Paper statistiek_Autocorrelation function_DC

*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: Fri, 19 Dec 2008 02:30:17 -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/19/t1229679084moll3iohgk73573.htm/, Retrieved Fri, 19 Dec 2008 10:31:24 +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/19/t1229679084moll3iohgk73573.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 «

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 70,2 69,3 77,5 66,1 69 79,2 56,2 63,3 77,8 92 78,1 65,1 71,1 70,9 72 81,9 70,6 72,5 65,1 54,9 80

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 0.440358 4.2467 2.6e-05 2 0.087409 0.8429 0.200711 3 0.206287 1.9894 0.0248 4 0.14841 1.4312 0.07786 5 0.311127 3.0004 0.00173 6 0.45803 4.4171 1.3e-05 7 0.301742 2.9099 0.002262 8 0.176979 1.7067 0.045605 9 0.157929 1.523 0.065574 10 0.015878 0.1531 0.439318 11 0.317905 3.0658 0.001421 12 0.719216 6.9359 0 13 0.303476 2.9266 0.002153 14 -0.032093 -0.3095 0.378821 15 0.071386 0.6884 0.24645 16 0.046111 0.4447 0.328794 17 0.159598 1.5391 0.063587 18 0.301853 2.911 0.002255 19 0.151426 1.4603 0.073789 20 0.050551 0.4875 0.313527 21 0.037301 0.3597 0.359936 22 -0.088255 -0.8511 0.19845 23 0.187668 1.8098 0.036778 24 0.480001 4.629 6e-06 25 0.137525 1.3262 0.094003 26 -0.140658 -1.3565 0.089119 27 -0.091517 -0.8826 0.189875 28 -0.071288 -0.6875 0.246746 29 0.008251 0.0796 0.468373 30 0.122531 1.1816 0.12018 31 0.039521 0.3811 0.351991 32 -0.048429 -0.467 0.320784 33 -0.073359 -0.7075 0.240528 34 -0.170563 -1.6448 0.051689 35 0.031157 0.3005 0.382247 36 0.300654 2.8994 0.002332 37 0.034259 0.3304 0.370929 38 -0.18629 -1.7965 0.03783 39 -0.135155 -1.3034 0.097831 40 -0.129214 -1.2461 0.10793 41 -0.069533 -0.6706 0.252083 42 0.009598 0.0926 0.463225 43 -0.059541 -0.5742 0.283611 44 -0.121202 -1.1688 0.12273 45 -0.143329 -1.3822 0.085108 46 -0.21021 -2.0272 0.022753 47 -0.037631 -0.3629 0.35875 48 0.147028 1.4179 0.079783 49 -0.043483 -0.4193 0.33797 50 -0.239078 -2.3056 0.011678 51 -0.196986 -1.8997 0.030288 52 -0.174279 -1.6807 0.04809 53 -0.129601 -1.2498 0.10725 54 -0.054609 -0.5266 0.299853 55 -0.08477 -0.8175 0.207869 56 -0.138701 -1.3376 0.092147 57 -0.150843 -1.4547 0.074562 58 -0.206241 -1.9889 0.024824 59 -0.082127 -0.792 0.215188 60 0.07044 0.6793 0.249318 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.440358 4.2467 2.6e-05 2 -0.132128 -1.2742 0.102885 3 0.278902 2.6896 0.004239 4 -0.083718 -0.8073 0.210763 5 0.41004 3.9543 7.5e-05 6 0.152426 1.4699 0.072476 7 0.130318 1.2567 0.105997 8 -0.01451 -0.1399 0.444511 9 0.035467 0.342 0.36655 10 -0.248374 -2.3952 0.009307 11 0.476703 4.5972 7e-06 12 0.399676 3.8543 0.000107 13 -0.257939 -2.4875 0.007324 14 -0.295417 -2.8489 0.002701 15 0.016534 0.1594 0.436832 16 -0.031271 -0.3016 0.381828 17 -0.108889 -1.0501 0.1482 18 -0.116152 -1.1201 0.132771 19 -0.034841 -0.336 0.368817 20 -0.047214 -0.4553 0.324971 21 0.081184 0.7829 0.217835 22 0.004619 0.0445 0.482283 23 0.116776 1.1261 0.131501 24 -0.105875 -1.021 0.154947 25 0.033862 0.3266 0.372371 26 -0.059014 -0.5691 0.285325 27 -0.061054 -0.5888 0.278717 28 -0.056867 -0.5484 0.292363 29 -0.087727 -0.846 0.19986 30 -0.062561 -0.6033 0.273884 31 0.086431 0.8335 0.203346 32 0.007762 0.0749 0.470244 33 0.025531 0.2462 0.403029 34 -0.045895 -0.4426 0.329542 35 -0.029206 -0.2816 0.389419 36 0.106157 1.0237 0.154306 37 0.014361 0.1385 0.445075 38 0.078453 0.7566 0.22561 39 -0.025632 -0.2472 0.402654 40 -0.011035 -0.1064 0.457739 41 -0.055407 -0.5343 0.297197 42 -0.021748 -0.2097 0.417167 43 -0.147563 -1.423 0.079034 44 -0.069893 -0.674 0.250984 45 -0.068828 -0.6638 0.254246 46 0.051656 0.4982 0.309775 47 0.017047 0.1644 0.43489 48 -0.057861 -0.558 0.289096 49 0.018086 0.1744 0.430959 50 -0.010062 -0.097 0.461454 51 0.016511 0.1592 0.436917 52 -0.009001 -0.0868 0.465506 53 0.015045 0.1451 0.442476 54 -0.044046 -0.4248 0.335995 55 0.090081 0.8687 0.193622 56 -0.03144 -0.3032 0.381209 57 0.080576 0.777 0.219551 58 -0.092207 -0.8892 0.188093 59 -0.019357 -0.1867 0.426163 60 -0.064973 -0.6266 0.266237

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679084moll3iohgk73573/1xqkv1229679008.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679084moll3iohgk73573/1xqkv1229679008.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679084moll3iohgk73573/25ouo1229679008.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679084moll3iohgk73573/25ouo1229679008.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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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