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Opgave 6bis - Sofie Loopmans - Uurloon schilder

*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 10:32:26 -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/t1242318794crzzixztry38s4t.htm/, Retrieved Thu, 14 May 2009 18:33:16 +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/t1242318794crzzixztry38s4t.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 «

30.06 30.46 30.46 30.49 30.49 30.5 30.5 30.5 30.51 30.51 30.61 30.88 30.95 31.09 31.28 31.31 31.32 31.34 31.34 31.34 31.34 31.36 31.36 31.36 31.72 32.07 32.13 32.19 32.26 32.27 32.28 32.28 32.28 32.29 32.61 32.68 32.69 32.74 32.86 32.86 32.9 32.95 32.95 32.96 32.99 33 33.06 33.42 33.48 33.5 33.51 33.52 33.55 33.56 33.56 33.56 33.6 33.61 33.62 33.72 33.83 33.96 34.06 34.11 34.11 34.21 34.19 34.17 34.12 34.15 34.15 34.15

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.958675	8.1346	0
2	0.922437	7.8271	0
3	0.884511	7.5053	0
4	0.84584	7.1772	0
5	0.805064	6.8312	0
6	0.763704	6.4802	0
7	0.721219	6.1198	0
8	0.679474	5.7655	0
9	0.637311	5.4078	0
10	0.593594	5.0368	2e-06
11	0.549922	4.6662	7e-06
12	0.511773	4.3425	2.3e-05
13	0.474324	4.0248	7e-05
14	0.437123	3.7091	0.000203
15	0.40131	3.4052	0.000542
16	0.364936	3.0966	0.001395
17	0.328358	2.7862	0.003406
18	0.291446	2.473	0.00788
19	0.253748	2.1531	0.01733
20	0.215493	1.8285	0.035807
21	0.176576	1.4983	0.069214
22	0.137039	1.1628	0.124373
23	0.095469	0.8101	0.210282
24	0.050392	0.4276	0.335112
25	0.011142	0.0945	0.46247
26	-0.01662	-0.141	0.444123
27	-0.043326	-0.3676	0.357114
28	-0.07001	-0.5941	0.277169
29	-0.095523	-0.8105	0.21015
30	-0.121115	-1.0277	0.153767
31	-0.146858	-1.2461	0.108378
32	-0.172596	-1.4645	0.073702
33	-0.198307	-1.6827	0.048384
34	-0.225893	-1.9168	0.029618
35	-0.246355	-2.0904	0.020057
36	-0.266071	-2.2577	0.013499
37	-0.287425	-2.4389	0.0086
38	-0.308432	-2.6171	0.0054
39	-0.3229	-2.7399	0.003872
40	-0.337703	-2.8655	0.002727
41	-0.352206	-2.9886	0.001916
42	-0.366038	-3.1059	0.001357
43	-0.379802	-3.2227	0.000954
44	-0.393241	-3.3368	0.000672
45	-0.405214	-3.4384	0.000488
46	-0.41674	-3.5362	0.000357
47	-0.427805	-3.63	0.000263
48	-0.426883	-3.6222	0.00027

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.958675	8.1346	0
2	0.041753	0.3543	0.362081
3	-0.036026	-0.3057	0.380362
4	-0.031586	-0.268	0.394727
5	-0.047971	-0.407	0.342592
6	-0.032671	-0.2772	0.391202
7	-0.037498	-0.3182	0.375635
8	-0.016413	-0.1393	0.444814
9	-0.027724	-0.2352	0.407342
10	-0.045222	-0.3837	0.351159
11	-0.028617	-0.2428	0.404417
12	0.041293	0.3504	0.363536
13	-0.007402	-0.0628	0.475047
14	-0.022174	-0.1882	0.425643
15	-0.009469	-0.0803	0.468093
16	-0.033989	-0.2884	0.386933
17	-0.033164	-0.2814	0.389603
18	-0.034596	-0.2936	0.384971
19	-0.038946	-0.3305	0.371002
20	-0.038854	-0.3297	0.371297
21	-0.043582	-0.3698	0.356306
22	-0.041726	-0.3541	0.362164
23	-0.056409	-0.4786	0.31682
24	-0.083269	-0.7066	0.24106
25	0.028365	0.2407	0.405241
26	0.122451	1.039	0.151133
27	0.004353	0.0369	0.485318
28	-0.030784	-0.2612	0.397338
29	-0.022302	-0.1892	0.425219
30	-0.040459	-0.3433	0.366186
31	-0.043572	-0.3697	0.356337
32	-0.039098	-0.3318	0.370519
33	-0.035197	-0.2987	0.383032
34	-0.069941	-0.5935	0.277364
35	0.034934	0.2964	0.383878
36	-0.002795	-0.0237	0.490572
37	-0.033728	-0.2862	0.387778
38	-0.027858	-0.2364	0.406904
39	0.054409	0.4617	0.322853
40	-0.015973	-0.1355	0.446284
41	-0.036163	-0.3069	0.37992
42	-0.029051	-0.2465	0.402997
43	-0.03949	-0.3351	0.369268
44	-0.043828	-0.3719	0.355533
45	-0.02922	-0.2479	0.402443
46	-0.021761	-0.1846	0.427013
47	-0.03563	-0.3023	0.381636
48	0.10095	0.8566	0.197257

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242318794crzzixztry38s4t/1ovn21242318745.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242318794crzzixztry38s4t/1ovn21242318745.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242318794crzzixztry38s4t/24r6j1242318745.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242318794crzzixztry38s4t/24r6j1242318745.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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