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Paper statistiek_Autocorrelation function_NDC

*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 02:33:45 -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/t1229679311xpctllh0epve6xk.htm/, Retrieved Fri, 19 Dec 2008 10:35:11 +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/t1229679311xpctllh0epve6xk.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 «

98,6 98 106,8 96,7 100,2 107,7 92 98,4 107,4 117,7 105,7 97,5 99,9 98,2 104,5 100,8 101,5 103,9 99,6 98,4 112,7 118,4 108,1 105,4 114,6 106,9 115,9 109,8 101,8 114,2 110,8 108,4 127,5 128,6 116,6 127,4 105 108,3 125 111,6 106,5 130,3 115 116,1 134 126,5 125,8 136,4 114,9 110,9 125,5 116,8 116,8 125,5 104,2 115,1 132,8 123,3 124,8 122 117,4 117,9 137,4 114,6 124,7 129,6 109,4 120,9 134,9 136,3 133,2 127,2 122,7 120,5 137,8 119,1 124,3 134,4 121,1 122,2 127,7 137,4 132,2 129,2 124,9 124,8 128,2 134,4 118,6 132,6 123,2 112,8 138,3

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.585898	5.6502	0
2	0.502093	4.842	3e-06
3	0.661152	6.3759	0
4	0.445777	4.2989	2.1e-05
5	0.499973	4.8216	3e-06
6	0.625398	6.0311	0
7	0.404488	3.9007	9.1e-05
8	0.385458	3.7172	0.000172
9	0.520323	5.0178	1e-06
10	0.352987	3.4041	0.000491
11	0.4417	4.2596	2.4e-05
12	0.62289	6.0069	0
13	0.359214	3.4641	0.000403
14	0.289916	2.7958	0.003144
15	0.382857	3.6921	0.000187
16	0.188822	1.8209	0.035917
17	0.24522	2.3648	0.010059
18	0.332286	3.2044	0.000927
19	0.12566	1.2118	0.114325
20	0.121269	1.1695	0.122601
21	0.207308	1.9992	0.024252
22	0.087768	0.8464	0.199749
23	0.16594	1.6003	0.056465
24	0.261019	2.5172	0.006771
25	0.103442	0.9976	0.160541
26	0.041559	0.4008	0.344751
27	0.108774	1.049	0.148453
28	-0.042784	-0.4126	0.340426
29	-0.018059	-0.1742	0.431061
30	0.079828	0.7698	0.221675
31	-0.066268	-0.6391	0.262176
32	-0.072853	-0.7026	0.24204
33	-0.018279	-0.1763	0.430229
34	-0.084697	-0.8168	0.208069
35	-0.020946	-0.202	0.420179
36	0.111574	1.076	0.142359
37	-0.040838	-0.3938	0.347306
38	-0.09789	-0.944	0.173804
39	-0.030111	-0.2904	0.386085
40	-0.138825	-1.3388	0.091953
41	-0.137103	-1.3222	0.094676
42	-0.055787	-0.538	0.295933
43	-0.142748	-1.3766	0.085969
44	-0.164133	-1.5828	0.058427
45	-0.124468	-1.2003	0.116531
46	-0.182275	-1.7578	0.041036
47	-0.140904	-1.3588	0.088744
48	-0.021326	-0.2057	0.418754
49	-0.152341	-1.4691	0.072587
50	-0.201731	-1.9454	0.027372
51	-0.153174	-1.4772	0.071506
52	-0.22106	-2.1318	0.017829
53	-0.204825	-1.9753	0.025602
54	-0.159505	-1.5382	0.063696
55	-0.2384	-2.299	0.011871
56	-0.268798	-2.5922	0.005538
57	-0.212637	-2.0506	0.02156
58	-0.285448	-2.7528	0.003553
59	-0.243022	-2.3436	0.010614
60	-0.163788	-1.5795	0.058807

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.585898	5.6502	0
2	0.241832	2.3321	0.010926
3	0.479412	4.6233	6e-06
4	-0.139948	-1.3496	0.090208
5	0.257426	2.4825	0.007419
6	0.192998	1.8612	0.032937
7	-0.109853	-1.0594	0.146085
8	-0.089711	-0.8651	0.194593
9	0.150235	1.4488	0.075376
10	-0.066467	-0.641	0.261555
11	0.205419	1.981	0.025273
12	0.278713	2.6878	0.004261
13	-0.158831	-1.5317	0.064494
14	-0.29209	-2.8168	0.002962
15	-0.145881	-1.4068	0.081406
16	-0.182923	-1.764	0.040504
17	-0.021017	-0.2027	0.419914
18	-0.002424	-0.0234	0.4907
19	0.060181	0.5804	0.281535
20	-0.034192	-0.3297	0.371172
21	0.013543	0.1306	0.448185
22	0.008587	0.0828	0.46709
23	0.017143	0.1653	0.434526
24	-0.022851	-0.2204	0.413032
25	0.116999	1.1283	0.131049
26	-0.109406	-1.0551	0.147063
27	0.049907	0.4813	0.315723
28	-0.150405	-1.4505	0.075148
29	-0.033596	-0.324	0.373336
30	-0.017286	-0.1667	0.433985
31	0.13196	1.2726	0.10317
32	0.012576	0.1213	0.451864
33	0.000413	0.004	0.498416
34	-0.01172	-0.113	0.455128
35	0.019188	0.185	0.4268
36	0.134564	1.2977	0.098803
37	-0.052532	-0.5066	0.306816
38	-0.085604	-0.8255	0.205591
39	-0.051095	-0.4927	0.311679
40	-0.022392	-0.2159	0.414754
41	-0.075567	-0.7287	0.233997
42	-0.086582	-0.835	0.202938
43	0.099876	0.9632	0.168979
44	0.030371	0.2929	0.385129
45	-0.049905	-0.4813	0.315729
46	-0.060815	-0.5865	0.279487
47	-0.096659	-0.9321	0.176837
48	-0.031158	-0.3005	0.382242
49	-0.090876	-0.8764	0.191543
50	0.044056	0.4249	0.335958
51	-0.018758	-0.1809	0.428422
52	0.104166	1.0045	0.158863
53	0.039238	0.3784	0.352997
54	-0.047005	-0.4533	0.325695
55	-0.088737	-0.8558	0.197168
56	-0.075676	-0.7298	0.233675
57	-0.010401	-0.1003	0.460158
58	-0.077157	-0.7441	0.229353
59	0.006522	0.0629	0.474992
60	-0.001952	-0.0188	0.492511

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679311xpctllh0epve6xk/1ofpa1229679215.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679311xpctllh0epve6xk/1ofpa1229679215.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679311xpctllh0epve6xk/23ykj1229679215.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679311xpctllh0epve6xk/23ykj1229679215.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')

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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