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Q3 Eigen tijdreeks

*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: Sat, 06 Dec 2008 06:14:50 -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/06/t1228569342zej5c9ltzkrsjf3.htm/, Retrieved Sat, 06 Dec 2008 13:15:44 +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/06/t1228569342zej5c9ltzkrsjf3.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 «
0.9059 0.8883 0.8924 0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227 1.4684
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2516822.15040.017419
2-0.135433-1.15710.125494
3-0.134585-1.14990.126971
40.1124840.96110.169847
50.0156270.13350.447077
6-0.20151-1.72170.04468
7-0.011138-0.09520.462225
80.0214640.18340.427502
90.041620.35560.361583
100.0403110.34440.365763
110.0908160.77590.220147
12-0.008275-0.07070.471913
13-0.046293-0.39550.346804
140.0308770.26380.396332
15-0.080167-0.68490.247773
16-0.161829-1.38270.085491
170.0218170.18640.426323
180.1625091.38850.084607
190.1450961.23970.109529
20-0.043512-0.37180.355571
21-0.085112-0.72720.234715
22-0.057257-0.48920.313082
23-0.073586-0.62870.265747
24-0.085008-0.72630.234985
25-0.197137-1.68430.048193
26-0.09146-0.78140.218537
270.0262360.22420.411628
280.0301250.25740.398802
29-0.051718-0.44190.329942
30-0.092985-0.79450.214749
310.0177410.15160.439968
32-0.079766-0.68150.248848
33-0.179132-1.53050.065107
34-0.049316-0.42140.337365
350.0578770.49450.31122
360.0272440.23280.408296
37-0.088727-0.75810.22542
380.1037280.88630.189195
390.0472820.4040.343706
40-0.011757-0.10040.460132
41-0.031194-0.26650.395294
420.0496470.42420.336339
43-0.008622-0.07370.470737
44-0.147183-1.25750.106285
450.0369160.31540.376674
460.1460991.24830.10796
470.1426181.21850.113473
480.008790.07510.47017
490.0188850.16140.436131
50-0.018567-0.15860.437198
51-0.096349-0.82320.206535
52-0.030357-0.25940.398041
530.0600440.5130.304744
540.0503660.43030.334113
55-0.011118-0.0950.462289
560.0193480.16530.43458
570.0402970.34430.365805
580.0544670.46540.321528
590.0061960.05290.478962
600.0075250.06430.474455


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2516822.15040.017419
2-0.212219-1.81320.036956
3-0.044555-0.38070.352274
40.1530031.30730.097613
5-0.105191-0.89870.185871
6-0.173359-1.48120.071431
70.1476051.26110.105637
8-0.110417-0.94340.174293
90.0311820.26640.395335
100.1169850.99950.160422
110.0211690.18090.428486
12-0.081515-0.69650.244174
130.0615750.52610.300208
140.0164270.14040.444382
15-0.172271-1.47190.072675
16-0.055319-0.47260.318937
170.1637761.39930.082978
18-0.009287-0.07930.468486
190.109190.93290.176968
200.0118470.10120.459826
21-0.144171-1.23180.110988
22-0.072691-0.62110.268244
23-0.014828-0.12670.449766
24-0.093487-0.79880.213512
25-0.19035-1.62640.054092
260.0564090.4820.315638
270.0120670.10310.459083
28-0.166183-1.41990.079952
29-2e-0600.499993
30-0.055943-0.4780.317048
31-0.129538-1.10680.136012
32-0.110266-0.94210.174622
33-0.080218-0.68540.247637
340.0377080.32220.374119
35-0.023514-0.20090.420665
36-0.029718-0.25390.400139
37-0.104546-0.89320.187331
380.0909730.77730.219754
39-0.099849-0.85310.198194
400.0064330.0550.478159
410.0342810.29290.385216
420.0504380.43090.333889
43-0.049093-0.41940.33806
44-0.029428-0.25140.401093
450.0416520.35590.361479
460.0264810.22630.410819
470.1077610.92070.180117
480.0002980.00250.498989
49-0.041959-0.35850.360503
50-0.038501-0.3290.371565
51-0.062309-0.53240.298042
52-0.042696-0.36480.35816
530.0138640.11850.453016
54-0.001317-0.01130.495527
55-0.073087-0.62450.267139
56-0.030355-0.25940.398046
57-0.098966-0.84560.200279
58-0.036085-0.30830.379363
59-0.056559-0.48320.315186
60-0.037627-0.32150.374382
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228569342zej5c9ltzkrsjf3/1lcpf1228569288.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228569342zej5c9ltzkrsjf3/1lcpf1228569288.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228569342zej5c9ltzkrsjf3/2d5uk1228569288.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228569342zej5c9ltzkrsjf3/2d5uk1228569288.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1.8 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1.8 ; par3 = 1 ; 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')
 




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