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ACF Invoer 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 10:24:13 -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/t12299666861snycf2pc5hekth.htm/, Retrieved Mon, 22 Dec 2008 18:24:48 +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/t12299666861snycf2pc5hekth.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 «

14532.2 15167 16071.1 14827.5 15082 14772.7 16083 14272.5 15223.3 14897.3 13062.6 12603.8 13629.8 14421.1 13978.3 12927.9 13429.9 13470.1 14785.8 14292 14308.8 14013 13240.9 12153.4 14289.7 15669.2 14169.5 14569.8 14469.1 14264.9 15320.9 14433.5 13691.5 14194.1 13519.2 11857.9 14616 15643.4 14077.2 14887.5 14159.9 14643 17192.5 15386.1 14287.1 17526.6 14497 14398.3 16629.6 16670.7 16614.8 16869.2 15663.9 16359.9 18447.7 16889 16505 18320.9 15052.1 15699.8 18135.3 16768.7 18883 19021 18101.9 17776.1 21489.9 17065.3 18690 18953.1 16398.9 16895.7 18553 19270 19422.1 17579.4 18637.3 18076.7 20438.6 18075.2 19563 19899.2 19227.5 17789.6 19220.8 22058.6 21230.8 19504.4 23913.1 23165.7 23574.3 25002 22603.9 23408.6

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.543785	-4.8941	2e-06
2	-0.036323	-0.3269	0.372291
3	0.368635	3.3177	0.00068
4	-0.253166	-2.2785	0.012665
5	-0.133509	-1.2016	0.116514
6	0.321601	2.8944	0.00244
7	-0.266887	-2.402	0.009298
8	0.014094	0.1268	0.449688
9	0.259225	2.333	0.011064
10	-0.264675	-2.3821	0.00978
11	0.047633	0.4287	0.334641
12	0.126885	1.142	0.128416
13	-0.27439	-2.4695	0.007816
14	0.10811	0.973	0.166728
15	0.08954	0.8059	0.211342
16	-0.211369	-1.9023	0.030341
17	0.135928	1.2234	0.112371
18	0.127966	1.1517	0.126418
19	-0.199076	-1.7917	0.038459
20	0.119633	1.0767	0.142406
21	0.03916	0.3524	0.362711
22	-0.229334	-2.064	0.021109
23	0.359943	3.2395	0.000869
24	-0.299294	-2.6937	0.004294
25	0.06644	0.598	0.275767
26	0.176585	1.5893	0.057948
27	-0.156982	-1.4128	0.080767
28	-0.038228	-0.3441	0.36585
29	0.212663	1.914	0.029578
30	-0.251363	-2.2623	0.01318
31	0.033136	0.2982	0.383149
32	0.14458	1.3012	0.098436
33	-0.194139	-1.7473	0.042192
34	0.010261	0.0924	0.463323
35	0.172053	1.5485	0.062703
36	-0.201388	-1.8125	0.036807
37	0.110914	0.9982	0.160571
38	0.046059	0.4145	0.339792
39	-0.107469	-0.9672	0.168157
40	0.068991	0.6209	0.268199
41	0.087514	0.7876	0.216608
42	-0.216696	-1.9503	0.027302
43	0.165003	1.485	0.07071
44	0.07369	0.6632	0.25454
45	-0.229391	-2.0645	0.021084
46	0.25858	2.3272	0.011225
47	-0.08896	-0.8006	0.212842
48	-0.107908	-0.9712	0.167177
49	0.160062	1.4406	0.076782
50	-0.130399	-1.1736	0.122
51	-0.019186	-0.1727	0.43167
52	0.080874	0.7279	0.234396
53	-0.076911	-0.6922	0.245397
54	0.007586	0.0683	0.472868
55	0.104406	0.9397	0.175095
56	-0.140787	-1.2671	0.104378
57	0.04686	0.4217	0.337166
58	0.060612	0.5455	0.293451
59	-0.136232	-1.2261	0.111859
60	0.077979	0.7018	0.242404

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.543785	-4.8941	2e-06
2	-0.471428	-4.2428	2.9e-05
3	0.151918	1.3673	0.087663
4	0.159392	1.4345	0.077636
5	-0.228648	-2.0578	0.021411
6	-0.064314	-0.5788	0.282157
7	-0.088637	-0.7977	0.213679
8	-0.035934	-0.3234	0.373609
9	0.180934	1.6284	0.053661
10	0.041698	0.3753	0.354217
11	-0.082482	-0.7423	0.230016
12	-0.143929	-1.2954	0.099438
13	-0.273032	-2.4573	0.008067
14	-0.175433	-1.5789	0.059128
15	-0.0228	-0.2052	0.418965
16	-0.031386	-0.2825	0.38915
17	-0.095447	-0.859	0.196431
18	0.035207	0.3169	0.376081
19	0.098076	0.8827	0.190009
20	0.059289	0.5336	0.29754
21	-0.002447	-0.022	0.491244
22	-0.213738	-1.9236	0.028956
23	0.297923	2.6813	0.004442
24	-0.040724	-0.3665	0.35747
25	-0.109364	-0.9843	0.163956
26	-0.107215	-0.9649	0.168724
27	-0.035189	-0.3167	0.376142
28	-0.000603	-0.0054	0.497841
29	0.006133	0.0552	0.478059
30	-0.037237	-0.3351	0.369194
31	-0.078856	-0.7097	0.239963
32	-0.112855	-1.0157	0.156399
33	-0.018794	-0.1691	0.433052
34	-0.111568	-1.0041	0.159157
35	-0.051992	-0.4679	0.320547
36	-0.076052	-0.6845	0.247816
37	0.00812	0.0731	0.470963
38	0.012785	0.1151	0.454338
39	0.099354	0.8942	0.186937
40	0.048018	0.4322	0.333385
41	-0.013848	-0.1246	0.450562
42	-0.119551	-1.076	0.14257
43	-0.05919	-0.5327	0.297848
44	0.086523	0.7787	0.219211
45	-0.021255	-0.1913	0.424385
46	-0.038408	-0.3457	0.365244
47	0.009774	0.088	0.46506
48	-0.072561	-0.6531	0.257786
49	0.003566	0.0321	0.487238
50	-0.148989	-1.3409	0.091851
51	0.057097	0.5139	0.30437
52	-0.019053	-0.1715	0.432139
53	-0.009144	-0.0823	0.467307
54	-0.046144	-0.4153	0.339513
55	-0.018504	-0.1665	0.434074
56	-0.031238	-0.2811	0.389659
57	-0.015514	-0.1396	0.44465
58	-0.10098	-0.9088	0.183071
59	-0.01245	-0.112	0.455531
60	-0.001003	-0.009	0.496411

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299666861snycf2pc5hekth/1hg1t1229966651.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299666861snycf2pc5hekth/1hg1t1229966651.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299666861snycf2pc5hekth/2d64q1229966651.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t12299666861snycf2pc5hekth/2d64q1229966651.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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