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Paper ACF model met d's ingevuld

*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, 17 Dec 2008 12:57:12 -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/17/t12295441579p7v58krsbr2pq1.htm/, Retrieved Wed, 17 Dec 2008 21:02:39 +0100

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/17/t12295441579p7v58krsbr2pq1.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147 145.8 164.4 149.8 137.7 151.7 156.8 180 180.4 170.4 191.6 199.5 218.2 217.5 205 194 199.3 219.3 211.1 215.2 240.2 242.2 240.7 255.4 253 218.2 203.7 205.6 215.6 188.5 202.9 214 230.3 230 241 259.6 247.8 270.3 289.7 322.7 315 320.2 329.5 360.6 382.2 435.4 464 468.8 403 351.6

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	0.303252	2.349	0.011068
2	-0.042672	-0.3305	0.371072
3	-0.190614	-1.4765	0.072521
4	-0.102323	-0.7926	0.21557
5	-0.110362	-0.8549	0.198015
6	-0.094464	-0.7317	0.233595
7	0.10289	0.797	0.214302
8	0.043145	0.3342	0.369696
9	-0.159265	-1.2337	0.11107
10	-0.070704	-0.5477	0.292975
11	0.058301	0.4516	0.326593
12	-0.008636	-0.0669	0.473443
13	-0.061961	-0.4799	0.316506
14	-0.123999	-0.9605	0.170332
15	0.064478	0.4994	0.309645
16	-0.117656	-0.9114	0.182877
17	-0.138978	-1.0765	0.143002
18	-0.098996	-0.7668	0.223097
19	-0.069365	-0.5373	0.296524
20	-0.032379	-0.2508	0.401409
21	-0.031486	-0.2439	0.404075
22	0.121107	0.9381	0.175979
23	0.184532	1.4294	0.07904
24	0.075896	0.5879	0.279406
25	0.027825	0.2155	0.415042
26	0.028072	0.2174	0.414298
27	0.040783	0.3159	0.376587
28	-0.056846	-0.4403	0.33064
29	-0.097862	-0.758	0.225699
30	-0.013955	-0.1081	0.45714
31	-0.04617	-0.3576	0.360937
32	-0.024499	-0.1898	0.425065
33	0.111692	0.8652	0.195198
34	0.08529	0.6607	0.255682
35	0.087452	0.6774	0.250377
36	-0.053962	-0.418	0.338725
37	-0.026225	-0.2031	0.419858
38	-0.010257	-0.0795	0.468468
39	0.007505	0.0581	0.476918
40	0.040641	0.3148	0.377001
41	-0.094586	-0.7327	0.233309
42	-0.08384	-0.6494	0.259272
43	-0.028814	-0.2232	0.412071
44	0.044235	0.3426	0.366533
45	0.109082	0.8449	0.200749
46	0.019239	0.149	0.441017
47	-0.036991	-0.2865	0.38773
48	-0.010761	-0.0834	0.466922
49	-0.029571	-0.2291	0.409802
50	0.023649	0.1832	0.427635
51	-0.011147	-0.0863	0.465739
52	-0.021185	-0.1641	0.435102
53	-0.005398	-0.0418	0.483392
54	-0.00029	-0.0022	0.499108
55	0.012526	0.097	0.461513
56	0.006149	0.0476	0.481086
57	0.01578	0.1222	0.451563
58	9e-05	7e-04	0.499722
59	-0.007393	-0.0573	0.477263
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.303252	2.349	0.011068
2	-0.148269	-1.1485	0.127663
3	-0.147275	-1.1408	0.129245
4	0.000475	0.0037	0.49854
5	-0.117254	-0.9082	0.183691
6	-0.073729	-0.5711	0.285031
7	0.149426	1.1574	0.125838
8	-0.094314	-0.7306	0.233947
9	-0.207582	-1.6079	0.056551
10	0.09533	0.7384	0.231567
11	0.03244	0.2513	0.401229
12	-0.143978	-1.1152	0.134595
13	0.006671	0.0517	0.479479
14	-0.149193	-1.1556	0.126204
15	0.081837	0.6339	0.264276
16	-0.17825	-1.3807	0.086244
17	-0.117944	-0.9136	0.182295
18	-0.111318	-0.8623	0.195988
19	-0.136706	-1.0589	0.146941
20	-0.056997	-0.4415	0.33022
21	-0.095559	-0.7402	0.231034
22	-0.012615	-0.0977	0.461243
23	0.051149	0.3962	0.346683
24	-0.017006	-0.1317	0.447819
25	-0.024509	-0.1898	0.425034
26	-0.003408	-0.0264	0.489514
27	0.040068	0.3104	0.378679
28	-0.135772	-1.0517	0.148581
29	-0.047237	-0.3659	0.357864
30	-0.091262	-0.7069	0.241179
31	-0.124341	-0.9631	0.169672
32	-0.03149	-0.2439	0.404063
33	0.048813	0.3781	0.353345
34	-0.132576	-1.0269	0.154288
35	0.042266	0.3274	0.372256
36	-0.062503	-0.4841	0.315023
37	-0.068648	-0.5317	0.298433
38	-0.016643	-0.1289	0.448928
39	0.055571	0.4305	0.334205
40	-0.018287	-0.1417	0.443915
41	-0.148862	-1.1531	0.126726
42	-0.011534	-0.0893	0.464554
43	0.021501	0.1665	0.434145
44	-0.017631	-0.1366	0.445913
45	0.03853	0.2985	0.383195
46	-0.124846	-0.9671	0.1687
47	-0.087041	-0.6742	0.251381
48	0.01602	0.1241	0.450829
49	-0.016761	-0.1298	0.448569
50	-0.111336	-0.8624	0.19595
51	0.001188	0.0092	0.496345
52	-0.023189	-0.1796	0.429028
53	0.002447	0.019	0.492469
54	0.051267	0.3971	0.346347
55	-0.083473	-0.6466	0.260186
56	-0.008668	-0.0671	0.473346
57	0.008886	0.0688	0.472678
58	-0.064518	-0.4998	0.309539
59	-0.015596	-0.1208	0.452125
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295441579p7v58krsbr2pq1/1byh91229543830.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295441579p7v58krsbr2pq1/1byh91229543830.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295441579p7v58krsbr2pq1/218pt1229543830.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t12295441579p7v58krsbr2pq1/218pt1229543830.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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')

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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