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Paper statistiek_Autocorrelation function (d=1, D=0)_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 02:44:19 -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/t1229679921cexzrvnjplj3e8p.htm/, Retrieved Fri, 19 Dec 2008 10:45:21 +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/t1229679921cexzrvnjplj3e8p.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time5 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.386604-3.70820.000178
2-0.316479-3.03560.001561
30.4467684.28532.2e-05
4-0.318783-3.05770.00146
5-0.104954-1.00670.158364
60.423424.06135.1e-05
7-0.242621-2.32710.011076
8-0.181557-1.74140.042475
90.4046363.88119.8e-05
10-0.362403-3.47610.000389
11-0.148192-1.42140.07929
120.5977275.73320
13-0.247958-2.37830.00973
14-0.195919-1.87920.031692
150.3404493.26550.000768
16-0.308012-2.95430.001989
17-0.026266-0.25190.400826
180.338513.24690.000814
19-0.237499-2.2780.012521
20-0.092216-0.88450.189365
210.269252.58260.005692
22-0.288144-2.76380.003451
23-0.034142-0.32750.372026
240.3476083.33410.000617
25-0.116749-1.11980.132853
26-0.128129-1.2290.111108
270.2339022.24350.013632
28-0.238733-2.28980.012158
29-0.051729-0.49620.310479
300.2691642.58170.005705
31-0.153639-1.47360.071995
32-0.043238-0.41470.339655
330.1502631.44130.076451
34-0.196249-1.88240.031474
35-0.06787-0.6510.258338
360.3098992.97240.001885
37-0.086739-0.8320.203789
38-0.108598-1.04160.150154
390.1623161.55690.061466
40-0.139153-1.33470.092632
41-0.059551-0.57120.284629
420.1745341.67410.048757
43-0.05649-0.54180.29462
44-0.056023-0.53740.29616
450.0755990.72510.235109
46-0.113264-1.08640.140073
47-0.085786-0.82280.206367
480.2741892.62990.005005
49-0.083582-0.80170.212399
50-0.098592-0.94570.1734
510.1068871.02520.153974
52-0.06547-0.6280.265792
53-0.032853-0.31510.376695
540.0939250.90090.184999
55-0.010278-0.09860.460843
56-0.074356-0.71320.238764
570.1077821.03380.151967
58-0.128373-1.23130.110673
59-0.075435-0.72350.235591
600.2279852.18680.015649


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.386604-3.70820.000178
2-0.54782-5.25450
30.0766020.73470.232184
4-0.337011-3.23250.000852
5-0.26621-2.55340.006156
60.0206150.19770.421845
7-0.020967-0.20110.42053
8-0.210231-2.01650.023333
90.0864680.82940.20452
10-0.294989-2.82940.002862
11-0.43809-4.2023.1e-05
120.0017450.01670.493342
130.1541231.47830.071372
140.054650.52420.300705
150.0587170.56320.287337
16-0.016401-0.15730.437671
170.0458760.440.330474
18-0.0638-0.6120.27104
190.0374660.35940.360074
20-0.033627-0.32250.373889
21-0.071626-0.6870.2469
22-0.124475-1.19390.117789
23-0.034627-0.33210.370272
24-0.165046-1.58310.058419
250.0945430.90680.183435
26-0.026654-0.25570.399395
270.150251.44120.076468
280.0004620.00440.498235
290.0033480.03210.487225
30-0.151919-1.45720.074239
310.0037170.03560.48582
32-0.019652-0.18850.425453
330.0615740.59060.27812
34-0.042762-0.41020.34132
35-0.081217-0.7790.218988
36-0.025617-0.24570.403229
370.0532230.51050.305463
38-0.038381-0.36810.356809
39-0.028559-0.27390.392377
40-0.009528-0.09140.463693
410.1090991.04640.149049
42-0.07145-0.68530.247432
430.0942370.90390.184207
440.0185230.17770.429687
450.0094630.09080.463937
46-0.051505-0.4940.311235
470.0143090.13730.445566
480.0462450.44360.329198
49-0.058099-0.55730.289349
50-0.095521-0.91620.180977
51-0.140279-1.34550.090884
52-0.097642-0.93660.17572
530.0157710.15130.440046
54-0.031973-0.30670.379892
550.007240.06940.472393
56-0.076336-0.73220.232956
570.0895890.85930.196202
58-0.072724-0.69750.243611
59-0.048391-0.46410.321819
60-0.032529-0.3120.377872
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679921cexzrvnjplj3e8p/1y3581229679848.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679921cexzrvnjplj3e8p/1y3581229679848.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679921cexzrvnjplj3e8p/29d6r1229679848.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229679921cexzrvnjplj3e8p/29d6r1229679848.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = -0.1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = -0.1 ; 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')
 





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