Home » date » 2009 » Jul » 03 »

Opgave 6, oefening 1, stap 2 deel 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 03:29:56 -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/t12466134506wxgyjt332a4im1.htm/, Retrieved Fri, 03 Jul 2009 11:30:52 +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/t12466134506wxgyjt332a4im1.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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.245839	-2.8138	0.002826
2	0.222269	2.544	0.00606
3	-0.028451	-0.3256	0.372607
4	0.093358	1.0685	0.143624
5	-0.062694	-0.7176	0.237153
6	0.122932	1.407	0.080894
7	0.036839	0.4216	0.336988
8	-0.013249	-0.1516	0.43985
9	-0.00283	-0.0324	0.487105
10	-0.027639	-0.3163	0.376123
11	0.013617	0.1559	0.438193
12	-0.060555	-0.6931	0.244742
13	0.086643	0.9917	0.161592
14	-0.192323	-2.2012	0.014735
15	0.144022	1.6484	0.050832
16	-0.171248	-1.96	0.026058
17	0.010336	0.1183	0.453007
18	0.082208	0.9409	0.174242
19	0.020185	0.231	0.408826
20	0.056181	0.643	0.260666
21	0.126463	1.4474	0.075082
22	0.021006	0.2404	0.405189
23	-0.037435	-0.4285	0.334507
24	-0.01842	-0.2108	0.416675
25	0.048846	0.5591	0.288537
26	-0.005333	-0.061	0.475712
27	0.084297	0.9648	0.168204
28	-0.067119	-0.7682	0.221873
29	0.072697	0.8321	0.203447
30	0.041195	0.4715	0.319036
31	0.123518	1.4137	0.079906
32	-0.169127	-1.9357	0.027527
33	0.144629	1.6554	0.050123
34	-0.100238	-1.1473	0.126678
35	0.043935	0.5029	0.307953
36	-0.05055	-0.5786	0.281935
37	0.117718	1.3473	0.090097
38	-0.113902	-1.3037	0.097316
39	0.080852	0.9254	0.17823
40	-0.016241	-0.1859	0.42641
41	-0.031572	-0.3614	0.359208
42	0.056685	0.6488	0.258807
43	-0.036367	-0.4162	0.338959
44	-0.029565	-0.3384	0.367807
45	-0.07834	-0.8966	0.185777
46	0.05225	0.598	0.275429
47	-0.089845	-1.0283	0.152846
48	0.08599	0.9842	0.163414

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.245839	-2.8138	0.002826
2	0.172242	1.9714	0.025393
3	0.06485	0.7422	0.229634
4	0.068266	0.7813	0.218007
5	-0.042288	-0.484	0.314592
6	0.079704	0.9122	0.181657
7	0.103468	1.1842	0.119231
8	-0.026615	-0.3046	0.380568
9	-0.045573	-0.5216	0.301414
10	-0.051951	-0.5946	0.276567
11	0.009645	0.1104	0.456133
12	-0.048505	-0.5552	0.289863
13	0.052103	0.5963	0.275987
14	-0.160269	-1.8344	0.034435
15	0.065087	0.745	0.228817
16	-0.063374	-0.7254	0.234765
17	-0.078586	-0.8995	0.18503
18	0.155714	1.7822	0.038515
19	0.06636	0.7595	0.22445
20	0.091869	1.0515	0.147484
21	0.157987	1.8082	0.036432
22	0.049084	0.5618	0.28761
23	-0.056531	-0.647	0.259374
24	-0.116387	-1.3321	0.092569
25	-0.005293	-0.0606	0.475893
26	-0.011015	-0.1261	0.449934
27	0.080786	0.9246	0.178427
28	-0.120931	-1.3841	0.084338
29	0.069427	0.7946	0.214134
30	0.126312	1.4457	0.075323
31	0.176324	2.0181	0.02281
32	-0.135297	-1.5485	0.061952
33	-0.028034	-0.3209	0.374411
34	0.021007	0.2404	0.405183
35	0.063215	0.7235	0.235323
36	-0.053399	-0.6112	0.271069
37	0.053593	0.6134	0.270337
38	-0.075439	-0.8634	0.194736
39	0.017285	0.1978	0.42174
40	-0.041507	-0.4751	0.317763
41	-0.054851	-0.6278	0.265615
42	0.019992	0.2288	0.409685
43	0.046557	0.5329	0.297512
44	-0.058241	-0.6666	0.253101
45	-0.027105	-0.3102	0.378438
46	0.006475	0.0741	0.470518
47	0.013265	0.1518	0.439778
48	-0.03344	-0.3827	0.351265

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t12466134506wxgyjt332a4im1/1sqbp1246613394.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t12466134506wxgyjt332a4im1/1sqbp1246613394.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t12466134506wxgyjt332a4im1/2cyax1246613394.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jul/03/t12466134506wxgyjt332a4im1/2cyax1246613394.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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