Autocorrelation Function - grondstoffen (1)
| Summary of compuational 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 |
| 0 | 1 | 8.1854 | 0 |
| 1 | 0.948216 | 7.7615 | 0 |
| 2 | 0.897824 | 7.349 | 0 |
| 3 | 0.855378 | 7.0016 | 0 |
| 4 | 0.813731 | 6.6607 | 0 |
| 5 | 0.77612 | 6.3528 | 0 |
| 6 | 0.740065 | 6.0577 | 0 |
| 7 | 0.714201 | 5.846 | 0 |
| 8 | 0.679166 | 5.5592 | 0 |
| 9 | 0.653344 | 5.3478 | 1e-06 |
| 10 | 0.631428 | 5.1685 | 1e-06 |
| 11 | 0.594786 | 4.8685 | 4e-06 |
| 12 | 0.541123 | 4.4293 | 1.8e-05 |
| 13 | 0.487093 | 3.987 | 8.4e-05 |
| 14 | 0.44153 | 3.6141 | 0.000289 |
| 15 | 0.38954 | 3.1885 | 0.001087 |
| 16 | 0.330142 | 2.7023 | 0.004358 |
| 17 | 0.280922 | 2.2994 | 0.012302 |
| 18 | 0.234548 | 1.9199 | 0.029567 |
| 19 | 0.187529 | 1.535 | 0.064747 |
| 20 | 0.152163 | 1.2455 | 0.108642 |
| 21 | 0.1128 | 0.9233 | 0.179581 |
| 22 | 0.069126 | 0.5658 | 0.286703 |
| 23 | 0.020381 | 0.1668 | 0.434006 |
| 24 | -0.026281 | -0.2151 | 0.584837 |
| 25 | -0.065578 | -0.5368 | 0.703401 |
| 26 | -0.107584 | -0.8806 | 0.809163 |
| 27 | -0.141751 | -1.1603 | 0.874974 |
| 28 | -0.179715 | -1.471 | 0.927018 |
| 29 | -0.213805 | -1.7501 | 0.957657 |
| 30 | -0.240226 | -1.9663 | 0.973298 |
| 31 | -0.266872 | -2.1844 | 0.983783 |
| 32 | -0.286301 | -2.3435 | 0.98896 |
| 33 | -0.309558 | -2.5338 | 0.993187 |
| 34 | -0.330912 | -2.7086 | 0.995716 |
| 35 | -0.34839 | -2.8517 | 0.997112 |
| 36 | -0.373321 | -3.0558 | 0.998389 |
| 37 | -0.390709 | -3.1981 | 0.998943 |
| 38 | -0.405093 | -3.3158 | 0.999261 |
| 39 | -0.413993 | -3.3887 | 0.99941 |
| 40 | -0.419681 | -3.4352 | 0.99949 |
| 41 | -0.431262 | -3.53 | 0.999622 |
| 42 | -0.435053 | -3.5611 | 0.999657 |
| 43 | -0.438426 | -3.5887 | 0.999686 |
| 44 | -0.432652 | -3.5414 | 0.999635 |
| 45 | -0.423576 | -3.4671 | 0.999538 |
| 46 | -0.417846 | -3.4202 | 0.999465 |
| 47 | -0.413614 | -3.3856 | 0.999404 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.948216 | 7.7615 | 0 |
| 1 | -0.012786 | -0.1047 | 0.54152 |
| 2 | 0.052397 | 0.4289 | 0.334691 |
| 3 | -0.013145 | -0.1076 | 0.542683 |
| 4 | 0.023099 | 0.1891 | 0.425302 |
| 5 | -0.003598 | -0.0294 | 0.511702 |
| 6 | 0.087351 | 0.715 | 0.238546 |
| 7 | -0.10238 | -0.838 | 0.7975 |
| 8 | 0.089504 | 0.7326 | 0.233173 |
| 9 | 0.011912 | 0.0975 | 0.461308 |
| 10 | -0.139806 | -1.1444 | 0.871728 |
| 11 | -0.196902 | -1.6117 | 0.944137 |
| 12 | -0.04362 | -0.357 | 0.638909 |
| 13 | 0.011159 | 0.0913 | 0.463747 |
| 14 | -0.087585 | -0.7169 | 0.762041 |
| 15 | -0.142553 | -1.1668 | 0.876295 |
| 16 | 0.023811 | 0.1949 | 0.423032 |
| 17 | -0.019058 | -0.156 | 0.561748 |
| 18 | -0.041279 | -0.3379 | 0.631745 |
| 19 | 0.049816 | 0.4078 | 0.342375 |
| 20 | -0.081902 | -0.6704 | 0.747545 |
| 21 | -0.017015 | -0.1393 | 0.555174 |
| 22 | -0.04422 | -0.362 | 0.640739 |
| 23 | -0.057266 | -0.4687 | 0.679612 |
| 24 | 0.026425 | 0.2163 | 0.414708 |
| 25 | 0.00099 | 0.0081 | 0.49678 |
| 26 | 0.036811 | 0.3013 | 0.382054 |
| 27 | -0.092249 | -0.7551 | 0.77358 |
| 28 | -0.008254 | -0.0676 | 0.526832 |
| 29 | 0.04004 | 0.3277 | 0.372063 |
| 30 | -0.041253 | -0.3377 | 0.631667 |
| 31 | 0.030407 | 0.2489 | 0.402102 |
| 32 | -0.013451 | -0.1101 | 0.543672 |
| 33 | -0.018802 | -0.1539 | 0.560926 |
| 34 | 0.007757 | 0.0635 | 0.474781 |
| 35 | -0.111291 | -0.911 | 0.817208 |
| 36 | 0.019843 | 0.1624 | 0.435731 |
| 37 | 0.018474 | 0.1512 | 0.44013 |
| 38 | 0.028452 | 0.2329 | 0.408279 |
| 39 | -0.022272 | -0.1823 | 0.572054 |
| 40 | -0.114228 | -0.935 | 0.823426 |
| 41 | 0.02839 | 0.2324 | 0.408475 |
| 42 | 0.014342 | 0.1174 | 0.453448 |
| 43 | 0.054409 | 0.4454 | 0.328747 |
| 44 | 0.008769 | 0.0718 | 0.471498 |
| 45 | -0.016309 | -0.1335 | 0.5529 |
| 46 | -0.050506 | -0.4134 | 0.659686 |
| 47 | 0.000546 | 0.0045 | 0.498223 |
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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 (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='lags',ylab='ACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
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