ACF Inflatie after

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 06 Jan 2008 06:58:27 -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/Jan/06/t1199627875z2ieipws93tm87m.htm/, Retrieved Sun, 06 Jan 2008 14:57:58 +0100

User-defined keywords:

Dataseries X:

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1.1 1.3 1.2 1.6 1.7 1.5 0.9 1.5 1.4 1.6 1.7 1.4 1.8 1.7 1.4 1.2 1 1.7 2.4 2 2.1 2 1.8 2.7 2.3 1.9 2 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3 2.2 2.3 2.8 2.8 2.8 2.2 2.6 2.8 2.5 2.4 2.3 1.9 1.7 2 2.1 1.7 1.8 1.8 1.8 1.3 1.3 1.3 1.2 1.4 2.2

Text written by user:

Output produced by software:

Summary of compuational 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 0 1 7.6811 0 1 -0.123134 -0.9458 0.825949 2 -0.30719 -2.3596 0.989188 3 -0.004733 -0.0364 0.51444 4 -0.076632 -0.5886 0.720818 5 0.248614 1.9096 0.030523 6 0.02018 0.155 0.438674 7 -0.226721 -1.7415 0.956594 8 0.037354 0.2869 0.387589 9 -0.08879 -0.682 0.751049 10 0.289615 2.2246 0.014974 11 0.278389 2.1383 0.01832 12 -0.505015 -3.8791 0.999867 13 -0.114594 -0.8802 0.808842 14 0.217418 1.67 0.050106 15 0.019015 0.1461 0.442187 16 0.099669 0.7656 0.223491 17 -0.269233 -2.068 0.978484 18 -0.054741 -0.4205 0.662168 19 0.113448 0.8714 0.193531 20 0.045397 0.3487 0.364279 21 0.091833 0.7054 0.241673 22 -0.076947 -0.591 0.721624 23 -0.185665 -1.4261 0.920448 24 0.071236 0.5472 0.293161 25 0.105588 0.811 0.210302 26 -0.084895 -0.6521 0.741561 27 -0.044975 -0.3455 0.634512 28 -0.061135 -0.4696 0.679809 29 0.04697 0.3608 0.359774 30 0.07313 0.5617 0.288216 31 -0.005693 -0.0437 0.517367 32 0.011527 0.0885 0.464872 33 -0.040682 -0.3125 0.622114 34 -0.008186 -0.0629 0.524962 35 0.010143 0.0779 0.46908 36 0.026708 0.2051 0.419082 37 -0.104709 -0.8043 0.787769 38 0.028267 0.2171 0.41443 39 0.001268 0.0097 0.496132 40 -0.016046 -0.1233 0.548836 41 0.144132 1.1071 0.136372 42 0.026158 0.2009 0.420725 43 -0.075704 -0.5815 0.718437 44 -0.00039 -0.003 0.50119 45 -0.041239 -0.3168 0.62373 46 -0.002972 -0.0228 0.509069 47 -0.022458 -0.1725 0.568185 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.123134 -0.9458 0.825949 1 -0.327315 -2.5142 0.99266 2 -0.108314 -0.832 0.795611 3 -0.226575 -1.7404 0.956495 4 0.187377 1.4393 0.077679 5 0.001165 0.0089 0.496445 6 -0.09281 -0.7129 0.760638 7 -0.004588 -0.0352 0.513995 8 -0.172178 -1.3225 0.904452 9 0.268661 2.0636 0.021731 10 0.324948 2.496 0.007688 11 -0.257475 -1.9777 0.97368 12 -0.1157 -0.8887 0.811115 13 0.066407 0.5101 0.305948 14 -0.067104 -0.5154 0.695914 15 -0.013836 -0.1063 0.542138 16 -0.149127 -1.1455 0.87168 17 0.001422 0.0109 0.495661 18 -0.148495 -1.1406 0.870679 19 0.032844 0.2523 0.400851 20 -0.122454 -0.9406 0.824623 21 0.11471 0.8811 0.190919 22 0.159802 1.2275 0.112263 23 -0.198503 -1.5247 0.933665 24 -0.066457 -0.5105 0.694186 25 -0.090841 -0.6978 0.755967 26 0.03912 0.3005 0.38243 27 0.013596 0.1044 0.458591 28 -0.10528 -0.8087 0.789024 29 -0.076324 -0.5863 0.72003 30 0.003667 0.0282 0.488813 31 0.061108 0.4694 0.320264 32 -0.019618 -0.1507 0.559633 33 0.056586 0.4346 0.332703 34 0.030293 0.2327 0.408406 35 -0.06815 -0.5235 0.698697 36 -0.142294 -1.093 0.860578 37 -0.027271 -0.2095 0.582601 38 -0.049444 -0.3798 0.647265 39 0.013888 0.1067 0.457704 40 0.081237 0.624 0.267519 41 0.047567 0.3654 0.358071 42 -0.072474 -0.5567 0.710075 43 0.061796 0.4747 0.31839 44 -0.017391 -0.1336 0.552905 45 -0.06144 -0.4719 0.680641 46 -0.09737 -0.7479 0.771258 47 0.071974 0.5528 0.291231

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199627875z2ieipws93tm87m/1t5bv1199627905.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199627875z2ieipws93tm87m/1t5bv1199627905.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199627875z2ieipws93tm87m/2k0mk1199627905.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199627875z2ieipws93tm87m/2k0mk1199627905.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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