Home » date » 2010 » May » 05 »

Jeroen De Laet opdracht 6 bis eigen reeks stap 2

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 05 May 2010 17:47:07 +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/05/t127308167534dmi0p9u9ntg3o.htm/, Retrieved Wed, 05 May 2010 19:47:55 +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/05/t127308167534dmi0p9u9ntg3o.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 «

15136 16733 20016 17708 18019 19227 22893 23739 21133 22591 26786 29740 15028 17977 20008 21354 19498 22125 25817 28779 20960 22254 27392 29945 16933 17892 20533 23569 22417 22084 26580 27454 24081 23451 28991 31386 16896 20045 23471 21747 25621 23859 25500 30998 24475 23145 29701 34365 17556 22077 25702 22214 26886 23191 27831 35406 23195 25110 30009 36242 18450 21845 26488 22394 28057 25451 24872 33424 24052 28449 33533 37351 19969 21701 26249 24493 24603 26485 30723 34569 26689 26157 32064 38870 21337 19419 23166 28286 24570 24001 33151 24878 26804 28967 33311 40226 20504 23060 23562 27562 23940 24584 34303 25517 23494 29095 32903 34379 16991 21109 23740 25552 21752 20294 29009 25500 24166 26960 31222 38641 14672 17543 25453 32683 22449 22316 27595 25451 25421 25288 32568 35110 16052 22146 21198 19543 22084 23816 29961 26773 26635 26972 30207 38687 16974 21697 24 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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.30023	-3.9717	5.2e-05
2	-0.312709	-4.1368	2.7e-05
3	-0.010389	-0.1374	0.445422
4	0.24609	3.2555	0.00068
5	0.07334	0.9702	0.166645
6	-0.398124	-5.2667	0
7	0.104006	1.3759	0.08531
8	0.220373	2.9153	0.002009
9	-0.018335	-0.2425	0.404321
10	-0.280445	-3.7099	0.000139
11	-0.215744	-2.854	0.002419
12	0.799376	10.5747	0
13	-0.22546	-2.9825	0.001633
14	-0.287632	-3.805	9.8e-05
15	0.005622	0.0744	0.4704
16	0.20447	2.7049	0.003754
17	0.083685	1.107	0.134896
18	-0.365819	-4.8393	1e-06
19	0.087417	1.1564	0.124542
20	0.202007	2.6723	0.004123
21	-0.023862	-0.3157	0.376318
22	-0.256923	-3.3988	0.000419
23	-0.171498	-2.2687	0.012254
24	0.709889	9.3909	0
25	-0.201443	-2.6648	0.004211
26	-0.252724	-3.3432	0.000506
27	-0.030389	-0.402	0.344084
28	0.245659	3.2498	0.000693
29	0.040102	0.5305	0.298218
30	-0.346818	-4.588	4e-06
31	0.096133	1.2717	0.10258
32	0.197003	2.6061	0.004974
33	-0.019336	-0.2558	0.399209
34	-0.281637	-3.7257	0.000131
35	-0.113925	-1.5071	0.066796
36	0.63265	8.3692	0
37	-0.178708	-2.3641	0.009585
38	-0.222522	-2.9437	0.001842
39	-0.071305	-0.9433	0.173419
40	0.281842	3.7284	0.00013
41	0.019302	0.2553	0.399378
42	-0.348096	-4.6049	4e-06
43	0.111225	1.4714	0.071495
44	0.21818	2.8863	0.002195
45	-0.077648	-1.0272	0.152876
46	-0.234654	-3.1042	0.001113
47	-0.091412	-1.2093	0.114096
48	0.562549	7.4418	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.30023	-3.9717	5.2e-05
2	-0.442756	-5.8571	0
3	-0.381095	-5.0414	1e-06
4	-0.103403	-1.3679	0.086549
5	0.088121	1.1657	0.122654
6	-0.307156	-4.0633	3.6e-05
7	-0.168772	-2.2326	0.01342
8	-0.067688	-0.8954	0.185895
9	-0.047058	-0.6225	0.267207
10	-0.243965	-3.2273	0.000746
11	-0.729851	-9.655	0
12	0.210819	2.7889	0.002937
13	0.074982	0.9919	0.161305
14	0.119169	1.5765	0.058364
15	0.169009	2.2358	0.013315
16	-0.016307	-0.2157	0.414726
17	0.060521	0.8006	0.212217
18	0.107178	1.4178	0.079009
19	0.020439	0.2704	0.393593
20	0.034202	0.4524	0.325753
21	-0.017577	-0.2325	0.408204
22	-0.096915	-1.2821	0.100757
23	-0.17553	-2.322	0.010691
24	0.052753	0.6979	0.243097
25	0.004354	0.0576	0.477067
26	0.118709	1.5704	0.059068
27	-0.058653	-0.7759	0.219427
28	0.140542	1.8592	0.032339
29	0.0318	0.4207	0.337252
30	0.000983	0.013	0.494822
31	0.040752	0.5391	0.295254
32	0.034227	0.4528	0.325634
33	0.11012	1.4567	0.073489
34	-0.016118	-0.2132	0.415701
35	-0.056965	-0.7536	0.22606
36	-0.025372	-0.3356	0.368771
37	-0.033822	-0.4474	0.327559
38	0.065681	0.8689	0.193051
39	-0.092492	-1.2236	0.111382
40	0.001268	0.0168	0.493318
41	-0.026523	-0.3509	0.363056
42	-0.071254	-0.9426	0.173591
43	-0.033818	-0.4474	0.32758
44	0.160821	2.1275	0.017391
45	-0.10666	-1.411	0.080014
46	0.125234	1.6567	0.049687
47	0.024429	0.3232	0.373477
48	-0.012566	-0.1662	0.434081

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t127308167534dmi0p9u9ntg3o/1kutl1273081624.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t127308167534dmi0p9u9ntg3o/1kutl1273081624.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t127308167534dmi0p9u9ntg3o/2v4s61273081624.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t127308167534dmi0p9u9ntg3o/2v4s61273081624.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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