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Uitvoer Amerika - (Partial) autocorrelation

*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: Thu, 04 Dec 2008 10:15:44 -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/04/t1228410990pd63tdf7opyd7hz.htm/, Retrieved Thu, 04 Dec 2008 17:16:32 +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/04/t1228410990pd63tdf7opyd7hz.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1190,8 728,8 995,6 1260,3 994 957,3 975,6 884,9 908,4 1022,8 958,6 825,1 1116,6 724,2 1004,5 1058,9 854,7 943,4 792,4 873,2 1101,4 987,1 1038,8 1060,7 1047,7 840 1044 1097,4 987,5 934 977 881,1 1083,3 1074,7 1182,2 1117,5 1117,4 936,2 1246,3 1175,1 1177,7 1035,8 1091,6 998,7 1247,9 1034,7 1287,7 994,0 1122,8 1017,3 1106,0 1191,8 1030,1 989,4 979,6 1088,0 1389,2 1043,9 1182,1 1109,6 1463,3 1276,2 1082,4 1360,4 1130,2 1019,6 1077,0 958,8 959,6 907,2 880,8 759,6 1137,2

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.2168	1.8523	0.03401
2	0.273785	2.3392	0.011032
3	0.271519	2.3199	0.011574
4	0.225735	1.9287	0.028829
5	0.217326	1.8568	0.033685
6	0.218877	1.8701	0.032741
7	0.038351	0.3277	0.372049
8	0.016975	0.145	0.442541
9	-0.007672	-0.0655	0.473958
10	0.051115	0.4367	0.331799
11	-0.048695	-0.416	0.339298
12	0.354147	3.0258	0.001711
13	-0.067384	-0.5757	0.283284
14	0.06208	0.5304	0.298718
15	-0.020854	-0.1782	0.429538
16	0.077767	0.6644	0.254249
17	0.152934	1.3067	0.097714
18	0.11985	1.024	0.154608
19	-0.061863	-0.5286	0.299357
20	0.032981	0.2818	0.389451
21	-0.023385	-0.1998	0.421094
22	0.025232	0.2156	0.414957
23	-0.028678	-0.245	0.403563
24	0.126864	1.0839	0.140982
25	-0.135087	-1.1542	0.126094
26	-0.060916	-0.5205	0.302156
27	-0.134823	-1.1519	0.126555
28	-0.073373	-0.6269	0.266342
29	-0.09391	-0.8024	0.212473
30	-0.100403	-0.8578	0.196893
31	-0.219569	-1.876	0.032327
32	-0.146426	-1.2511	0.107452
33	-0.214609	-1.8336	0.035393
34	-0.06263	-0.5351	0.297099
35	-0.172956	-1.4777	0.07189
36	0.007486	0.064	0.474589
37	-0.141909	-1.2125	0.114621
38	-0.138749	-1.1855	0.119838
39	-0.076031	-0.6496	0.258991
40	-0.033059	-0.2825	0.389196
41	-0.039583	-0.3382	0.368092
42	-0.118288	-1.0107	0.157761
43	-0.149231	-1.275	0.10317
44	-0.100966	-0.8627	0.195577
45	-0.19001	-1.6234	0.054402
46	-0.003293	-0.0281	0.488814
47	-0.184344	-1.575	0.059787
48	-0.046169	-0.3945	0.347193
49	-0.097511	-0.8331	0.203744
50	-0.149691	-1.279	0.102481
51	-0.015677	-0.1339	0.446907
52	-0.005466	-0.0467	0.48144
53	0.006669	0.057	0.477357
54	-0.043058	-0.3679	0.357011
55	-0.075815	-0.6478	0.259584
56	-0.006084	-0.052	0.479344
57	0.049908	0.4264	0.33553
58	0.070233	0.6001	0.275158
59	-0.093158	-0.7959	0.214324
60	0.105139	0.8983	0.185988

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.2168	1.8523	0.03401
2	0.237968	2.0332	0.022834
3	0.194315	1.6602	0.050579
4	0.10975	0.9377	0.175745
5	0.084364	0.7208	0.236665
6	0.083257	0.7113	0.239569
7	-0.132117	-1.1288	0.131338
8	-0.129557	-1.1069	0.135977
9	-0.096248	-0.8223	0.20678
10	0.044819	0.3829	0.351439
11	-0.044891	-0.3835	0.351215
12	0.480189	4.1027	5.2e-05
13	-0.105259	-0.8993	0.185716
14	0.015727	0.1344	0.44674
15	-0.23781	-2.0318	0.022904
16	-0.005153	-0.044	0.482503
17	0.07505	0.6412	0.261693
18	0.067029	0.5727	0.284305
19	-0.055951	-0.478	0.317022
20	0.058642	0.501	0.308925
21	-0.021975	-0.1878	0.425795
22	-0.075489	-0.645	0.260482
23	-0.008178	-0.0699	0.472243
24	-0.034554	-0.2952	0.384328
25	0.008574	0.0733	0.470903
26	-0.115349	-0.9855	0.163806
27	-0.018719	-0.1599	0.436687
28	-0.093475	-0.7987	0.213541
29	-0.117746	-1.006	0.158864
30	-0.089219	-0.7623	0.224172
31	0.031114	0.2658	0.395558
32	0.012349	0.1055	0.458132
33	-0.051922	-0.4436	0.329315
34	0.06234	0.5326	0.297951
35	-0.104644	-0.8941	0.18711
36	0.127377	1.0883	0.14002
37	-0.068631	-0.5864	0.279713
38	-0.08962	-0.7657	0.223158
39	0.022818	0.195	0.422984
40	-0.015815	-0.1351	0.446442
41	0.050629	0.4326	0.3333
42	-0.163267	-1.395	0.083629
43	0.042466	0.3628	0.35889
44	-0.082091	-0.7014	0.242647
45	0.021408	0.1829	0.427688
46	0.039579	0.3382	0.368105
47	0.025116	0.2146	0.415343
48	-0.02939	-0.2511	0.401216
49	0.042414	0.3624	0.359055
50	-0.063538	-0.5429	0.294436
51	0.040965	0.35	0.363672
52	0.018385	0.1571	0.437809
53	-0.021558	-0.1842	0.427187
54	0.035208	0.3008	0.382206
55	-0.064805	-0.5537	0.290741
56	0.021354	0.1824	0.427868
57	0.113464	0.9694	0.167764
58	-0.049322	-0.4214	0.337347
59	-0.05538	-0.4732	0.318754
60	0.096166	0.8216	0.206979

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228410990pd63tdf7opyd7hz/1gyq21228410942.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228410990pd63tdf7opyd7hz/1gyq21228410942.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228410990pd63tdf7opyd7hz/2rfmn1228410942.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228410990pd63tdf7opyd7hz/2rfmn1228410942.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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')

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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