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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 11:12:06 -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/t1242321322llpqkiolt8ewc4o.htm/, Retrieved Thu, 14 May 2009 19:15:24 +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/t1242321322llpqkiolt8ewc4o.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	0.351801	2.9643	0.002064
2	0.098116	0.8267	0.205576
3	-0.10444	-0.88	0.190906
4	-0.175939	-1.4825	0.071318
5	-0.20345	-1.7143	0.045418
6	-0.007661	-0.0646	0.474356
7	0.122346	1.0309	0.153042
8	0.161887	1.3641	0.088425
9	-0.023665	-0.1994	0.421258
10	-0.145822	-1.2287	0.111617
11	-0.028049	-0.2363	0.406923
12	-0.021498	-0.1811	0.428383
13	-0.01514	-0.1276	0.449423
14	0.136573	1.1508	0.126841
15	0.091294	0.7693	0.222147
16	0.203058	1.711	0.045724
17	0.124519	1.0492	0.148819
18	0.075552	0.6366	0.263213
19	0.065536	0.5522	0.291268
20	-0.076336	-0.6432	0.261077
21	-0.121827	-1.0265	0.154063
22	-0.095268	-0.8027	0.212402
23	-0.133186	-1.1222	0.13277
24	-0.040627	-0.3423	0.366558
25	0.067849	0.5717	0.284663
26	0.076519	0.6448	0.26058
27	-0.019998	-0.1685	0.433331
28	-0.038659	-0.3257	0.372788
29	-0.131267	-1.1061	0.136213
30	0.009125	0.0769	0.469464
31	-0.045137	-0.3803	0.352417
32	0.009225	0.0777	0.469132
33	0.026956	0.2271	0.410487
34	0.010228	0.0862	0.465781
35	-0.030132	-0.2539	0.400154
36	-0.056664	-0.4775	0.31725
37	0.025301	0.2132	0.415894
38	0.020204	0.1702	0.432653
39	-0.000975	-0.0082	0.496733
40	-0.087467	-0.737	0.231773
41	-0.001711	-0.0144	0.494267
42	-0.013841	-0.1166	0.453741
43	-0.040555	-0.3417	0.366785
44	-0.003994	-0.0337	0.486624
45	-0.067738	-0.5708	0.284979
46	-0.023047	-0.1942	0.423286
47	-0.058633	-0.494	0.311399
48	-0.062151	-0.5237	0.301061

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.351801	2.9643	0.002064
2	-0.02927	-0.2466	0.402952
3	-0.148113	-1.248	0.108061
4	-0.103772	-0.8744	0.192425
5	-0.109798	-0.9252	0.179005
6	0.114841	0.9677	0.168247
7	0.096517	0.8133	0.209391
8	0.043287	0.3647	0.358195
9	-0.163528	-1.3779	0.08628
10	-0.126127	-1.0628	0.145745
11	0.164281	1.3843	0.085308
12	0.024504	0.2065	0.418507
13	-0.052139	-0.4393	0.330878
14	0.09126	0.769	0.222232
15	-0.04563	-0.3845	0.350885
16	0.263244	2.2181	0.014873
17	0.076804	0.6472	0.259808
18	0.001832	0.0154	0.493863
19	0.05217	0.4396	0.330785
20	-0.135024	-1.1377	0.129529
21	0.054292	0.4575	0.324364
22	-0.038615	-0.3254	0.372927
23	-0.162351	-1.368	0.087814
24	0.036268	0.3056	0.380403
25	0.016508	0.1391	0.444884
26	0.092408	0.7786	0.219388
27	-0.128241	-1.0806	0.141772
28	-0.073136	-0.6163	0.269849
29	-0.042698	-0.3598	0.36004
30	0.075137	0.6331	0.264346
31	-0.037043	-0.3121	0.377928
32	-0.142664	-1.2021	0.116658
33	-0.130271	-1.0977	0.138025
34	0.061715	0.52	0.302335
35	0.065887	0.5552	0.290261
36	-0.034604	-0.2916	0.385729
37	0.046885	0.3951	0.346992
38	-0.04973	-0.419	0.338229
39	0.10353	0.8724	0.192976
40	-0.036653	-0.3088	0.379172
41	0.024429	0.2058	0.41875
42	-0.040085	-0.3378	0.368269
43	-0.05069	-0.4271	0.335293
44	0.047604	0.4011	0.34477
45	-0.103646	-0.8733	0.192713
46	0.032396	0.273	0.392834
47	-0.000281	-0.0024	0.499059
48	-0.026471	-0.223	0.41207

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321322llpqkiolt8ewc4o/16znh1242321125.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321322llpqkiolt8ewc4o/16znh1242321125.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321322llpqkiolt8ewc4o/2j4f51242321125.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t1242321322llpqkiolt8ewc4o/2j4f51242321125.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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