Home » date » 2009 » May » 08 »

Opgave 6 bis, oefening 2, stap 1, 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, 08 May 2009 05:40:01 -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/May/08/t124178287172ie08x3ca8g5su.htm/, Retrieved Fri, 08 May 2009 13:41:13 +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/May/08/t124178287172ie08x3ca8g5su.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 «

1,54 1,55 1,53 1,55 1,55 1,53 1,54 1,54 1,54 1,53 1,53 1,53 1,54 1,53 1,53 1,54 1,55 1,53 1,53 1,53 1,53 1,52 1,54 1,53 1,52 1,54 1,53 1,54 1,54 1,53 1,54 1,54 1,52 1,52 1,57 1,6 1,59 1,6 1,6 1,62 1,61 1,61 1,62 1,61 1,62 1,61 1,62 1,61 1,61 1,58 1,57 1,57 1,66 1,66 1,67 1,68 1,66 1,66 1,64 1,61 1,58 1,57 1,54 1,61 1,65 1,6 1,57 1,56 1,55 1,54 1,51 1,5 1,5 1,49 1,47 1,47 1,49 1,49 1,49 1,51 1,49 1,48 1,46 1,46 1,45 1,45 1,44 1,47 1,47 1,45 1,43 1,44 1,38 1,4 1,37 1,41

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.925665	9.0696	0
2	0.84196	8.2495	0
3	0.77048	7.5491	0
4	0.702657	6.8846	0
5	0.653574	6.4037	0
6	0.611943	5.9958	0
7	0.579682	5.6797	0
8	0.566995	5.5554	0
9	0.545287	5.3427	0
10	0.503447	4.9328	2e-06
11	0.465788	4.5638	7e-06
12	0.413988	4.0562	5.1e-05
13	0.341782	3.3488	0.00058
14	0.278316	2.7269	0.0038
15	0.236618	2.3184	0.011276
16	0.195235	1.9129	0.02937
17	0.160541	1.573	0.059507
18	0.118636	1.1624	0.12398
19	0.074536	0.7303	0.233494
20	0.024585	0.2409	0.405081
21	-0.028606	-0.2803	0.389931
22	-0.08037	-0.7875	0.216474
23	-0.126385	-1.2383	0.109309
24	-0.16728	-1.639	0.052243
25	-0.228933	-2.2431	0.013596
26	-0.282434	-2.7673	0.003391
27	-0.317824	-3.114	0.001216
28	-0.358262	-3.5102	0.000342
29	-0.383793	-3.7604	0.000146
30	-0.401524	-3.9341	7.9e-05
31	-0.415699	-4.073	4.8e-05
32	-0.399955	-3.9187	8.3e-05
33	-0.402707	-3.9457	7.6e-05
34	-0.433013	-4.2426	2.5e-05
35	-0.452308	-4.4317	1.2e-05
36	-0.462197	-4.5286	9e-06
37	-0.465676	-4.5627	7e-06
38	-0.44951	-4.4043	1.4e-05
39	-0.424009	-4.1544	3.5e-05
40	-0.397949	-3.8991	8.9e-05
41	-0.347476	-3.4046	0.000484
42	-0.313615	-3.0728	0.00138
43	-0.282436	-2.7673	0.003391
44	-0.258606	-2.5338	0.006451
45	-0.261145	-2.5587	0.006035
46	-0.269571	-2.6412	0.004822
47	-0.263787	-2.5846	0.005628
48	-0.242328	-2.3743	0.009785

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.925665	9.0696	0
2	-0.104064	-1.0196	0.155236
3	0.044708	0.438	0.331169
4	-0.025833	-0.2531	0.400362
5	0.096926	0.9497	0.17233
6	0.006507	0.0638	0.474648
7	0.055137	0.5402	0.295145
8	0.11768	1.153	0.125881
9	-0.066078	-0.6474	0.259451
10	-0.117916	-1.1553	0.12541
11	0.032777	0.3211	0.374399
12	-0.117423	-1.1505	0.126397
13	-0.16835	-1.6495	0.051158
14	0.004967	0.0487	0.480642
15	0.099834	0.9782	0.165224
16	-0.102251	-1.0019	0.159467
17	-0.022576	-0.2212	0.412704
18	-0.068543	-0.6716	0.251733
19	-0.045734	-0.4481	0.327545
20	-0.134174	-1.3146	0.095884
21	0.007777	0.0762	0.46971
22	-0.004233	-0.0415	0.483502
23	-0.057905	-0.5674	0.2859
24	-0.025079	-0.2457	0.40321
25	-0.193808	-1.8989	0.030289
26	-0.035406	-0.3469	0.364712
27	0.016614	0.1628	0.435514
28	-0.085962	-0.8423	0.20087
29	0.080958	0.7932	0.214801
30	0.007538	0.0739	0.470638
31	0.016859	0.1652	0.434573
32	0.162425	1.5914	0.0574
33	-0.142015	-1.3915	0.083652
34	-0.170743	-1.6729	0.048799
35	0.048089	0.4712	0.319292
36	0.095963	0.9402	0.174728
37	0.054371	0.5327	0.297727
38	0.077761	0.7619	0.223993
39	0.061348	0.6011	0.274601
40	-0.045393	-0.4448	0.328748
41	0.121517	1.1906	0.118369
42	-0.037453	-0.367	0.357228
43	0.075376	0.7385	0.230996
44	-0.081584	-0.7994	0.21303
45	-0.073295	-0.7181	0.237207
46	-0.023467	-0.2299	0.409318
47	-0.031629	-0.3099	0.378655
48	0.017154	0.1681	0.433438

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t124178287172ie08x3ca8g5su/1ml1q1241782798.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t124178287172ie08x3ca8g5su/1ml1q1241782798.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t124178287172ie08x3ca8g5su/204vs1241782798.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t124178287172ie08x3ca8g5su/204vs1241782798.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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