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ACF Uitvoer zonder Seizoenaliteit

*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: Mon, 22 Dec 2008 09:45:12 -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/t1229964409zf199i2tjt1fygw.htm/, Retrieved Mon, 22 Dec 2008 17:46:51 +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/t1229964409zf199i2tjt1fygw.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 «

15916,4 16535,9 15796 14418,6 15044,5 14944,2 16754,8 14254 15454,9 15644,8 14568,3 12520,2 14803 15873,2 14755,3 12875,1 14291,1 14205,3 15859,4 15258,9 15498,6 15106,5 15023,6 12083 15761,3 16943 15070,3 13659,6 14768,9 14725,1 15998,1 15370,6 14956,9 15469,7 15101,8 11703,7 16283,6 16726,5 14968,9 14861 14583,3 15305,8 17903,9 16379,4 15420,3 17870,5 15912,8 13866,5 17823,2 17872 17420,4 16704,4 15991,2 16583,6 19123,5 17838,7 17209,4 18586,5 16258,1 15141,6 19202,1 17746,5 19090,1 18040,3 17515,5 17751,8 21072,4 17170 19439,5 19795,4 17574,9 16165,4 19464,6 19932,1 19961,2 17343,4 18924,2 18574,1 21350,6 18594,6 19823,1 20844,4 19640,2 17735,4 19813,6 22238,5 20682,2 17818,6 21872,1 22117 21865,9 23451,3 20953,7 22497,3

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.297705	2.6958	0.004259
2	0.426608	3.8631	0.000111
3	0.527264	4.7746	4e-06
4	0.242551	2.1964	0.015444
5	0.224899	2.0365	0.022461
6	0.350458	3.1735	0.00106
7	0.049876	0.4516	0.326359
8	0.195419	1.7696	0.040256
9	0.212269	1.9222	0.029028
10	0.030168	0.2732	0.392701
11	0.046088	0.4173	0.33876
12	0.090421	0.8188	0.207638
13	-0.020202	-0.1829	0.427649
14	0.097131	0.8796	0.190835
15	0.10276	0.9305	0.177414
16	-0.020267	-0.1835	0.42742
17	0.175585	1.59	0.057842
18	0.131546	1.1912	0.118505
19	0.069534	0.6297	0.265336
20	0.174995	1.5846	0.058448
21	0.095733	0.8669	0.194264
22	-0.009076	-0.0822	0.46735
23	0.257679	2.3334	0.011039
24	-0.102041	-0.924	0.179093
25	0.027617	0.2501	0.401575
26	0.0831	0.7525	0.226953
27	-0.062751	-0.5682	0.285713
28	-0.087087	-0.7886	0.216308
29	0.001089	0.0099	0.496077
30	-0.206071	-1.8661	0.032805
31	-0.071202	-0.6448	0.26044
32	-0.069424	-0.6287	0.265658
33	-0.185676	-1.6814	0.048248
34	-0.07882	-0.7137	0.238706
35	-0.03926	-0.3555	0.361558
36	-0.110769	-1.0031	0.159393
37	0.000846	0.0077	0.496953
38	-0.007147	-0.0647	0.474278
39	-0.048589	-0.44	0.33055
40	0.071747	0.6497	0.258852
41	0.049353	0.4469	0.32806
42	-0.042045	-0.3807	0.352194
43	0.066086	0.5984	0.275601
44	0.062212	0.5634	0.287364
45	-0.086882	-0.7867	0.216849
46	0.101229	0.9167	0.181003
47	-0.076468	-0.6924	0.245308
48	-0.126017	-1.1411	0.128568
49	0.007051	0.0638	0.474624
50	-0.135409	-1.2262	0.111821
51	-0.170805	-1.5467	0.062893
52	-0.063128	-0.5716	0.284563
53	-0.166977	-1.512	0.067184
54	-0.115167	-1.0429	0.150034
55	-0.075639	-0.6849	0.247657
56	-0.181473	-1.6433	0.052074
57	-0.080525	-0.7292	0.233984
58	-0.081578	-0.7387	0.231093
59	-0.118043	-1.0689	0.144121
60	-0.032984	-0.2987	0.382969

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.297705	2.6958	0.004259
2	0.370847	3.3582	0.000596
3	0.428679	3.8819	0.000104
4	-0.037341	-0.3381	0.368061
5	-0.182594	-1.6535	0.051031
6	0.098679	0.8936	0.187081
7	-0.124515	-1.1275	0.131404
8	0.062501	0.566	0.286479
9	0.102847	0.9313	0.17721
10	-0.031305	-0.2835	0.388762
11	-0.168477	-1.5256	0.065476
12	-0.064839	-0.5871	0.279362
13	0.075739	0.6858	0.247371
14	0.18249	1.6525	0.051127
15	0.134369	1.2168	0.113593
16	-0.11844	-1.0725	0.143316
17	0.045106	0.4085	0.342003
18	0.055071	0.4987	0.309665
19	0.060856	0.5511	0.29154
20	0.040662	0.3682	0.356834
21	-0.071888	-0.651	0.258443
22	-0.221566	-2.0064	0.024057
23	0.163639	1.4818	0.071111
24	-0.172144	-1.5588	0.061444
25	0.028592	0.2589	0.398177
26	0.002684	0.0243	0.490333
27	-0.000369	-0.0033	0.498672
28	-0.122082	-1.1055	0.136088
29	-0.101047	-0.915	0.181432
30	0.005175	0.0469	0.48137
31	0.081928	0.7419	0.230137
32	0.041326	0.3742	0.354601
33	-0.075562	-0.6842	0.247875
34	0.013147	0.119	0.452764
35	-0.01767	-0.16	0.436634
36	0.073268	0.6635	0.254446
37	0.067411	0.6104	0.271631
38	0.029187	0.2643	0.396105
39	0.013552	0.1227	0.451316
40	-0.06284	-0.569	0.285443
41	0.018827	0.1705	0.432523
42	-0.042596	-0.3857	0.350349
43	0.025703	0.2328	0.408267
44	0.08661	0.7843	0.217566
45	-0.119276	-1.0801	0.141635
46	-0.057742	-0.5229	0.301236
47	0.007357	0.0666	0.473524
48	-0.115002	-1.0414	0.150379
49	0.047427	0.4295	0.334354
50	-0.012505	-0.1132	0.45506
51	0.024277	0.2198	0.41327
52	-0.102073	-0.9243	0.179019
53	-0.021233	-0.1923	0.424002
54	0.03548	0.3213	0.374406
55	0.04247	0.3846	0.35077
56	-0.066622	-0.6033	0.273991
57	-0.017649	-0.1598	0.436707
58	-0.076148	-0.6896	0.246211
59	-0.031306	-0.2835	0.388757
60	0.115513	1.046	0.149314

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964409zf199i2tjt1fygw/1iuqn1229964310.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964409zf199i2tjt1fygw/1iuqn1229964310.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964409zf199i2tjt1fygw/2p3hr1229964310.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229964409zf199i2tjt1fygw/2p3hr1229964310.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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