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Oefn 6bis2 - 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 10:36:57 -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/t12423190715yuzpzndqb2wnip.htm/, Retrieved Thu, 14 May 2009 18:37:53 +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/t12423190715yuzpzndqb2wnip.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	0.226955	1.9124	0.029933
2	-0.037575	-0.3166	0.376232
3	-0.016198	-0.1365	0.445912
4	-0.102375	-0.8626	0.195623
5	-0.257132	-2.1666	0.01681
6	-0.206693	-1.7416	0.042953
7	-0.21647	-1.824	0.036179
8	-0.241881	-2.0381	0.022632
9	0.044185	0.3723	0.355387
10	0.265005	2.233	0.014352
11	0.035875	0.3023	0.381659
12	0.111394	0.9386	0.175552
13	0.427794	3.6047	0.000288
14	0.193115	1.6272	0.05406
15	-0.04293	-0.3617	0.359311
16	-0.099049	-0.8346	0.203372
17	-0.14671	-1.2362	0.110229
18	-0.144948	-1.2214	0.112996
19	-0.163053	-1.3739	0.086897
20	-0.096241	-0.8109	0.210054
21	-0.085939	-0.7241	0.235681
22	0.081138	0.6837	0.2482
23	0.35583	2.9983	0.00187
24	0.168227	1.4175	0.080354
25	-0.017131	-0.1444	0.442816
26	-0.018333	-0.1545	0.438837
27	0.032531	0.2741	0.392397
28	-0.07431	-0.6261	0.266612
29	-0.127489	-1.0742	0.143177
30	-0.144549	-1.218	0.11363
31	-0.080195	-0.6757	0.250702
32	-0.110781	-0.9335	0.176873
33	0.144563	1.2181	0.113608
34	0.042024	0.3541	0.362156
35	0.074072	0.6241	0.267267
36	0.164328	1.3846	0.085248
37	0.124509	1.0491	0.148837
38	-0.018137	-0.1528	0.439485
39	-0.060246	-0.5076	0.306638
40	-0.054005	-0.4551	0.325229
41	-0.082838	-0.698	0.243726
42	-0.135533	-1.142	0.12864
43	-0.147262	-1.2409	0.109372
44	-0.115292	-0.9715	0.167307
45	-0.036248	-0.3054	0.380465
46	0.144452	1.2172	0.113785
47	0.029618	0.2496	0.401823
48	0.072522	0.6111	0.271547

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.226955	1.9124	0.029933
2	-0.093922	-0.7914	0.215674
3	0.015367	0.1295	0.448669
4	-0.112236	-0.9457	0.173751
5	-0.222021	-1.8708	0.032749
6	-0.124682	-1.0506	0.148505
7	-0.207847	-1.7513	0.042102
8	-0.239261	-2.0161	0.02379
9	0.041562	0.3502	0.36361
10	0.140769	1.1861	0.119761
11	-0.161052	-1.357	0.089533
12	0.037734	0.3179	0.375728
13	0.344075	2.8992	0.002487
14	0.059063	0.4977	0.310127
15	-0.005182	-0.0437	0.482648
16	-0.020457	-0.1724	0.431818
17	0.040752	0.3434	0.366164
18	0.12814	1.0797	0.141959
19	-0.116477	-0.9815	0.164851
20	0.016077	0.1355	0.446313
21	0.123137	1.0376	0.151496
22	0.03606	0.3038	0.381066
23	0.177579	1.4963	0.069502
24	0.04891	0.4121	0.340746
25	-0.075542	-0.6365	0.263241
26	-0.153712	-1.2952	0.099724
27	-0.019357	-0.1631	0.435449
28	-0.027676	-0.2332	0.408138
29	0.017157	0.1446	0.442733
30	-0.076384	-0.6436	0.260947
31	0.000995	0.0084	0.496668
32	-0.131556	-1.1085	0.135692
33	0.082315	0.6936	0.245099
34	-0.07706	-0.6493	0.259114
35	0.047803	0.4028	0.344154
36	-0.083829	-0.7064	0.241139
37	-0.065412	-0.5512	0.291622
38	0.033709	0.284	0.388604
39	0.080202	0.6758	0.250683
40	0.010919	0.092	0.463475
41	0.018267	0.1539	0.439054
42	-0.009629	-0.0811	0.467781
43	-0.126875	-1.0691	0.14433
44	-0.072281	-0.609	0.272218
45	-0.053833	-0.4536	0.325748
46	-0.02705	-0.2279	0.41018
47	-0.178765	-1.5063	0.068214
48	0.021824	0.1839	0.427312

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423190715yuzpzndqb2wnip/1bbr71242319015.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423190715yuzpzndqb2wnip/1bbr71242319015.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423190715yuzpzndqb2wnip/2opva1242319015.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423190715yuzpzndqb2wnip/2opva1242319015.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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