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Paper : Opgave 6 BIS /(oef2) - Ishia Opgenhaffen

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 15:14:11 +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/May/03/t1272899722drcfp6cq9eqohu1.htm/, Retrieved Mon, 03 May 2010 17:15:25 +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/May/03/t1272899722drcfp6cq9eqohu1.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 «

121,67 121,65 121,61 121,5 121,41 121,41 121,4 121,38 121,34 121,19 120,96 120,96 120,96 120,9 120,86 120,73 120,53 120,53 120,53 120,52 120,51 120,43 120,29 120,27 120,27 120,24 120,21 120,06 119,86 119,85 119,85 119,83 119,71 119,57 119,2 119,13 119,13 119,09 118,9 118,54 118,12 118,11 118,1 118,08 117,91 117,63 117,28 117,2 117,17 117,14 116,96 116,34 115,99 115,99 115,97 115,92 115,63 115,31 115,13 115,09 115,07 115,01 114,64 113,86 113,34 113,33 113,32 113,26 113,2 112,61 112,28 112,16

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	0.953813	8.0934	0
2	0.905219	7.681	0
3	0.858856	7.2876	0
4	0.818773	6.9475	0
5	0.778518	6.6059	0
6	0.735689	6.2425	0
7	0.688494	5.8421	0
8	0.63819	5.4152	0
9	0.592198	5.025	2e-06
10	0.554836	4.7079	6e-06
11	0.521639	4.4263	1.7e-05
12	0.486257	4.126	4.9e-05
13	0.447244	3.795	0.000153
14	0.406377	3.4482	0.000473
15	0.366606	3.1108	0.001337
16	0.330448	2.8039	0.003242
17	0.297413	2.5236	0.006911
18	0.262303	2.2257	0.014582
19	0.224134	1.9018	0.030596
20	0.18392	1.5606	0.0615
21	0.146644	1.2443	0.108709
22	0.116052	0.9847	0.164027
23	0.087184	0.7398	0.230919
24	0.056449	0.479	0.3167
25	0.023277	0.1975	0.421992
26	-0.010604	-0.09	0.464278
27	-0.041265	-0.3501	0.363627
28	-0.068421	-0.5806	0.28167
29	-0.093379	-0.7923	0.215381
30	-0.120029	-1.0185	0.15593
31	-0.148765	-1.2623	0.105456
32	-0.178643	-1.5158	0.066969
33	-0.203891	-1.7301	0.043951
34	-0.224726	-1.9069	0.030264
35	-0.241863	-2.0523	0.02189
36	-0.259643	-2.2031	0.015393
37	-0.278993	-2.3673	0.010303
38	-0.298296	-2.5311	0.006777
39	-0.312881	-2.6549	0.00488
40	-0.324019	-2.7494	0.003772
41	-0.331736	-2.8149	0.003145
42	-0.340249	-2.8871	0.002565
43	-0.34984	-2.9685	0.002031
44	-0.359825	-3.0532	0.001586
45	-0.366903	-3.1133	0.001327
46	-0.37084	-3.1467	0.001201
47	-0.372711	-3.1626	0.001145
48	-0.374658	-3.1791	0.001089

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.953813	8.0934	0
2	-0.050313	-0.4269	0.335356
3	-5.6e-05	-5e-04	0.499812
4	0.043533	0.3694	0.356459
5	-0.027154	-0.2304	0.409214
6	-0.048237	-0.4093	0.341766
7	-0.067618	-0.5738	0.283959
8	-0.061906	-0.5253	0.300499
9	0.014076	0.1194	0.452629
10	0.058845	0.4993	0.309539
11	0.016573	0.1406	0.444279
12	-0.037669	-0.3196	0.375085
13	-0.048733	-0.4135	0.34023
14	-0.042434	-0.3601	0.359928
15	-0.026593	-0.2256	0.411058
16	-0.00491	-0.0417	0.483443
17	-0.001726	-0.0146	0.494177
18	-0.04166	-0.3535	0.362373
19	-0.042325	-0.3591	0.36027
20	-0.042264	-0.3586	0.360463
21	-0.007379	-0.0626	0.475123
22	0.027543	0.2337	0.407938
23	-0.020353	-0.1727	0.431685
24	-0.041721	-0.354	0.362181
25	-0.038157	-0.3238	0.373524
26	-0.032835	-0.2786	0.39067
27	-0.007244	-0.0615	0.475579
28	-0.0121	-0.1027	0.459255
29	-0.016009	-0.1358	0.446162
30	-0.03765	-0.3195	0.375149
31	-0.034835	-0.2956	0.384199
32	-0.039076	-0.3316	0.370588
33	0.00492	0.0418	0.483406
34	-0.00294	-0.025	0.490082
35	0.002383	0.0202	0.491962
36	-0.025313	-0.2148	0.415271
37	-0.029472	-0.2501	0.401619
38	-0.023025	-0.1954	0.422826
39	0.00793	0.0673	0.47327
40	-0.012838	-0.1089	0.45678
41	0.002075	0.0176	0.493001
42	-0.021605	-0.1833	0.42753
43	-0.017693	-0.1501	0.440541
44	-0.023133	-0.1963	0.422468
45	-0.007181	-0.0609	0.47579
46	-0.011007	-0.0934	0.462924
47	-0.009117	-0.0774	0.469275
48	-0.012868	-0.1092	0.456677

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272899722drcfp6cq9eqohu1/1jvt01272899650.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272899722drcfp6cq9eqohu1/1jvt01272899650.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272899722drcfp6cq9eqohu1/2jvt01272899650.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272899722drcfp6cq9eqohu1/2jvt01272899650.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')

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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