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Opgave 6 BIS: Goudkoers 2009 ACF

*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, 04 Jun 2010 13:59:57 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660044yyqvqocr4ktlwju.htm/, Retrieved Fri, 04 Jun 2010 16:00:45 +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/2010/Jun/04/t1275660044yyqvqocr4ktlwju.htm/},
    year = {2010},
}
@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 = {2010},
    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:

KDGP2W2

Dataseries X:

» Textbox « » Textfile « » CSV «

23100 22650 22440 22910 22980 22535 22300 22780 22780 23300 23800 24510 24660 24730 25070 24690 24880 23920 23880 23990 24590 23610 23580 23360 23910 23940 23060 22800 23020 22890 22780 22530 22290 22820 22480 22110 22000 22230 22260 22590 22820 22420 22230 21600 21000 21360 21640 21450 21710 21620 21800 21490 21670 22130 22050 22050 22140 22390 22220 21790 21510 21670 21745 21850 22105 22050 21670 21680 21800 21920 21980 22270 21740 21950 22010 21890 21920 22110 22340 22210 22240 21960 22220 22060 22090 21960 21940 21790 21710 21690 21710 21670 21640 21500 21290 21250 21580 21670 21620 21510 21360 21420 21470 21370 21370 21340 21130 21130 20990 21240 21320 21430 21390 21530 21510 21630 21560 21610 21560 21310 21340 21410 21550 21380 21600 21530 21560 21670 21540 21540 21550 21590 21420 21420 21370 21380 21210 21505 21365 21385 21350 21360 21530 21380 21630 22145 22 etc...

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.971823	14.7064	0
2	0.944918	14.2992	0
3	0.920312	13.9268	0
4	0.897195	13.577	0
5	0.871908	13.1944	0
6	0.849025	12.8481	0
7	0.825167	12.487	0
8	0.80225	12.1402	0
9	0.781081	11.8199	0
10	0.749401	11.3405	0
11	0.723121	10.9428	0
12	0.698172	10.5653	0
13	0.676431	10.2363	0
14	0.651247	9.8551	0
15	0.629658	9.5285	0
16	0.605483	9.1626	0
17	0.579402	8.7679	0
18	0.552735	8.3644	0
19	0.522406	7.9054	0
20	0.49507	7.4918	0
21	0.466192	7.0548	0
22	0.437745	6.6243	0
23	0.414826	6.2775	0
24	0.39403	5.9628	0
25	0.371103	5.6158	0
26	0.34541	5.227	0
27	0.320268	4.8465	1e-06
28	0.298996	4.5246	5e-06
29	0.278263	4.2109	1.8e-05
30	0.255705	3.8695	7.1e-05
31	0.231472	3.5028	0.000277
32	0.211604	3.2021	0.000779
33	0.193711	2.9314	0.001858
34	0.178725	2.7046	0.003676
35	0.162914	2.4653	0.007212
36	0.153389	2.3212	0.010578
37	0.143411	2.1702	0.01551
38	0.134053	2.0286	0.021829
39	0.123281	1.8656	0.031689
40	0.110666	1.6747	0.047681
41	0.101342	1.5336	0.063257
42	0.094096	1.4239	0.077914
43	0.088177	1.3344	0.091706
44	0.079539	1.2036	0.114985
45	0.0709	1.0729	0.142219
46	0.061071	0.9242	0.178186
47	0.050917	0.7705	0.220894
48	0.041659	0.6304	0.264525
49	0.03531	0.5343	0.296811
50	0.025678	0.3886	0.348974
51	0.014496	0.2194	0.413284
52	0.005007	0.0758	0.469836
53	-0.001535	-0.0232	0.490743
54	-0.00977	-0.1479	0.441294
55	-0.020508	-0.3103	0.378292
56	-0.032717	-0.4951	0.310505
57	-0.042981	-0.6504	0.258035
58	-0.053885	-0.8154	0.207836
59	-0.066215	-1.002	0.158697
60	-0.078034	-1.1809	0.11944

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.971823	14.7064	0
2	0.008599	0.1301	0.448289
3	0.028053	0.4245	0.335791
4	0.015843	0.2397	0.405372
5	-0.048413	-0.7326	0.232271
6	0.030464	0.461	0.322617
7	-0.030446	-0.4607	0.322717
8	0.0047	0.0711	0.471682
9	0.021867	0.3309	0.370507
10	-0.2037	-3.0825	0.001152
11	0.083851	1.2689	0.102882
12	-0.005831	-0.0882	0.464881
13	0.04174	0.6316	0.264127
14	-0.051909	-0.7855	0.216479
15	0.030279	0.4582	0.323618
16	-0.046461	-0.7031	0.241361
17	-0.06137	-0.9287	0.177013
18	-0.028233	-0.4272	0.334799
19	-0.061448	-0.9299	0.176707
20	0.011208	0.1696	0.432737
21	-0.052293	-0.7913	0.214784
22	-0.030933	-0.4681	0.320076
23	0.124296	1.8809	0.030624
24	-0.020608	-0.3119	0.377718
25	-0.010462	-0.1583	0.437173
26	-0.068725	-1.04	0.149717
27	-0.013697	-0.2073	0.417988
28	0.069914	1.058	0.145587
29	-0.040749	-0.6166	0.269043
30	-0.020924	-0.3166	0.375903
31	-0.058203	-0.8808	0.189684
32	0.031546	0.4774	0.316775
33	0.026061	0.3944	0.346835
34	0.067222	1.0173	0.155052
35	0.011683	0.1768	0.429911
36	0.086633	1.311	0.095585
37	-0.027174	-0.4112	0.340649
38	0.001489	0.0225	0.491022
39	-0.020887	-0.3161	0.376118
40	-0.047658	-0.7212	0.235762
41	0.016423	0.2485	0.401978
42	0.037328	0.5649	0.286358
43	-0.002861	-0.0433	0.482751
44	-0.02579	-0.3903	0.348351
45	-0.047973	-0.726	0.2343
46	0.00695	0.1052	0.458165
47	-0.031185	-0.4719	0.318719
48	0.014577	0.2206	0.412801
49	0.032458	0.4912	0.311885
50	-0.079048	-1.1962	0.116424
51	-0.055833	-0.8449	0.199522
52	-0.019165	-0.29	0.386033
53	0.054189	0.82	0.206528
54	-0.044362	-0.6713	0.251346
55	-0.02869	-0.4342	0.332288
56	-0.035728	-0.5407	0.294633
57	0.00429	0.0649	0.474145
58	-0.031528	-0.4771	0.316869
59	-0.024691	-0.3736	0.354509
60	0.01331	0.2014	0.420273

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660044yyqvqocr4ktlwju/1ias81275659994.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660044yyqvqocr4ktlwju/1ias81275659994.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660044yyqvqocr4ktlwju/2ias81275659994.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275660044yyqvqocr4ktlwju/2ias81275659994.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ; par6 = White Noise ; 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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