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Opgave 2, 6bis Jan Vanstraelen

*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, 21 May 2009 06:25:40 -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/21/t1242908764f9cwqppahh4plyq.htm/, Retrieved Thu, 21 May 2009 14:26:04 +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/21/t1242908764f9cwqppahh4plyq.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 «

11310 64305 15310 37299 21302 61308 72300 26303 18301 54305 66309 50301 31298 52291 87286 81288 14293 90302 50306 15310 44310 26314 98313 76310 25313 48309 95307 10320 87327 63328 34333 90333 81332 7342 30424 13344 88347 40339 23330 1339 10341 46342 81342 2342 76350 35368 93367 88377 39376 41366 77375 56382 79397 26385 73397 28404 98413 73414 47423 52431 24441 92439 90441 441 13448 18458 18459 69477 41491 10492 73508 82515 13525 55533 19550 85558 57563 60570 49568 51570 26561 61558 78548 77537 539 18540 47542 86542 81544 16543 22538 25538 99527 63518 95508 65496 5488 96475 81465 5463 81458 74445 21434 67427 27418 81407 82395 97359

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

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.066225	-0.6882	0.246392
2	-0.143889	-1.4953	0.068871
3	-0.043528	-0.4524	0.325961
4	-0.007133	-0.0741	0.470525
5	0.208748	2.1694	0.016123
6	0.161915	1.6827	0.047664
7	-0.270033	-2.8063	0.002973
8	-0.005144	-0.0535	0.478732
9	-0.039086	-0.4062	0.342701
10	0.030343	0.3153	0.376559
11	-0.015749	-0.1637	0.43515
12	-0.037296	-0.3876	0.34954
13	-0.120425	-1.2515	0.106729
14	0.028368	0.2948	0.384354
15	0.048848	0.5076	0.30637
16	0.005668	0.0589	0.476569
17	-0.114415	-1.189	0.118516
18	-0.089825	-0.9335	0.176326
19	0.033382	0.3469	0.364664
20	0.05319	0.5528	0.290783
21	0.052876	0.5495	0.291898
22	-0.09965	-1.0356	0.151354
23	-0.148129	-1.5394	0.063316
24	0.033463	0.3478	0.364348
25	0.149697	1.5557	0.061353
26	0.06019	0.6255	0.266476
27	0.023934	0.2487	0.402022
28	-0.169866	-1.7653	0.04017
29	-0.078653	-0.8174	0.207753
30	0.163989	1.7042	0.045607
31	0.127339	1.3234	0.094257
32	-0.04988	-0.5184	0.302631
33	0.041996	0.4364	0.331697
34	-0.113391	-1.1784	0.120614
35	0.037884	0.3937	0.347289
36	0.171906	1.7865	0.038412
37	-0.072446	-0.7529	0.226581
38	-0.129247	-1.3432	0.091016
39	0.131825	1.37	0.086769
40	-0.055574	-0.5775	0.282387
41	0.07075	0.7353	0.23189
42	-0.083776	-0.8706	0.192944
43	-0.145335	-1.5104	0.066935
44	-0.003363	-0.0349	0.486094
45	0.114951	1.1946	0.117428
46	0.024877	0.2585	0.398246
47	0.053664	0.5577	0.289106
48	-0.048866	-0.5078	0.306305
49	-0.081025	-0.842	0.200814
50	0.028293	0.294	0.384649
51	0.150251	1.5615	0.060671
52	-0.097256	-1.0107	0.157207
53	0.03736	0.3883	0.349295
54	-0.146304	-1.5204	0.065661
55	-0.036323	-0.3775	0.353277
56	0.141609	1.4716	0.072013
57	-0.022714	-0.236	0.406922
58	-0.076351	-0.7935	0.214623
59	-0.039499	-0.4105	0.34113
60	0.013242	0.1376	0.445402

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.066225	-0.6882	0.246392
2	-0.148928	-1.5477	0.062309
3	-0.066088	-0.6868	0.246839
4	-0.038588	-0.401	0.344601
5	0.194883	2.0253	0.022652
6	0.199705	2.0754	0.020163
7	-0.198266	-2.0604	0.02088
8	0.018201	0.1892	0.425164
9	-0.093904	-0.9759	0.165652
10	-0.036694	-0.3813	0.35185
11	-0.113366	-1.1781	0.120667
12	0.015736	0.1635	0.435202
13	-0.067154	-0.6979	0.243376
14	-0.022063	-0.2293	0.409542
15	0.064024	0.6654	0.253621
16	0.003276	0.034	0.486452
17	-0.094467	-0.9817	0.164214
18	-0.11909	-1.2376	0.10927
19	0.023017	0.2392	0.405701
20	-0.048742	-0.5065	0.306755
21	0.050695	0.5268	0.299693
22	-0.052381	-0.5444	0.29366
23	-0.09934	-1.0324	0.152103
24	-0.043716	-0.4543	0.325258
25	0.083204	0.8647	0.194565
26	0.062242	0.6468	0.259554
27	0.065851	0.6843	0.247612
28	-0.074586	-0.7751	0.21998
29	-0.123967	-1.2883	0.100197
30	0.025067	0.2605	0.397484
31	0.057796	0.6006	0.274672
32	0.001871	0.0194	0.49226
33	0.126471	1.3143	0.09576
34	-0.022497	-0.2338	0.407795
35	-0.043156	-0.4485	0.327351
36	0.081102	0.8428	0.200591
37	-0.034809	-0.3618	0.359123
38	-0.115342	-1.1987	0.11664
39	0.109922	1.1423	0.127919
40	-0.029898	-0.3107	0.37831
41	-0.002947	-0.0306	0.487812
42	-0.07848	-0.8156	0.208264
43	-0.015825	-0.1645	0.434839
44	-0.061108	-0.6351	0.263368
45	0.005224	0.0543	0.478401
46	0.076228	0.7922	0.214994
47	0.113944	1.1841	0.119478
48	0.122318	1.2712	0.1032
49	-0.058816	-0.6112	0.271166
50	-0.032292	-0.3356	0.368915
51	5e-06	0	0.499981
52	-0.167023	-1.7358	0.042729
53	0.111183	1.1555	0.125228
54	-0.087519	-0.9095	0.182549
55	-0.038866	-0.4039	0.343538
56	0.079998	0.8314	0.203802
57	-0.042293	-0.4395	0.330581
58	-0.028326	-0.2944	0.38452
59	-0.025822	-0.2683	0.394472
60	0.066846	0.6947	0.244371

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242908764f9cwqppahh4plyq/1yl351242908736.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242908764f9cwqppahh4plyq/1yl351242908736.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242908764f9cwqppahh4plyq/2n0q41242908736.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/21/t1242908764f9cwqppahh4plyq/2n0q41242908736.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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