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Opgave 6bis Oefening 2 - Autocorrelatiefunctie - Wisselkoers Euro in Dollar - Anthony Van Trier

*Unverified author*

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 10:16:39 -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/t1242231476njkn0xg6c7l25ob.htm/, Retrieved Wed, 13 May 2009 18:17:56 +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/t1242231476njkn0xg6c7l25ob.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 «

1,1608 1,1208 1,0883 1,0704 1,0628 1,0378 1,0353 1,0604 1,0501 1,0706 1,0338 1,0110 1,0137 0,9834 0,9643 0,9470 0,9060 0,9492 0,9397 0,9041 0,8721 0,8552 0,8564 0,8973 0,9383 0,9217 0,9095 0,8920 0,8742 0,8532 0,8607 0,9005 0,9111 0,9059 0,8883 0,8924 0,8833 0,8700 0,8758 0,8858 0,9170 0,9554 0,9922 0,9778 0,9808 0,9811 1,0014 1,0183 1,0622 1,0773 1,0807 1,0848 1,1582 1,1663 1,1372 1,1139 1,1222 1,1692 1,1702 1,2286 1,2613 1,2646 1,2262 1,1985 1,2007 1,2138 1,2266 1,2176 1,2218 1,2490 1,2991 1,3408 1,3119 1,3014 1,3201 1,2938 1,2694 1,2165 1,2037 1,2292 1,2256 1,2015 1,1786 1,1856 1,2103 1,1938 1,2020 1,2271 1,2770 1,2650 1,2684 1,2811 1,2727 1,2611 1,2881 1,3213 1,2999 1,3074 1,3242 1,3516 1,3511 1,3419 1,3716 1,3622 1,3896 1,4227 1,4684 1,4570 1,4718 1,4748 1,5527 1,5750 1,5557 1,5553 1,5770 1,4975 1,4369 1,3322 1,2732 1,3449 1,3239

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.984862	10.8335	0
2	0.961785	10.5796	0
3	0.941009	10.3511	0
4	0.918558	10.1041	0
5	0.891452	9.806	0
6	0.860702	9.4677	0
7	0.828327	9.1116	0
8	0.798218	8.7804	0
9	0.765902	8.4249	0
10	0.730152	8.0317	0
11	0.694831	7.6431	0
12	0.661703	7.2787	0
13	0.630107	6.9312	0
14	0.600038	6.6004	0
15	0.568551	6.2541	0
16	0.538044	5.9185	0
17	0.509533	5.6049	0
18	0.479725	5.277	0
19	0.447797	4.9258	1e-06
20	0.415608	4.5717	6e-06
21	0.384152	4.2257	2.3e-05
22	0.35456	3.9002	7.9e-05
23	0.32676	3.5944	0.000236
24	0.300817	3.309	0.000617
25	0.274344	3.0178	0.001553
26	0.248131	2.7294	0.003645
27	0.223719	2.4609	0.007635
28	0.20096	2.2106	0.014473
29	0.17818	1.96	0.026149
30	0.157024	1.7273	0.043336
31	0.139343	1.5328	0.063971
32	0.122343	1.3458	0.090446
33	0.107174	1.1789	0.120374
34	0.096704	1.0637	0.144782
35	0.087537	0.9629	0.168758
36	0.075094	0.826	0.205206
37	0.061374	0.6751	0.250445
38	0.05088	0.5597	0.288366
39	0.041412	0.4555	0.324773
40	0.029861	0.3285	0.371564
41	0.0139	0.1529	0.439365
42	-0.002211	-0.0243	0.490317
43	-0.018134	-0.1995	0.421113
44	-0.035241	-0.3877	0.349477
45	-0.052197	-0.5742	0.28346
46	-0.070007	-0.7701	0.221378
47	-0.087478	-0.9623	0.16892
48	-0.102798	-1.1308	0.130192

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.984862	10.8335	0
2	-0.271816	-2.99	0.00169
3	0.144249	1.5867	0.057591
4	-0.142079	-1.5629	0.060347
5	-0.111188	-1.2231	0.11184
6	-0.089869	-0.9886	0.162427
7	-0.048463	-0.5331	0.297472
8	0.08726	0.9599	0.16952
9	-0.141559	-1.5571	0.061023
10	-0.031889	-0.3508	0.363183
11	0.018215	0.2004	0.420766
12	0.019085	0.2099	0.417038
13	0.033595	0.3695	0.356183
14	0.038154	0.4197	0.337727
15	-0.078885	-0.8677	0.193629
16	0.036221	0.3984	0.345508
17	-0.025595	-0.2815	0.389386
18	-0.08081	-0.8889	0.187907
19	-0.052496	-0.5775	0.282351
20	-0.039997	-0.44	0.330373
21	-0.003108	-0.0342	0.486393
22	0.01892	0.2081	0.417741
23	0.04996	0.5496	0.291818
24	0.061281	0.6741	0.250771
25	-0.090563	-0.9962	0.160572
26	0.013134	0.1445	0.442683
27	0.017773	0.1955	0.422663
28	-0.007321	-0.0805	0.467975
29	-0.027621	-0.3038	0.380888
30	0.033058	0.3636	0.35838
31	0.049768	0.5474	0.29254
32	-0.078915	-0.8681	0.193539
33	0.090072	0.9908	0.161881
34	0.114088	1.255	0.105954
35	-0.056023	-0.6163	0.269443
36	-0.140736	-1.5481	0.062105
37	-0.009214	-0.1014	0.459719
38	0.067752	0.7453	0.228777
39	-0.082919	-0.9121	0.181764
40	-0.055613	-0.6117	0.270926
41	-0.138842	-1.5273	0.064652
42	0.019801	0.2178	0.413971
43	-0.08341	-0.9175	0.180352
44	0.019888	0.2188	0.413599
45	0.090212	0.9923	0.161509
46	-0.072102	-0.7931	0.214628
47	0.034334	0.3777	0.353168
48	-0.012424	-0.1367	0.445763

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242231476njkn0xg6c7l25ob/14fj21242231395.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242231476njkn0xg6c7l25ob/14fj21242231395.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242231476njkn0xg6c7l25ob/2ls731242231395.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242231476njkn0xg6c7l25ob/2ls731242231395.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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