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Opgave 6 Bis Oef2 Deel 2 Trang Huynh Tuyet

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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 22:00:52 +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/06/t1273096950uczqik2te641yyq.htm/, Retrieved Thu, 06 May 2010 00:02:30 +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/06/t1273096950uczqik2te641yyq.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 «

93.2 96 95.2 77.1 70.9 64.8 70.1 77.3 79.5 100.6 100.7 107.1 95.9 82.8 83.3 80 80.4 67.5 75.7 71.1 89.3 101.1 105.2 114.1 96.3 84.4 91.2 81.9 80.5 70.4 74.8 75.9 86.3 98.7 100.9 113.8 89.8 84.4 87.2 85.6 72 69.2 77.5 78.1 94.3 97.7 100.2 116.4 97.1 93 96 80.5 76.1 69.9 73.6 92.6 94.2 93.5 108.5 109.4 105.1 92.5 97.1 81.4 79.1 72.1 78.7 87.1 91.4 109.9 116.3 113 100 84.8 94.3 87.1 90.3 72.4 84.9 92.7 92.2 114.9 112.5 118.3 106 91.2 96.6 96.3 88.2 70.2 86.5 88.2 102.8 119.1 119.2 125.1

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.038985	0.38	0.352405
2	0.110453	1.0766	0.142202
3	-0.036737	-0.3581	0.360544
4	-0.251567	-2.452	0.008017
5	-0.088487	-0.8625	0.195301
6	-0.4213	-4.1063	4.3e-05
7	-0.155357	-1.5142	0.066644
8	-0.218381	-2.1285	0.017941
9	0.058487	0.5701	0.284992
10	0.000165	0.0016	0.499361
11	0.20519	1.9999	0.024181
12	0.619093	6.0342	0
13	0.057253	0.558	0.289066
14	0.176932	1.7245	0.043934
15	-0.095311	-0.929	0.177628
16	-0.124816	-1.2166	0.113393
17	-0.122407	-1.1931	0.117905
18	-0.404024	-3.9379	7.8e-05
19	-0.153541	-1.4965	0.068914
20	-0.14724	-1.4351	0.077269
21	0.069955	0.6818	0.248499
22	0.01423	0.1387	0.444992
23	0.216323	2.1085	0.018811
24	0.414206	4.0372	5.5e-05
25	0.118077	1.1509	0.126336
26	0.116274	1.1333	0.129971
27	-0.037412	-0.3646	0.358093
28	-0.113314	-1.1044	0.136094
29	-0.127655	-1.2442	0.108238
30	-0.368942	-3.596	0.000257
31	-0.164228	-1.6007	0.056382
32	0.013865	0.1351	0.446395
33	-0.060811	-0.5927	0.277392
34	0.105795	1.0312	0.152542
35	0.157767	1.5377	0.06372
36	0.278024	2.7098	0.003993
37	0.213006	2.0761	0.020292
38	0.024041	0.2343	0.407619
39	-0.041967	-0.409	0.341714
40	-0.093066	-0.9071	0.183327
41	-0.101318	-0.9875	0.162946
42	-0.295362	-2.8788	0.002466
43	-0.084464	-0.8232	0.206214
44	-0.051527	-0.5022	0.308337
45	-0.104255	-1.0162	0.156069
46	0.194222	1.893	0.030698
47	0.027368	0.2667	0.395122
48	0.327315	3.1903	0.000963

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.038985	0.38	0.352405
2	0.109099	1.0634	0.145157
3	-0.045435	-0.4428	0.329441
4	-0.264648	-2.5795	0.005714
5	-0.067945	-0.6622	0.254709
6	-0.389622	-3.7976	0.000129
7	-0.198711	-1.9368	0.027871
8	-0.317431	-3.0939	0.001297
9	-0.080971	-0.7892	0.215977
10	-0.354638	-3.4566	0.00041
11	-0.089767	-0.8749	0.191908
12	0.437716	4.2663	2.3e-05
13	0.004914	0.0479	0.480951
14	-0.041105	-0.4006	0.344793
15	0.026323	0.2566	0.399035
16	0.069312	0.6756	0.250479
17	-0.032555	-0.3173	0.375852
18	-0.106768	-1.0406	0.15034
19	0.008897	0.0867	0.465539
20	0.037026	0.3609	0.359494
21	-0.004022	-0.0392	0.484406
22	0.004377	0.0427	0.483031
23	-0.018163	-0.177	0.429932
24	0.029308	0.2857	0.387882
25	0.023863	0.2326	0.40829
26	-0.08552	-0.8335	0.203313
27	0.115316	1.124	0.131931
28	-0.057261	-0.5581	0.289039
29	0.024982	0.2435	0.404076
30	-0.071556	-0.6974	0.243616
31	-0.00272	-0.0265	0.489453
32	0.201345	1.9625	0.026317
33	-0.173446	-1.6905	0.047101
34	0.055502	0.541	0.294898
35	0.03747	0.3652	0.357883
36	-0.074437	-0.7255	0.234958
37	0.090655	0.8836	0.189573
38	-0.036646	-0.3572	0.360874
39	-0.073455	-0.7159	0.23789
40	0.005193	0.0506	0.479869
41	0.034917	0.3403	0.367182
42	0.113495	1.1062	0.135715
43	0.003453	0.0337	0.48661
44	-0.073045	-0.712	0.23912
45	-0.067117	-0.6542	0.257288
46	0.062675	0.6109	0.271369
47	-0.032039	-0.3123	0.377758
48	0.01038	0.1012	0.459815

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/06/t1273096950uczqik2te641yyq/15rn81273096849.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/06/t1273096950uczqik2te641yyq/15rn81273096849.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/06/t1273096950uczqik2te641yyq/25rn81273096849.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/06/t1273096950uczqik2te641yyq/25rn81273096849.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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