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Autocorrelation energiegrondstoffen

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 22 Dec 2008 00:48:52 -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/22/t1229932714yr56986rrnkp7y2.htm/, Retrieved Mon, 22 Dec 2008 08:58:34 +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/22/t1229932714yr56986rrnkp7y2.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 «

104 107,9 113,8 113,8 123,1 125,1 137,6 134 140,3 152,1 150,6 167,3 153,2 142 154,4 158,5 180,9 181,3 172,4 192 199,3 215,4 214,3 201,5 190,5 196 215,7 209,4 214,1 237,8 239 237,8 251,5 248,8 215,4 201,2 203,1 214,2 188,9 203 213,3 228,5 228,2 240,9 258,8 248,5 269,2 289,6 323,4 317,2 322,8 340,9 368,2 388,5 441,2 474,3 483,9 417,9 365,9 263 199,4

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.433073	-3.3265	0.000759
2	0.006066	0.0466	0.481499
3	0.026523	0.2037	0.419634
4	-0.026039	-0.2	0.421082
5	0.134401	1.0324	0.15306
6	-0.220816	-1.6961	0.047567
7	0.164054	1.2601	0.106293
8	0.006273	0.0482	0.480865
9	-0.270418	-2.0771	0.021076
10	0.213686	1.6414	0.053023
11	0.081444	0.6256	0.267002
12	-0.022296	-0.1713	0.432303
13	-0.117005	-0.8987	0.186225
14	-0.05418	-0.4162	0.339399
15	0.229981	1.7665	0.041241
16	-0.16813	-1.2914	0.100795
17	0.033403	0.2566	0.3992
18	0.03066	0.2355	0.407315
19	-0.097142	-0.7462	0.229265
20	-0.05431	-0.4172	0.339038
21	0.088457	0.6794	0.249756
22	-0.006294	-0.0483	0.480803
23	0.025713	0.1975	0.422055
24	-0.132971	-1.0214	0.155624
25	0.134713	1.0348	0.152504
26	0.013472	0.1035	0.458967
27	-0.02472	-0.1899	0.425029
28	0.040846	0.3137	0.377411
29	-0.046751	-0.3591	0.360401
30	-0.011588	-0.089	0.464689
31	-0.031265	-0.2402	0.405523
32	0.028472	0.2187	0.413821
33	0.052737	0.4051	0.343441
34	-0.15728	-1.2081	0.115916
35	0.1549	1.1898	0.119444
36	-0.103478	-0.7948	0.214949

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.433073	-3.3265	0.000759
2	-0.223382	-1.7158	0.04572
3	-0.086803	-0.6667	0.253767
4	-0.061912	-0.4756	0.318074
5	0.132959	1.0213	0.155647
6	-0.12634	-0.9704	0.167895
7	0.035608	0.2735	0.392707
8	0.079636	0.6117	0.271545
9	-0.280082	-2.1514	0.017777
10	-0.051072	-0.3923	0.348128
11	0.211135	1.6218	0.055093
12	0.124479	0.9561	0.171451
13	-0.047964	-0.3684	0.356939
14	-0.137397	-1.0554	0.14778
15	0.048295	0.371	0.355998
16	-0.001873	-0.0144	0.494285
17	0.014646	0.1125	0.455406
18	-0.029755	-0.2286	0.410003
19	-0.083651	-0.6425	0.261507
20	-0.150191	-1.1536	0.126651
21	0.024217	0.186	0.426534
22	-0.119252	-0.916	0.1817
23	-0.005344	-0.041	0.483698
24	0.032611	0.2505	0.401541
25	0.063837	0.4903	0.312854
26	0.01069	0.0821	0.467419
27	0.042662	0.3277	0.372151
28	0.033824	0.2598	0.397958
29	0.008521	0.0654	0.474019
30	-0.01572	-0.1207	0.452151
31	-0.032925	-0.2529	0.400611
32	-0.052014	-0.3995	0.345475
33	0.005897	0.0453	0.482012
34	-0.109967	-0.8447	0.200853
35	0.10604	0.8145	0.209314
36	-0.087442	-0.6717	0.252213

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229932714yr56986rrnkp7y2/1aqnw1229932128.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229932714yr56986rrnkp7y2/1aqnw1229932128.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229932714yr56986rrnkp7y2/2drro1229932128.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229932714yr56986rrnkp7y2/2drro1229932128.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.2 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.2 ; par3 = 2 ; 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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