opgave 6bis

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 05 Jun 2010 11:47:09 +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/05/t12757385005o2p6wt4yq67iw6.htm/, Retrieved Sat, 05 Jun 2010 13:48:20 +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/05/t12757385005o2p6wt4yq67iw6.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

103,6 104,7 105,5 106,6 107,2 107,5 108,3 108,7 108,8 109,8 109,5 109,2 110,6 110,1 109,9 109,7 109,4 109,4 109,4 109,5 109,5 109,9 110 110,8 112,4 112,8 113,7 114,5 114,8 115,6 115,8 115,8 116,3 116,3 116,8 116,7 116,8 117 117,2 117,1 117,3 117,4 117,7 117,9 118,8 119,9 122,4 123,5 125,6 127,4 128,9 129,5 130,8 132,7 134 132,9 133,1 131,7 128,8 125,1 123,9 121,8 119,2 118,9 119,6 120,2 119,6 121 120,4 120,4 121,4 121,7

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 2 seconds R Server 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.966336 8.1996 0 2 0.92404 7.8407 0 3 0.874957 7.4243 0 4 0.819355 6.9525 0 5 0.75839 6.4352 0 6 0.698684 5.9285 0 7 0.641025 5.4393 0 8 0.586083 4.9731 2e-06 9 0.535578 4.5445 1.1e-05 10 0.493494 4.1874 3.9e-05 11 0.452369 3.8385 0.000132 12 0.412447 3.4997 0.000402 13 0.381102 3.2338 0.000923 14 0.349505 2.9656 0.002048 15 0.316785 2.688 0.004462 16 0.283662 2.407 0.009326 17 0.250685 2.1271 0.018418 18 0.21506 1.8248 0.036086 19 0.178813 1.5173 0.066787 20 0.142305 1.2075 0.115597 21 0.103972 0.8822 0.190293 22 0.063993 0.543 0.294403 23 0.02218 0.1882 0.425624 24 -0.018554 -0.1574 0.437672 25 -0.054894 -0.4658 0.321385 26 -0.091475 -0.7762 0.220089 27 -0.124449 -1.056 0.147254 28 -0.155013 -1.3153 0.096286 29 -0.184327 -1.5641 0.061094 30 -0.211095 -1.7912 0.038732 31 -0.236386 -2.0058 0.024318 32 -0.260264 -2.2084 0.0152 33 -0.280347 -2.3788 0.010011 34 -0.29851 -2.5329 0.006745 35 -0.31257 -2.6522 0.004915 36 -0.324067 -2.7498 0.003767 37 -0.333614 -2.8308 0.003007 38 -0.341943 -2.9015 0.002462 39 -0.348426 -2.9565 0.002103 40 -0.355435 -3.016 0.001769 41 -0.362737 -3.0779 0.001474 42 -0.372103 -3.1574 0.001163 43 -0.382536 -3.2459 0.000889 44 -0.394082 -3.3439 0.000657 45 -0.405698 -3.4425 0.000482 46 -0.415659 -3.527 0.000368 47 -0.418759 -3.5533 0.000338 48 -0.419592 -3.5604 0.00033 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.966336 8.1996 0 2 -0.147533 -1.2519 0.107337 3 -0.110366 -0.9365 0.176077 4 -0.105556 -0.8957 0.186707 5 -0.088048 -0.7471 0.228714 6 0.013181 0.1118 0.45563 7 0.008045 0.0683 0.472881 8 0.006245 0.053 0.478942 9 0.021 0.1782 0.429537 10 0.071881 0.6099 0.271914 11 -0.056471 -0.4792 0.316634 12 -0.040497 -0.3436 0.366063 13 0.083858 0.7116 0.239519 14 -0.064736 -0.5493 0.292248 15 -0.048302 -0.4099 0.341563 16 -0.035655 -0.3025 0.381556 17 -0.026625 -0.2259 0.410952 18 -0.04922 -0.4176 0.338725 19 -0.014737 -0.125 0.450418 20 -0.028943 -0.2456 0.403348 21 -0.051707 -0.4387 0.331079 22 -0.03054 -0.2591 0.398134 23 -0.074538 -0.6325 0.264539 24 -0.01928 -0.1636 0.435255 25 0.050377 0.4275 0.33516 26 -0.062789 -0.5328 0.297912 27 -0.000976 -0.0083 0.496708 28 -0.021876 -0.1856 0.426632 29 -0.04292 -0.3642 0.358393 30 -0.019854 -0.1685 0.433343 31 -0.029904 -0.2537 0.40021 32 -0.028168 -0.239 0.405886 33 0.019487 0.1654 0.434566 34 -0.009195 -0.078 0.469013 35 0.003557 0.0302 0.488001 36 0.00051 0.0043 0.498281 37 -0.003502 -0.0297 0.488189 38 -0.039896 -0.3385 0.367974 39 -0.002747 -0.0233 0.490734 40 -0.044021 -0.3735 0.354925 41 -0.038114 -0.3234 0.373663 42 -0.051713 -0.4388 0.33106 43 -0.036642 -0.3109 0.378381 44 -0.035734 -0.3032 0.381301 45 -0.01592 -0.1351 0.44646 46 -0.002587 -0.0219 0.491275 47 0.071273 0.6048 0.273615 48 -0.012986 -0.1102 0.456281

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/05/t12757385005o2p6wt4yq67iw6/1nz351275738425.png (open in new window) http://www.freestatistics.org/blog/date/2010/Jun/05/t12757385005o2p6wt4yq67iw6/1nz351275738425.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Jun/05/t12757385005o2p6wt4yq67iw6/2nz351275738425.png (open in new window) http://www.freestatistics.org/blog/date/2010/Jun/05/t12757385005o2p6wt4yq67iw6/2nz351275738425.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; 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')

Copyright

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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