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Duncan huysmans oefening 6BIS eigen reeks

*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 10:59:24 -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/t1242321080ubife425nq2sje2.htm/, Retrieved Thu, 14 May 2009 19:11:22 +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/t1242321080ubife425nq2sje2.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 «

49.1 52.7 55.1 60.4 57.5 55.9 62.6 61.3 67.1 68.6 74.8 76.9 85.7 86.5 90.8 89.7 96.3 107.5 109.2 100.2 116.8 120.1 123.3 130.2 131.4 125.6 124.5 134.3 135.2 151.8 146.4 140.0 127.8 148.0 165.9 165.5 179.9 190.0 189.8 190.9 203.6 183.5 169.3 144.2 141.5 154.3 169.5 194.0 203.2 192.9 209.4 227.2 263.7 297.8 337.1 361.3 355.2 312.6 309.9 323.7 324.1 355.3 383.4 395.1 412.8 407.0 438.0 446.1 452.5 447.3 475.9 487.7

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	0.945123	8.0196	0
2	0.887018	7.5266	0
3	0.833183	7.0698	0
4	0.777743	6.5994	0
5	0.723494	6.1391	0
6	0.671395	5.697	0
7	0.626207	5.3135	1e-06
8	0.575638	4.8845	3e-06
9	0.52632	4.466	1.4e-05
10	0.478484	4.0601	6.2e-05
11	0.438683	3.7224	0.000194
12	0.405856	3.4438	0.00048
13	0.372845	3.1637	0.001141
14	0.342029	2.9022	0.002457
15	0.307678	2.6107	0.005493
16	0.259029	2.1979	0.015585
17	0.205131	1.7406	0.043013
18	0.155587	1.3202	0.095475
19	0.113852	0.9661	0.168623
20	0.07739	0.6567	0.256742
21	0.052247	0.4433	0.329428
22	0.032467	0.2755	0.391865
23	0.017441	0.148	0.44138
24	0.00114	0.0097	0.496155
25	-0.013275	-0.1126	0.455313
26	-0.024053	-0.2041	0.419426
27	-0.033046	-0.2804	0.389987
28	-0.038133	-0.3236	0.373603
29	-0.044321	-0.3761	0.353984
30	-0.054256	-0.4604	0.323317
31	-0.069926	-0.5933	0.277405
32	-0.092496	-0.7849	0.217558
33	-0.114946	-0.9753	0.166327
34	-0.136125	-1.1551	0.125943
35	-0.156402	-1.3271	0.094332
36	-0.175012	-1.485	0.070951
37	-0.188421	-1.5988	0.057121
38	-0.202039	-1.7144	0.045382
39	-0.212363	-1.802	0.037869
40	-0.218277	-1.8521	0.034052
41	-0.225588	-1.9142	0.029786
42	-0.238392	-2.0228	0.023403
43	-0.255639	-2.1692	0.016686
44	-0.272821	-2.315	0.011735
45	-0.291539	-2.4738	0.007864
46	-0.306543	-2.6011	0.005636
47	-0.320855	-2.7225	0.00406
48	-0.333946	-2.8336	0.002984

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.945123	8.0196	0
2	-0.058456	-0.496	0.310697
3	0.010191	0.0865	0.465665
4	-0.046845	-0.3975	0.34609
5	-0.017445	-0.148	0.441368
6	-0.013235	-0.1123	0.455447
7	0.03393	0.2879	0.387124
8	-0.081966	-0.6955	0.244488
9	-0.01239	-0.1051	0.45828
10	-0.025156	-0.2135	0.415789
11	0.047966	0.407	0.342606
12	0.03332	0.2827	0.389096
13	-0.022884	-0.1942	0.423293
14	-0.009246	-0.0785	0.468842
15	-0.056083	-0.4759	0.317799
16	-0.157803	-1.339	0.09239
17	-0.074163	-0.6293	0.265573
18	-0.006939	-0.0589	0.476604
19	0.030788	0.2612	0.397324
20	0.018045	0.1531	0.439368
21	0.074859	0.6352	0.263657
22	0.016773	0.1423	0.443611
23	0.038143	0.3237	0.37357
24	-0.0315	-0.2673	0.395007
25	-0.003343	-0.0284	0.488723
26	-0.015555	-0.132	0.44768
27	-0.016019	-0.1359	0.446129
28	0.012091	0.1026	0.459283
29	-0.014267	-0.1211	0.451991
30	-0.034919	-0.2963	0.383927
31	-0.030317	-0.2572	0.398861
32	-0.060783	-0.5158	0.303799
33	-0.023077	-0.1958	0.422655
34	-0.030944	-0.2626	0.396816
35	-0.04185	-0.3551	0.361773
36	-0.037688	-0.3198	0.375026
37	0.007899	0.067	0.473373
38	-0.031694	-0.2689	0.394377
39	0.03356	0.2848	0.388319
40	0.023258	0.1973	0.422055
41	-0.027605	-0.2342	0.407734
42	-0.081887	-0.6948	0.244698
43	-0.075162	-0.6378	0.262822
44	-0.038365	-0.3255	0.37286
45	-0.027169	-0.2305	0.409163
46	0.028936	0.2455	0.403371
47	0.002535	0.0215	0.49145
48	-0.001722	-0.0146	0.49419

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321080ubife425nq2sje2/1fbk21242320363.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321080ubife425nq2sje2/1fbk21242320363.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321080ubife425nq2sje2/2xhzl1242320363.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321080ubife425nq2sje2/2xhzl1242320363.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ;

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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