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Martin Horemans - Opgave 6bis: oef 2: stap1

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 22 May 2009 06:11:40 -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/22/t1242994380pxmwvdbqfda84r2.htm/, Retrieved Fri, 22 May 2009 14:13:02 +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/22/t1242994380pxmwvdbqfda84r2.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 «

1746 1271 1363 1664 2179 2305 2098 2231 1407 1966 2293 2045 1532 1333 1583 1712 2641 2267 2126 2231 1517 2010 2628 2115 1829 1636 1787 2122 2620 2555 2337 2524 1801 2417 2389 2267 2135 1760 1905 2176 2344 2674 2766 2783 2000 2588 2736 2704 2466 1976 2171 2397 2942 2707 2861 2765 1814 2611 2606 2518 2267 1730 1901 2124 2448 2489 2521 2466 1827 2278 2373 2356 2075 1606 1699 2311 2093 2064 2180 2136

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.522399	4.6725	6e-06
2	0.178242	1.5942	0.057413
3	0.007607	0.068	0.47296
4	-0.004581	-0.041	0.483711
5	0.283166	2.5327	0.006637
6	0.34269	3.0651	0.001483
7	0.227397	2.0339	0.022638
8	-0.028724	-0.2569	0.398951
9	-0.041617	-0.3722	0.355352
10	0.083353	0.7455	0.229068
11	0.381013	3.4079	0.000514
12	0.681775	6.098	0
13	0.311049	2.7821	0.003367
14	0.030702	0.2746	0.392163
15	-0.130381	-1.1662	0.123506
16	-0.145769	-1.3038	0.098021
17	0.098975	0.8853	0.189334
18	0.113443	1.0147	0.156662
19	0.032741	0.2928	0.3852
20	-0.140239	-1.2543	0.106686
21	-0.194187	-1.7369	0.043131
22	-0.114584	-1.0249	0.154256
23	0.14323	1.2811	0.101932
24	0.365855	3.2723	0.000788
25	0.109207	0.9768	0.165812
26	-0.073073	-0.6536	0.257627
27	-0.254651	-2.2777	0.012708
28	-0.27272	-2.4393	0.008465
29	-0.086007	-0.7693	0.221999
30	-0.065321	-0.5843	0.280347
31	-0.108753	-0.9727	0.166814
32	-0.207553	-1.8564	0.033538
33	-0.271073	-2.4246	0.008791
34	-0.22751	-2.0349	0.022586
35	-0.013489	-0.1206	0.452136
36	0.203764	1.8225	0.036056
37	0.026687	0.2387	0.405974
38	-0.101995	-0.9123	0.182184
39	-0.269318	-2.4089	0.00915
40	-0.313685	-2.8057	0.003151
41	-0.13897	-1.243	0.108751
42	-0.103421	-0.925	0.178868
43	-0.123845	-1.1077	0.135655
44	-0.213877	-1.913	0.029665
45	-0.280314	-2.5072	0.007097
46	-0.232711	-2.0814	0.020296
47	-0.028051	-0.2509	0.401269
48	0.124916	1.1173	0.133609

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.522399	4.6725	6e-06
2	-0.130187	-1.1644	0.123855
3	-0.041437	-0.3706	0.355948
4	0.044089	0.3943	0.347188
5	0.386954	3.461	0.000433
6	0.019306	0.1727	0.43167
7	-0.034516	-0.3087	0.379167
8	-0.197898	-1.7701	0.040264
9	0.215612	1.9285	0.028671
10	0.04837	0.4326	0.333224
11	0.359231	3.2131	0.000947
12	0.424931	3.8007	0.00014
13	-0.366176	-3.2752	0.000781
14	-0.113626	-1.0163	0.156276
15	-0.072865	-0.6517	0.258223
16	-0.14793	-1.3231	0.094781
17	-0.164202	-1.4687	0.072922
18	-0.138378	-1.2377	0.109725
19	0.069137	0.6184	0.269041
20	0.029024	0.2596	0.39792
21	-0.119592	-1.0697	0.143995
22	-0.107662	-0.963	0.169234
23	0.050354	0.4504	0.326827
24	0.02901	0.2595	0.397969
25	-0.039595	-0.3542	0.362079
26	0.079418	0.7103	0.23978
27	-0.048679	-0.4354	0.332223
28	-0.023021	-0.2059	0.418694
29	-0.109999	-0.9839	0.164074
30	0.018984	0.1698	0.432798
31	-0.089157	-0.7974	0.213777
32	0.033424	0.299	0.382875
33	-0.006183	-0.0553	0.478018
34	-0.008507	-0.0761	0.469769
35	-0.066979	-0.5991	0.275406
36	0.146669	1.3119	0.096661
37	-0.106737	-0.9547	0.171306
38	0.001295	0.0116	0.495394
39	-0.007239	-0.0647	0.474269
40	-0.011104	-0.0993	0.460569
41	-0.001616	-0.0145	0.494253
42	0.020106	0.1798	0.428869
43	-0.092943	-0.8313	0.204136
44	-0.072926	-0.6523	0.258049
45	-0.039623	-0.3544	0.361987
46	0.060368	0.5399	0.295367
47	-0.00531	-0.0475	0.481119
48	-0.157121	-1.4053	0.081897

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/22/t1242994380pxmwvdbqfda84r2/1nu1n1242994298.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/22/t1242994380pxmwvdbqfda84r2/1nu1n1242994298.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/22/t1242994380pxmwvdbqfda84r2/2p4tt1242994298.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/22/t1242994380pxmwvdbqfda84r2/2p4tt1242994298.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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