Home » date » 2009 » May » 14 »

dorien storms autocor eigen opdracht

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 14 May 2009 08:53:42 -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/14/t12423128715ta34dn222q50t5.htm/, Retrieved Thu, 14 May 2009 16:54:31 +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/14/t12423128715ta34dn222q50t5.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 «

65 65,05 65,84 66,6 67,55 68,07 69,06 69,06 69,11 69,29 69,38 69,28 69,75 69,9 70,21 70,48 71,55 72,18 72,64 72,77 72,74 73,13 73,44 73,34 73,34 73,81 74,26 74,72 75,11 75,26 75,89 75,91 76,43 76,56 76,76 76,76 76,56 76,82 77,09 77,51 77,76 77,86 77,89 77,94 77,99 78,17 78,91 78,87 78,88 79,08 79,41 79,51 79,73 80,38 80,56 80,46 80,45 80,58 80,68 80,52 81,49 81,66 81,95 82,3 82,4 83,14 83,17 83,11 83,21 83,33 83,88 83,8 83,73

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	3 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.950831	8.1239	0
2	0.898671	7.6782	0
3	0.84786	7.2441	0
4	0.801231	6.8457	0
5	0.758332	6.4792	0
6	0.716841	6.1247	0
7	0.679296	5.8039	0
8	0.639911	5.4674	0
9	0.601854	5.1422	1e-06
10	0.563354	4.8133	4e-06
11	0.524285	4.4795	1.4e-05
12	0.483545	4.1314	4.7e-05
13	0.443328	3.7878	0.000155
14	0.405391	3.4637	0.000448
15	0.366019	3.1273	0.001267
16	0.326788	2.7921	0.003341
17	0.292164	2.4962	0.007405
18	0.259807	2.2198	0.01477
19	0.228417	1.9516	0.027412
20	0.197007	1.6832	0.048301
21	0.166463	1.4223	0.079604
22	0.137316	1.1732	0.122259
23	0.108691	0.9287	0.178064
24	0.0789	0.6741	0.251181
25	0.047908	0.4093	0.341751
26	0.018072	0.1544	0.438858
27	-0.010888	-0.093	0.463068
28	-0.035539	-0.3036	0.381132
29	-0.058981	-0.5039	0.307913
30	-0.082289	-0.7031	0.242122
31	-0.10315	-0.8813	0.190521
32	-0.124839	-1.0666	0.144829
33	-0.144311	-1.233	0.110767
34	-0.163382	-1.3959	0.083482
35	-0.180828	-1.545	0.063336
36	-0.198746	-1.6981	0.046875
37	-0.218142	-1.8638	0.033185
38	-0.2381	-2.0343	0.022776
39	-0.257588	-2.2008	0.015456
40	-0.274668	-2.3468	0.010827
41	-0.290906	-2.4855	0.007614
42	-0.305313	-2.6086	0.00551
43	-0.320368	-2.7372	0.003889
44	-0.333736	-2.8514	0.002828
45	-0.347779	-2.9714	0.002006
46	-0.360044	-3.0762	0.001475
47	-0.367182	-3.1372	0.00123
48	-0.373917	-3.1947	0.001034

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.950831	8.1239	0
2	-0.056388	-0.4818	0.315702
3	-0.012463	-0.1065	0.457746
4	0.015388	0.1315	0.447881
5	0.010673	0.0912	0.463795
6	-0.011061	-0.0945	0.462484
7	0.018641	0.1593	0.43695
8	-0.041302	-0.3529	0.362596
9	-0.005812	-0.0497	0.480266
10	-0.025869	-0.221	0.412845
11	-0.028551	-0.2439	0.40398
12	-0.042056	-0.3593	0.360194
13	-0.018827	-0.1609	0.436325
14	-0.006401	-0.0547	0.478267
15	-0.043603	-0.3725	0.355283
16	-0.027505	-0.235	0.407432
17	0.020269	0.1732	0.431496
18	-0.007446	-0.0636	0.474724
19	-0.01636	-0.1398	0.444609
20	-0.022626	-0.1933	0.423622
21	-0.014911	-0.1274	0.449486
22	-0.008592	-0.0734	0.470839
23	-0.017728	-0.1515	0.440014
24	-0.039114	-0.3342	0.369598
25	-0.037919	-0.324	0.373439
26	-0.015069	-0.1287	0.448956
27	-0.02166	-0.1851	0.426845
28	0.011301	0.0966	0.461673
29	-0.018291	-0.1563	0.438124
30	-0.02459	-0.2101	0.417088
31	4.5e-05	4e-04	0.499849
32	-0.034319	-0.2932	0.385092
33	-0.001727	-0.0148	0.494133
34	-0.017649	-0.1508	0.440278
35	-0.008449	-0.0722	0.471325
36	-0.030881	-0.2638	0.396322
37	-0.04059	-0.3468	0.364868
38	-0.034282	-0.2929	0.385212
39	-0.022312	-0.1906	0.42467
40	-0.009953	-0.085	0.466231
41	-0.023717	-0.2026	0.419992
42	-0.014869	-0.127	0.449629
43	-0.036615	-0.3128	0.377647
44	-0.007651	-0.0654	0.474028
45	-0.037323	-0.3189	0.375361
46	-0.009782	-0.0836	0.466811
47	0.02511	0.2145	0.415362
48	-0.023074	-0.1971	0.422132

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423128715ta34dn222q50t5/1un241242312816.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423128715ta34dn222q50t5/1un241242312816.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423128715ta34dn222q50t5/2f6xd1242312816.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423128715ta34dn222q50t5/2f6xd1242312816.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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