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Autocorrelatie 2 bruin brood

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 08 Dec 2009 00:23:12 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/08/t1260257050ko5f8fbuwc2l71j.htm/, Retrieved Tue, 08 Dec 2009 08:24:12 +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/2009/Dec/08/t1260257050ko5f8fbuwc2l71j.htm/},
    year = {2009},
}
@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 = {2009},
    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:

KDGP2W22

Dataseries X:

» Textbox « » Textfile « » CSV «

1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.38 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.43 1.44 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.48 1.57 1.58 1.58 1.58 1.58 1.59 1.6 1.6 1.61 1.61 1.61 1.62 1.63 1.63 1.64 1.64 1.64 1.64 1.64 1.65 1.65 1.65 1.65 1.65 1.66 1.66 1.67 1.68 1.68 1.68 1.68 1.69 1.7 1.7 1.71 1.72 1.73 1.74 1.74 1.75 1.75 1.75 1.76 1.79 1.83 1.84 1.85 1.87 1.87 1.87 1.88 1.88 1.88 1.88 1.89 1.89 1.89 1.9 1.89

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	0.131116	1.5007	0.067922
2	-0.001006	-0.0115	0.495415
3	0.023484	0.2688	0.39426
4	-0.022026	-0.2521	0.400681
5	0.036759	0.4207	0.337321
6	0.016704	0.1912	0.424338
7	0.009376	0.1073	0.457352
8	0.046593	0.5333	0.297372
9	-0.047347	-0.5419	0.294398
10	-0.003767	-0.0431	0.482837
11	0.020723	0.2372	0.406443
12	0.031076	0.3557	0.361324
13	-0.011955	-0.1368	0.445685
14	-0.04226	-0.4837	0.314706
15	-0.065133	-0.7455	0.228659
16	-0.052302	-0.5986	0.275231
17	-0.044425	-0.5085	0.30599
18	-0.019935	-0.2282	0.409935
19	0.036372	0.4163	0.338937
20	0.107884	1.2348	0.10956
21	-0.064896	-0.7428	0.229475
22	-0.07611	-0.8711	0.19264
23	-0.030393	-0.3479	0.364252
24	0.002938	0.0336	0.486613
25	-0.027367	-0.3132	0.377303
26	0.00985	0.1127	0.455206
27	-0.007728	-0.0884	0.464828
28	-0.044396	-0.5081	0.306106
29	-0.051724	-0.592	0.277432
30	0.201853	2.3103	0.011217
31	0.111799	1.2796	0.101474
32	0.024222	0.2772	0.391017
33	-0.025173	-0.2881	0.386855
34	-0.007047	-0.0807	0.467919
35	0.045374	0.5193	0.302202
36	0.057137	0.654	0.257141
37	0.005264	0.0603	0.476024
38	0.0043	0.0492	0.480413
39	0.016062	0.1838	0.427211
40	-0.071515	-0.8185	0.207273
41	-0.040661	-0.4654	0.321213
42	0.043578	0.4988	0.309389
43	0.135249	1.548	0.062018
44	0.178829	2.0468	0.021339
45	0.002163	0.0248	0.490144
46	-0.005165	-0.0591	0.476475
47	0.028166	0.3224	0.373843
48	-0.072138	-0.8257	0.205249

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.131116	1.5007	0.067922
2	-0.018516	-0.2119	0.416249
3	0.02651	0.3034	0.381024
4	-0.029203	-0.3342	0.369363
5	0.044978	0.5148	0.30378
6	0.004596	0.0526	0.479066
7	0.009134	0.1045	0.458449
8	0.042438	0.4857	0.313986
9	-0.058737	-0.6723	0.251296
10	0.010748	0.123	0.451143
11	0.015844	0.1813	0.428188
12	0.031695	0.3628	0.358681
13	-0.027492	-0.3147	0.376759
14	-0.03491	-0.3996	0.345066
15	-0.056884	-0.6511	0.25807
16	-0.038546	-0.4412	0.329905
17	-0.031556	-0.3612	0.359274
18	-0.013094	-0.1499	0.440552
19	0.0416	0.4761	0.317384
20	0.104662	1.1979	0.116556
21	-0.08604	-0.9848	0.163274
22	-0.053566	-0.6131	0.27044
23	-0.017209	-0.197	0.422079
24	0.014352	0.1643	0.434889
25	-0.039148	-0.4481	0.327423
26	0.023322	0.2669	0.394972
27	-0.009397	-0.1076	0.457257
28	-0.044338	-0.5075	0.306337
29	-0.029987	-0.3432	0.365993
30	0.21854	2.5013	0.006803
31	0.04462	0.5107	0.305211
32	-0.007269	-0.0832	0.466911
33	-0.031621	-0.3619	0.358996
34	0.019956	0.2284	0.409842
35	0.04503	0.5154	0.303575
36	0.04562	0.5221	0.301225
37	-0.015192	-0.1739	0.431116
38	-0.035549	-0.4069	0.342379
39	0.013951	0.1597	0.436693
40	-0.087914	-1.0062	0.158082
41	-0.007755	-0.0888	0.464703
42	0.04488	0.5137	0.304172
43	0.133443	1.5273	0.064546
44	0.159924	1.8304	0.03473
45	-0.005562	-0.0637	0.474668
46	-0.003118	-0.0357	0.485794
47	0.035179	0.4026	0.343935
48	-0.057088	-0.6534	0.257321

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260257050ko5f8fbuwc2l71j/19e3h1260256990.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260257050ko5f8fbuwc2l71j/19e3h1260256990.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260257050ko5f8fbuwc2l71j/2cply1260256990.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260257050ko5f8fbuwc2l71j/2cply1260256990.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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