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opgave 6 bis oefening 2 stap 1 rosewijn - Kathleen Geets

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 13 May 2009 03:26:55 -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/13/t1242206887dbh253cnesmb168.htm/, Retrieved Wed, 13 May 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/May/13/t1242206887dbh253cnesmb168.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 «

112 118 129 99 116 168 118 129 205 147 150 267 126 129 124 97 102 127 222 214 118 141 154 226 89 77 82 97 127 121 117 117 106 112 134 169 75 108 115 85 101 108 109 124 105 95 135 164 88 85 112 87 91 87 87 142 95 108 139 159 61 82 124 93 108 75 87 103 90 108 123 129 57 65 67 71 76 67 110 118 99 85 107 141 58 65 70 86 93 74 87 73 101 100 96 157 63 115 70 66 67 83 79 77 102 116 100 135 71 60 89 74 73 91 86 74 87 87 109 137 43 69 73 77 69 76 78 70 83 65 110 132 54 55 66 65 60 65 96 55 71 63 74 106 34 47 56 53 53 55 67 52 46 51 58 91 33 40 46 45 41 55 57 54 46 52 48 77 30 35 42 48 44 45 0 0 46 51 63 84 30 39 45 52 28 40 62

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	0.609454	8.3342	0
2	0.493155	6.7438	0
3	0.537022	7.3437	0
4	0.494582	6.7633	0
5	0.478489	6.5432	0
6	0.431621	5.9023	0
7	0.454752	6.2186	0
8	0.466408	6.378	0
9	0.483036	6.6054	0
10	0.466423	6.3782	0
11	0.491787	6.7251	0
12	0.658929	9.0107	0
13	0.416821	5.6999	0
14	0.363203	4.9667	1e-06
15	0.381208	5.2129	0
16	0.355239	4.8578	1e-06
17	0.340133	4.6513	3e-06
18	0.292272	3.9968	4.6e-05
19	0.276042	3.7748	0.000107
20	0.277634	3.7966	9.9e-05
21	0.295231	4.0372	3.9e-05
22	0.256452	3.5069	0.000284
23	0.309066	4.2264	1.9e-05
24	0.47839	6.5419	0
25	0.274987	3.7604	0.000113
26	0.240086	3.2831	0.000613
27	0.267723	3.6611	0.000163
28	0.238966	3.2678	0.000645
29	0.213311	2.917	0.001984
30	0.166116	2.2716	0.012125
31	0.156727	2.1432	0.016694
32	0.173845	2.3773	0.009225
33	0.203561	2.7836	0.002964
34	0.158049	2.1613	0.015972
35	0.217501	2.9743	0.001662
36	0.364018	4.9779	1e-06
37	0.177926	2.4331	0.007955
38	0.142895	1.9541	0.026093
39	0.171964	2.3516	0.009868
40	0.158119	2.1622	0.015935
41	0.119888	1.6394	0.051401
42	0.069662	0.9526	0.171007
43	0.074984	1.0254	0.153251
44	0.078756	1.077	0.141441
45	0.108728	1.4868	0.069372
46	0.092259	1.2616	0.104327
47	0.125794	1.7202	0.043525
48	0.258364	3.5331	0.000259

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.609454	8.3342	0
2	0.193647	2.6481	0.004393
3	0.291985	3.9928	4.7e-05
4	0.105433	1.4418	0.075518
5	0.125884	1.7214	0.043413
6	0.009227	0.1262	0.449862
7	0.124704	1.7053	0.044899
8	0.08712	1.1914	0.117513
9	0.139663	1.9099	0.028841
10	0.049936	0.6829	0.24777
11	0.130826	1.789	0.037615
12	0.386385	5.2837	0
13	-0.314534	-4.3012	1.4e-05
14	-0.033278	-0.4551	0.324792
15	-0.150773	-2.0618	0.020306
16	-0.001396	-0.0191	0.492396
17	-0.071286	-0.9748	0.165453
18	-0.032597	-0.4458	0.328146
19	-0.12763	-1.7453	0.041286
20	-0.054659	-0.7474	0.227866
21	-0.024915	-0.3407	0.366851
22	-0.088863	-1.2152	0.112913
23	0.144955	1.9822	0.024459
24	0.256521	3.5079	0.000283
25	-0.027225	-0.3723	0.355045
26	0.036748	0.5025	0.307947
27	0.004471	0.0611	0.475656
28	-0.007708	-0.1054	0.458084
29	-0.023806	-0.3255	0.37257
30	-0.007423	-0.1015	0.459629
31	-0.022785	-0.3116	0.377852
32	0.001964	0.0269	0.489302
33	0.001474	0.0202	0.491968
34	-0.104181	-1.4247	0.077961
35	0.035221	0.4816	0.315313
36	0.084053	1.1494	0.125927
37	-0.050751	-0.694	0.244269
38	-0.03511	-0.4801	0.315851
39	-0.01037	-0.1418	0.443693
40	0.001883	0.0258	0.48974
41	-0.066743	-0.9127	0.181289
42	-0.033893	-0.4635	0.321781
43	0.006323	0.0865	0.465592
44	-0.032108	-0.4391	0.330557
45	0.024083	0.3293	0.371139
46	0.058731	0.8031	0.211458
47	-0.013731	-0.1878	0.425631
48	0.101868	1.393	0.082634

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242206887dbh253cnesmb168/1pnwi1242206813.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242206887dbh253cnesmb168/1pnwi1242206813.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242206887dbh253cnesmb168/2v0s21242206813.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242206887dbh253cnesmb168/2v0s21242206813.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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