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workshop 8 berekening 3

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 27 Nov 2009 02:58:50 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316027g4550rftds8zg8o.htm/, Retrieved Fri, 27 Nov 2009 11:00:29 +0100

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/Nov/27/t1259316027g4550rftds8zg8o.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 «

4716.99 4926.65 4920.10 5170.09 5246.24 5283.61 4979.05 4825.20 4695.12 4711.54 4727.22 4384.96 4378.75 4472.93 4564.07 4310.54 4171.38 4049.38 3591.37 3720.46 4107.23 4101.71 4162.34 4136.22 4125.88 4031.48 3761.36 3408.56 3228.47 3090.45 2741.14 2980.44 3104.33 3181.57 2863.86 2898.01 3112.33 3254.33 3513.47 3587.61 3727.45 3793.34 3817.58 3845.13 3931.86 4197.52 4307.13 4229.43 4362.28 4217.34 4361.28 4327.74 4417.65 4557.68 4650.35 4967.18 5123.42 5290.85 5535.66 5514.06 5493.88 5694.83 5850.41 6116.64 6175.00 6513.58 6383.78 6673.66 6936.61 7300.68 7392.93 7497.31 7584.71 7160.79 7196.19 7245.63 7347.51 7425.75 7778.51 7822.33 8181.22 8371.47 8347.71 8672.11 8802.79 9138.46 9123.29 9023.21 8850.41 8864.58 9163.74 8516.66 8553.44 7555.20 7851.22 7442.00 7992.53 8264.04 7517.39 7200.40 7193.69 6193.58 5104.21 4800.46 4461.61 4398.59 4243.63 4293.82

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	0.217744	2.2524	0.01317
2	0.296301	3.065	0.001378
3	0.146803	1.5185	0.065914
4	0.156254	1.6163	0.054487
5	0.044643	0.4618	0.322585
6	0.044412	0.4594	0.32344
7	0.154129	1.5943	0.056907
8	0.02952	0.3054	0.380342
9	0.170107	1.7596	0.040667
10	0.079663	0.824	0.205874
11	0.177894	1.8402	0.034259
12	0.043704	0.4521	0.326062
13	0.059226	0.6126	0.270709
14	0.020681	0.2139	0.415508
15	0.010539	0.109	0.456698
16	0.058147	0.6015	0.274396
17	-0.011111	-0.1149	0.454356
18	-0.004181	-0.0432	0.482792
19	0.010569	0.1093	0.456572
20	0.016435	0.17	0.432664
21	-0.09274	-0.9593	0.169784
22	-0.015494	-0.1603	0.436486
23	-0.079013	-0.8173	0.207781
24	-0.105689	-1.0933	0.138369
25	0.013607	0.1408	0.444164
26	-0.071519	-0.7398	0.230522
27	-0.001711	-0.0177	0.492955
28	-0.017764	-0.1838	0.427276
29	0.013754	0.1423	0.443565
30	-0.098189	-1.0157	0.156037
31	-0.045597	-0.4717	0.319066
32	-0.046474	-0.4807	0.315845
33	-0.094776	-0.9804	0.164558
34	-0.116067	-1.2006	0.116279
35	-0.100514	-1.0397	0.150407
36	-0.085926	-0.8888	0.188046

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.217744	2.2524	0.01317
2	0.261277	2.7027	0.004001
3	0.047603	0.4924	0.311719
4	0.05528	0.5718	0.284321
5	-0.041934	-0.4338	0.332665
6	-0.018399	-0.1903	0.424707
7	0.153074	1.5834	0.05814
8	-0.029671	-0.3069	0.379752
9	0.115796	1.1978	0.116821
10	0.018941	0.1959	0.422518
11	0.082477	0.8531	0.197741
12	-0.032687	-0.3381	0.367968
13	-0.037515	-0.3881	0.349372
14	-0.021859	-0.2261	0.410773
15	-0.005663	-0.0586	0.4767
16	0.046015	0.476	0.317528
17	-0.028005	-0.2897	0.386309
18	-0.07136	-0.7382	0.231019
19	0.026328	0.2723	0.392943
20	-0.01146	-0.1185	0.452929
21	-0.109404	-1.1317	0.130148
22	0.00354	0.0366	0.485428
23	-0.054703	-0.5659	0.286338
24	-0.068776	-0.7114	0.239184
25	0.108323	1.1205	0.132505
26	-0.060466	-0.6255	0.2665
27	0.011813	0.1222	0.451489
28	0.044954	0.465	0.321434
29	-0.004978	-0.0515	0.479514
30	-0.077653	-0.8033	0.211805
31	-0.007185	-0.0743	0.470448
32	0.014622	0.1512	0.440033
33	-0.03204	-0.3314	0.370488
34	-0.074044	-0.7659	0.222705
35	-0.029063	-0.3006	0.38214
36	-0.052658	-0.5447	0.293545

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316027g4550rftds8zg8o/13bg21259315928.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316027g4550rftds8zg8o/13bg21259315928.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316027g4550rftds8zg8o/2zwbx1259315928.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259316027g4550rftds8zg8o/2zwbx1259315928.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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