 1, stap 2, Sara Vandenberghe

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 03 Jul 2009 03:27:22 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jul/03/t1246613286vf6mppu9uzblyjg.htm/, Retrieved Fri, 03 Jul 2009 11:28:09 +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/2009/Jul/03/t1246613286vf6mppu9uzblyjg.htm/},
    year = {2009},
}
@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 = {2009},
    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:

Dataseries X:

» Textbox « » Textfile « » CSV «

9,26 9,29 9,28 9,31 9,27 9,27 9,28 9,25 9,32 9,33 9,31 9,3 9,29 9,33 9,35 9,35 9,37 9,37 9,35 9,33 9,34 9,37 9,33 9,31 9,26 9,27 9,29 9,27 9,29 9,31 9,33 9,35 9,34 9,35 9,38 9,43 9,47 9,5 9,55 9,58 9,61 9,57 9,61 9,65 9,62 9,63 9,62 9,63 9,65 9,72 9,75 9,77 9,78 9,82 9,84 9,9 9,94 9,96 10,03 10,03 10,12 10,12 10,05 10,14 10,17 10,2 10,2 10,35 10,43 10,52 10,57 10,57 10,57 10,65 10,57 10,61 10,63 10,71 10,72 10,77 10,79 10,82 10,9 10,83 10,92 10,91 10,88 10,87 11 10,99 11,03 11,04 10,99 10,9 11 10,99 10,92 10,98 11,15 11,19 11,33 11,38 11,4 11,45 11,56 11,61 11,82 11,77 11,85 11,82 11,92 11,86 11,87 11,94 11,86 11,92 11,83 11,91 11,93 11,99 11,96 12,12 11,85 12,01 12,1 12,21 12,31 12,31 12,39 12,35 12,41 12,51

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.977467	11.2302	0
2	0.956975	10.9948	0
3	0.935965	10.7534	0
4	0.914145	10.5027	0
5	0.892296	10.2517	0
6	0.870096	9.9966	0
7	0.8485	9.7485	0
8	0.827623	9.5087	0
9	0.808218	9.2857	0
10	0.790809	9.0857	0
11	0.768739	8.8321	0
12	0.748404	8.5985	0
13	0.727208	8.355	0
14	0.706426	8.1162	0
15	0.686259	7.8845	0
16	0.666279	7.655	0
17	0.645188	7.4126	0
18	0.624437	7.1742	0
19	0.601491	6.9106	0
20	0.578811	6.65	0
21	0.555631	6.3837	0
22	0.53082	6.0987	0
23	0.506547	5.8198	0
24	0.481227	5.5289	0
25	0.456186	5.2412	0
26	0.429745	4.9374	1e-06
27	0.406101	4.6658	4e-06
28	0.382213	4.3913	1.1e-05
29	0.359862	4.1345	3.1e-05
30	0.337673	3.8796	8.2e-05
31	0.31531	3.6226	0.000207
32	0.292944	3.3657	5e-04
33	0.2727	3.1331	0.001066
34	0.252169	2.8972	0.002205
35	0.234345	2.6924	0.004007
36	0.21727	2.4962	0.006892
37	0.199231	2.289	0.011834
38	0.180457	2.0733	0.020045
39	0.163588	1.8795	0.031191
40	0.144923	1.665	0.049139
41	0.125387	1.4406	0.076034
42	0.105326	1.2101	0.114201
43	0.085573	0.9832	0.163663
44	0.065705	0.7549	0.22583
45	0.047208	0.5424	0.294236
46	0.028494	0.3274	0.371951
47	0.00863	0.0992	0.460584
48	-0.011427	-0.1313	0.447874

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.977467	11.2302	0
2	0.034391	0.3951	0.346696
3	-0.02007	-0.2306	0.408998
4	-0.029982	-0.3445	0.365523
5	-0.013634	-0.1566	0.437884
6	-0.019154	-0.2201	0.41308
7	0.001377	0.0158	0.493703
8	0.00594	0.0682	0.472845
9	0.023189	0.2664	0.395165
10	0.036405	0.4183	0.338219
11	-0.112122	-1.2882	0.099967
12	0.015311	0.1759	0.430318
13	-0.028142	-0.3233	0.373478
14	-0.001375	-0.0158	0.49371
15	0.002932	0.0337	0.48659
16	-0.002322	-0.0267	0.489378
17	-0.037712	-0.4333	0.33276
18	-0.007374	-0.0847	0.466307
19	-0.067097	-0.7709	0.221074
20	-0.018768	-0.2156	0.414805
21	-0.012097	-0.139	0.444835
22	-0.057081	-0.6558	0.256543
23	-0.000444	-0.0051	0.49797
24	-0.039798	-0.4572	0.324125
25	-0.016037	-0.1842	0.42705
26	-0.053568	-0.6155	0.269659
27	0.046271	0.5316	0.297942
28	-0.026211	-0.3011	0.381889
29	0.029648	0.3406	0.366961
30	-0.02018	-0.2318	0.408508
31	-0.021523	-0.2473	0.402537
32	-0.015404	-0.177	0.429898
33	0.024843	0.2854	0.387883
34	-0.014061	-0.1615	0.435956
35	0.048062	0.5522	0.290876
36	0.018434	0.2118	0.416298
37	-0.047464	-0.5453	0.293228
38	-0.025736	-0.2957	0.383967
39	0.013757	0.1581	0.437328
40	-0.043406	-0.4987	0.309411
41	-0.035269	-0.4052	0.34299
42	-0.018016	-0.207	0.418169
43	-0.01689	-0.1941	0.423215
44	-0.006075	-0.0698	0.472231
45	-0.006861	-0.0788	0.468644
46	-0.023533	-0.2704	0.393649
47	-0.041397	-0.4756	0.317569
48	-0.030674	-0.3524	0.362542

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t1246613286vf6mppu9uzblyjg/17akb1246613238.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t1246613286vf6mppu9uzblyjg/17akb1246613238.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t1246613286vf6mppu9uzblyjg/204yy1246613238.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t1246613286vf6mppu9uzblyjg/204yy1246613238.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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