blok 17 Q8 acf y(t)

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 03 Dec 2008 14:21:49 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/03/t1228339371itius9pb6m3xigw.htm/, Retrieved Wed, 03 Dec 2008 21:22:51 +0000

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/2008/Dec/03/t1228339371itius9pb6m3xigw.htm/}, year = {2008}, } @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 = {2008}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc]  [reply]  test Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

98,1 101,1 111,1 93,3 100 108 70,4 75,4 105,5 112,3 102,5 93,5 86,7 95,2 103,8 97 95,5 101 67,5 64 106,7 100,6 101,2 93,1 84,2 85,8 91,8 92,4 80,3 79,7 62,5 57,1 100,8 100,7 86,2 83,2 71,7 77,5 89,8 80,3 78,7 93,8 57,6 60,6 91 85,3 77,4 77,3 68,3 69,9 81,7 75,1 69,9 84 54,3 60 89,9 77 85,3 77,6 69,2 75,5 85,7 72,2 79,9 85,3 52,2 61,2 82,4 85,4 78,2 70,2

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 3 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.430617 3.6539 0.000244 2 0.061429 0.5212 0.301899 3 0.212504 1.8032 0.037774 4 0.154401 1.3101 0.097158 5 0.298441 2.5324 0.006756 6 0.468202 3.9728 8.3e-05 7 0.28907 2.4528 0.008298 8 0.159245 1.3512 0.090425 9 0.157358 1.3352 0.093005 10 0.003222 0.0273 0.489131 11 0.298219 2.5305 0.006789 12 0.663844 5.6329 0 13 0.243434 2.0656 0.021233 14 -0.040888 -0.3469 0.364822 15 0.061335 0.5204 0.302174 16 0.007527 0.0639 0.474624 17 0.127293 1.0801 0.141848 18 0.269669 2.2882 0.012531 19 0.106338 0.9023 0.18495 20 0.015921 0.1351 0.446459 21 0.002839 0.0241 0.490423 22 -0.135885 -1.153 0.126358 23 0.109692 0.9308 0.177542 24 0.362331 3.0745 0.001489 25 0.02446 0.2075 0.418084 26 -0.202493 -1.7182 0.045028 27 -0.131153 -1.1129 0.134732 28 -0.134104 -1.1379 0.129465 29 -0.068723 -0.5831 0.280813 30 0.037228 0.3159 0.376499 31 -0.04415 -0.3746 0.35452 32 -0.102515 -0.8699 0.193632 33 -0.136008 -1.1541 0.126145 34 -0.256662 -2.1779 0.016347 35 -0.066988 -0.5684 0.285763 36 0.142434 1.2086 0.115387 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.430617 3.6539 0.000244 2 -0.152231 -1.2917 0.100293 3 0.311148 2.6402 0.005077 4 -0.106106 -0.9003 0.18547 5 0.428568 3.6365 0.000258 6 0.150363 1.2759 0.10305 7 0.118061 1.0018 0.159901 8 0.003653 0.031 0.487679 9 0.006477 0.055 0.478161 10 -0.252789 -2.145 0.017664 11 0.468559 3.9759 8.2e-05 12 0.2605 2.2104 0.015127 13 -0.224211 -1.9025 0.030553 14 -0.169316 -1.4367 0.077569 15 -0.074167 -0.6293 0.265564 16 -0.106843 -0.9066 0.183822 17 -0.066298 -0.5626 0.287741 18 -0.114996 -0.9758 0.166222 19 -0.026091 -0.2214 0.412707 20 -0.037301 -0.3165 0.376265 21 0.037586 0.3189 0.375352 22 -0.064871 -0.5505 0.291857 23 0.066333 0.5629 0.28764 24 -0.058423 -0.4957 0.310796 25 -0.009881 -0.0838 0.466707 26 -0.147612 -1.2525 0.107215 27 -0.003905 -0.0331 0.486831 28 -0.013223 -0.1122 0.455487 29 -0.123196 -1.0454 0.149678 30 -0.041858 -0.3552 0.361746 31 0.068631 0.5823 0.281075 32 0.021833 0.1853 0.426775 33 0.012966 0.11 0.456349 34 -0.058522 -0.4966 0.310501 35 -0.002338 -0.0198 0.492114 36 0.025414 0.2156 0.414936

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339371itius9pb6m3xigw/1siwu1228339303.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339371itius9pb6m3xigw/1siwu1228339303.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339371itius9pb6m3xigw/2piez1228339303.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339371itius9pb6m3xigw/2piez1228339303.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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 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')

Copyright

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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