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ACF hoeveelheid uitvoer

*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, 20 Dec 2008 06:26:46 -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/20/t1229779657qz7j9f26nvspa3a.htm/, Retrieved Sat, 20 Dec 2008 14:27:37 +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/20/t1229779657qz7j9f26nvspa3a.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 «

100.03 100.49 108.76 105.28 104.55 108.91 105.83 82.12 113.71 117.53 104.75 104.3 102.82 106.86 123.1 112.02 103.66 121.78 107.81 93.54 119.41 117.99 116.82 112.62 105.76 107.86 122.06 114.29 109.95 119.99 103.77 96.02 120.83 110.14 119.77 113.61 106.83 108 126.39 105.09 118.95 120.6 106.07 96.59 118.74 121.88 120.89 105.66 113.76 111.92 127.19 109.19 118.05 123.23 114.68 104.57 115.73 129.87 120.31 104.23 123.92 124.1 125.61 133.91 124.47 129.64 128.58 103.55 129.57

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.179589	1.4918	0.070157
2	0.020308	0.1687	0.433267
3	0.293958	2.4418	0.008591
4	0.230049	1.9109	0.030084
5	0.184085	1.5291	0.065403
6	0.335717	2.7887	0.003417
7	0.072065	0.5986	0.275694
8	0.18473	1.5345	0.064741
9	0.075335	0.6258	0.266763
10	-0.138432	-1.1499	0.127077
11	0.096391	0.8007	0.213032
12	0.496168	4.1215	5.2e-05
13	-0.001346	-0.0112	0.495556
14	-0.123336	-1.0245	0.154587
15	0.042442	0.3526	0.36275
16	0.065493	0.544	0.294088
17	-0.006575	-0.0546	0.478303
18	0.181664	1.509	0.067931
19	-0.014624	-0.1215	0.451833
20	0.050508	0.4195	0.338059
21	-0.067598	-0.5615	0.288135
22	-0.166344	-1.3818	0.085751
23	0.061719	0.5127	0.304909
24	0.273987	2.2759	0.01298
25	-0.036366	-0.3021	0.381752
26	-0.099275	-0.8246	0.206208
27	-0.030651	-0.2546	0.399893
28	0.063585	0.5282	0.299535
29	-0.051763	-0.43	0.334278
30	0.074009	0.6148	0.270365
31	0.003971	0.033	0.48689
32	-0.004395	-0.0365	0.485492
33	-0.105497	-0.8763	0.191948
34	-0.13826	-1.1485	0.127369
35	-0.040087	-0.333	0.370077
36	0.199056	1.6535	0.051388

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.179589	1.4918	0.070157
2	-0.012342	-0.1025	0.459319
3	0.302276	2.5109	0.007195
4	0.139435	1.1582	0.125381
5	0.159458	1.3246	0.094844
6	0.264119	2.1939	0.015805
7	-0.090318	-0.7502	0.227831
8	0.150072	1.2466	0.108382
9	-0.208224	-1.7296	0.044083
10	-0.288071	-2.3929	0.009721
11	-0.037009	-0.3074	0.379725
12	0.465611	3.8677	0.000123
13	0.037116	0.3083	0.379387
14	-0.112105	-0.9312	0.177494
15	-0.133422	-1.1083	0.135794
16	-0.027651	-0.2297	0.409506
17	-0.147382	-1.2242	0.112512
18	0.112202	0.932	0.177288
19	0.024495	0.2035	0.419683
20	0.065868	0.5471	0.293025
21	-0.068981	-0.573	0.284254
22	0.003551	0.0295	0.488276
23	0.020266	0.1683	0.433403
24	-0.041083	-0.3413	0.366972
25	0.079165	0.6576	0.256494
26	0.021267	0.1767	0.430147
27	-0.005932	-0.0493	0.48042
28	0.071646	0.5951	0.276851
29	-0.125835	-1.0453	0.149775
30	-0.093148	-0.7737	0.220862
31	-0.099031	-0.8226	0.20678
32	0.01841	0.1529	0.439452
33	0.074082	0.6154	0.270168
34	0.012794	0.1063	0.457837
35	-0.032536	-0.2703	0.39388
36	0.056567	0.4699	0.319961

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229779657qz7j9f26nvspa3a/1k7iu1229779600.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229779657qz7j9f26nvspa3a/1k7iu1229779600.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229779657qz7j9f26nvspa3a/2t47u1229779600.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229779657qz7j9f26nvspa3a/2t47u1229779600.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 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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