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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 15:16:06 +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/t12728998337mmkubf941xur7v.htm/, Retrieved Mon, 03 May 2010 17:17:15 +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/t12728998337mmkubf941xur7v.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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.441842	3.723	0.000196
2	-0.176102	-1.4839	0.071136
3	-0.367767	-3.0989	0.001392
4	-0.196831	-1.6585	0.050812
5	0.321856	2.712	0.004192
6	0.684161	5.7648	0
7	0.339475	2.8605	0.002776
8	-0.135451	-1.1413	0.128783
9	-0.319658	-2.6935	0.004408
10	-0.14208	-1.1972	0.117608
11	0.30571	2.576	0.006039
12	0.583811	4.9193	3e-06
13	0.244016	2.0561	0.021725
14	-0.189654	-1.5981	0.057237
15	-0.297807	-2.5094	0.007189
16	-0.107387	-0.9049	0.184299
17	0.279643	2.3563	0.010611
18	0.457578	3.8556	0.000126
19	0.119857	1.0099	0.157978
20	-0.203865	-1.7178	0.045097
21	-0.279204	-2.3526	0.010709
22	-0.107031	-0.9019	0.18509
23	0.238122	2.0065	0.024309
24	0.357539	3.0127	0.001793
25	0.072199	0.6084	0.272445
26	-0.196197	-1.6532	0.051354
27	-0.264814	-2.2314	0.014408
28	-0.130568	-1.1002	0.137484
29	0.177772	1.4979	0.069292
30	0.232757	1.9612	0.026886
31	-0.00581	-0.049	0.480547
32	-0.186483	-1.5713	0.060276
33	-0.248558	-2.0944	0.019898
34	-0.143656	-1.2105	0.115057
35	0.108555	0.9147	0.181723
36	0.119992	1.0111	0.157708
37	-0.056677	-0.4776	0.317213
38	-0.173669	-1.4634	0.073891
39	-0.201472	-1.6976	0.046978
40	-0.125228	-1.0552	0.147458
41	0.050976	0.4295	0.33442
42	0.061632	0.5193	0.302577
43	-0.091179	-0.7683	0.222432
44	-0.170071	-1.433	0.078117
45	-0.180951	-1.5247	0.065886
46	-0.107174	-0.9031	0.184773
47	0.033664	0.2837	0.388748
48	0.042309	0.3565	0.361262

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.441842	3.723	0.000196
2	-0.461403	-3.8879	0.000113
3	-0.079233	-0.6676	0.253268
4	-0.015952	-0.1344	0.446728
5	0.449751	3.7897	0.000157
6	0.406395	3.4243	0.000514
7	-0.117954	-0.9939	0.161825
8	0.051406	0.4332	0.333107
9	0.003428	0.0289	0.488518
10	0.090939	0.7663	0.223028
11	0.106878	0.9006	0.18543
12	0.135549	1.1422	0.128613
13	-0.162206	-1.3668	0.088005
14	-0.024138	-0.2034	0.419704
15	0.049653	0.4184	0.338465
16	-0.007167	-0.0604	0.476008
17	0.005799	0.0489	0.480581
18	-0.068886	-0.5804	0.281727
19	-0.123202	-1.0381	0.151369
20	0.071511	0.6026	0.274359
21	-0.062888	-0.5299	0.298916
22	-0.052779	-0.4447	0.328936
23	-0.025655	-0.2162	0.414736
24	-0.025295	-0.2131	0.415914
25	0.02176	0.1834	0.427521
26	0.025102	0.2115	0.416548
27	-0.058227	-0.4906	0.3126
28	-0.103821	-0.8748	0.192314
29	0.0393	0.3311	0.370755
30	-0.123463	-1.0403	0.150861
31	0.02233	0.1882	0.425646
32	-0.017555	-0.1479	0.441414
33	-0.095257	-0.8027	0.212428
34	-0.047338	-0.3989	0.345591
35	-0.021217	-0.1788	0.429311
36	-0.101517	-0.8554	0.197605
37	0.012478	0.1051	0.45828
38	-0.03149	-0.2653	0.395757
39	0.019331	0.1629	0.435535
40	-0.033631	-0.2834	0.388856
41	-0.029282	-0.2467	0.402911
42	0.027909	0.2352	0.40738
43	-0.03134	-0.2641	0.396242
44	-0.011156	-0.094	0.462685
45	-0.019825	-0.1671	0.433903
46	0.037628	0.3171	0.376065
47	-0.039406	-0.332	0.370419
48	0.094179	0.7936	0.215046

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t12728998337mmkubf941xur7v/138yw1272899765.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12728998337mmkubf941xur7v/138yw1272899765.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12728998337mmkubf941xur7v/238yw1272899765.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12728998337mmkubf941xur7v/238yw1272899765.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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