Home » date » 2009 » May » 08 »

opgave 6 bis, oefening 2, 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, 08 May 2009 05:42:37 -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/t1241783024ob3jediqjin1a85.htm/, Retrieved Fri, 08 May 2009 13:43:46 +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/t1241783024ob3jediqjin1a85.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.03787	-0.3691	0.356433
2	-0.029448	-0.287	0.38736
3	-0.099679	-0.9716	0.16687
4	0.000965	0.0094	0.496259
5	-0.104457	-1.0181	0.155602
6	-0.03066	-0.2988	0.382858
7	-0.126577	-1.2337	0.110175
8	0.082469	0.8038	0.211757
9	0.095583	0.9316	0.176944
10	-0.012136	-0.1183	0.453044
11	0.130277	1.2698	0.103632
12	0.219844	2.1428	0.017344
13	-0.085477	-0.8331	0.203432
14	-0.146928	-1.4321	0.077701
15	0.025355	0.2471	0.402672
16	-0.004244	-0.0414	0.483547
17	0.004904	0.0478	0.480989
18	0.018647	0.1817	0.428084
19	0.053069	0.5173	0.30309
20	-0.032617	-0.3179	0.375625
21	-0.016262	-0.1585	0.4372
22	0.004374	0.0426	0.483041
23	-0.020314	-0.198	0.421734
24	0.193642	1.8874	0.031081
25	-0.047973	-0.4676	0.320578
26	-0.081223	-0.7917	0.215264
27	0.077274	0.7532	0.226604
28	-0.110865	-1.0806	0.141311
29	-0.043646	-0.4254	0.33575
30	0.058038	0.5657	0.286472
31	-0.128843	-1.2558	0.106133
32	0.0543	0.5292	0.298934
33	0.04746	0.4626	0.322359
34	-0.012951	-0.1262	0.449907
35	-0.059577	-0.5807	0.281415
36	0.02895	0.2822	0.389214
37	-0.094539	-0.9215	0.179574
38	-0.027321	-0.2663	0.395297
39	-0.005016	-0.0489	0.480556
40	-0.169549	-1.6526	0.050861
41	0.126495	1.2329	0.110324
42	-0.005145	-0.0501	0.480056
43	0.068652	0.6691	0.252514
44	-0.026442	-0.2577	0.398588
45	0.051951	0.5064	0.306892
46	-0.106633	-1.0393	0.150646
47	-0.059464	-0.5796	0.281783
48	-0.006661	-0.0649	0.474187

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.03787	-0.3691	0.356433
2	-0.030927	-0.3014	0.381871
3	-0.102244	-0.9966	0.160756
4	-0.008248	-0.0804	0.468047
5	-0.112711	-1.0986	0.137366
6	-0.051802	-0.5049	0.307399
7	-0.143882	-1.4024	0.082029
8	0.044146	0.4303	0.333982
9	0.08162	0.7955	0.214144
10	-0.039876	-0.3887	0.349197
11	0.145776	1.4209	0.079317
12	0.238628	2.3259	0.011077
13	-0.049071	-0.4783	0.316773
14	-0.110251	-1.0746	0.142639
15	0.090383	0.8809	0.190285
16	0.030363	0.2959	0.383961
17	0.004251	0.0414	0.483518
18	0.068662	0.6692	0.252486
19	0.094178	0.9179	0.180489
20	-0.117143	-1.1418	0.128209
21	-0.087309	-0.851	0.198459
22	0.068119	0.6639	0.254167
23	-0.0891	-0.8684	0.19367
24	0.158485	1.5447	0.062869
25	0.06877	0.6703	0.252151
26	-0.067191	-0.6549	0.25706
27	0.032096	0.3128	0.377545
28	-0.16522	-1.6104	0.055318
29	-0.028676	-0.2795	0.390234
30	0.044133	0.4302	0.33403
31	-0.150298	-1.4649	0.073122
32	0.122609	1.195	0.117522
33	0.004968	0.0484	0.480743
34	-0.091212	-0.889	0.188118
35	-0.127396	-1.2417	0.108702
36	-0.101533	-0.9896	0.162436
37	-0.028491	-0.2777	0.390924
38	-0.038576	-0.376	0.35388
39	0.025603	0.2496	0.401737
40	-0.13499	-1.3157	0.095717
41	0.053191	0.5184	0.302679
42	-0.094621	-0.9222	0.179368
43	0.058862	0.5737	0.283759
44	-0.002039	-0.0199	0.492095
45	0.040019	0.3901	0.348682
46	-0.007908	-0.0771	0.469363
47	-0.030817	-0.3004	0.382278
48	0.033165	0.3233	0.373606

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t1241783024ob3jediqjin1a85/174vi1241782955.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t1241783024ob3jediqjin1a85/174vi1241782955.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t1241783024ob3jediqjin1a85/2mjgc1241782955.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/08/t1241783024ob3jediqjin1a85/2mjgc1241782955.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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