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Autocorrelatie Adviesprijzen motorbrandstoffen

*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 10:22:26 -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/t1260293044nlz2q98yq33ds4y.htm/, Retrieved Tue, 08 Dec 2009 18:24:06 +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/t1260293044nlz2q98yq33ds4y.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 «

100,34 115,78 114,6 114,2 115,88 125,22 161,71 165,01 135,78 153,67 125,52 135,29 103,05 120,79 120,17 119,62 121,17 129,86 167,8 167,14 140,55 158,44 131,07 140,55 106,15 123,65 122,8 122,25 123,88 132,96 171,82 173,69 149,5 164,44 133,37 143,77 69,49 84,5 82,3 78,8 79,47 88,93 138,13 139,69 114,43 128,65 95,92 98,22 56,65 69,6 66,91 63,76 64 35,24 45,3 43,02 43,08 43,17 46,38 70,85 72,81 59,51 67,54 56,51 53,82 112,55 127,65 126,51 126,08 127,34

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	0.837406	7.0062	0
2	0.749217	6.2684	0
3	0.607372	5.0816	1e-06
4	0.500532	4.1878	4e-05
5	0.391808	3.2781	0.000815
6	0.282458	2.3632	0.01045
7	0.307461	2.5724	0.006111
8	0.317812	2.659	0.004853
9	0.314958	2.6351	0.005174
10	0.343061	2.8703	0.00271
11	0.321353	2.6886	0.00448
12	0.387309	3.2405	0.000914
13	0.276668	2.3148	0.011782
14	0.233426	1.953	0.02741
15	0.140905	1.1789	0.121216
16	0.079686	0.6667	0.253577
17	-0.000287	-0.0024	0.499044
18	-0.110734	-0.9265	0.178694
19	-0.116431	-0.9741	0.166674
20	-0.107401	-0.8986	0.185978
21	-0.102678	-0.8591	0.196617
22	-0.06211	-0.5196	0.302474
23	-0.044538	-0.3726	0.355274
24	0.021436	0.1793	0.429091
25	-0.057163	-0.4783	0.316979
26	-0.099839	-0.8353	0.203192
27	-0.178521	-1.4936	0.069885
28	-0.237572	-1.9877	0.025381
29	-0.307811	-2.5753	0.006065
30	-0.365244	-3.0558	0.001588
31	-0.348659	-2.9171	0.002373
32	-0.319162	-2.6703	0.004708
33	-0.29071	-2.4323	0.008783
34	-0.237353	-1.9858	0.025484
35	-0.20483	-1.7137	0.045502
36	-0.146197	-1.2232	0.112683
37	-0.169667	-1.4195	0.080091
38	-0.174646	-1.4612	0.074218
39	-0.19652	-1.6442	0.052309
40	-0.210248	-1.7591	0.041468
41	-0.222444	-1.8611	0.033465
42	-0.244243	-2.0435	0.022385
43	-0.23962	-2.0048	0.024426
44	-0.225884	-1.8899	0.031457
45	-0.21756	-1.8202	0.036499
46	-0.192695	-1.6122	0.055709
47	-0.170429	-1.4259	0.079169
48	-0.144483	-1.2088	0.115397

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.837406	7.0062	0
2	0.160562	1.3434	0.091747
3	-0.184663	-1.545	0.063428
4	-0.026117	-0.2185	0.413833
5	-0.026873	-0.2248	0.411382
6	-0.093443	-0.7818	0.218485
7	0.391926	3.2791	0.000812
8	0.133295	1.1152	0.134284
9	-0.19661	-1.645	0.052231
10	0.137699	1.1521	0.126606
11	-0.120473	-1.0079	0.158476
12	0.238333	1.994	0.025022
13	-0.325321	-2.7218	0.004093
14	-0.028921	-0.242	0.404754
15	-0.086423	-0.7231	0.236023
16	0.013097	0.1096	0.456531
17	-0.11034	-0.9232	0.179544
18	-0.110482	-0.9244	0.179239
19	0.043577	0.3646	0.358258
20	0.121543	1.0169	0.156351
21	-0.015894	-0.133	0.447295
22	0.026893	0.225	0.411315
23	0.053388	0.4467	0.328243
24	-0.157538	-1.3181	0.095891
25	-0.131559	-1.1007	0.137399
26	-0.043256	-0.3619	0.359258
27	-0.022969	-0.1922	0.42408
28	-0.040938	-0.3425	0.366497
29	-0.051217	-0.4285	0.334797
30	0.079686	0.6667	0.253578
31	-0.007477	-0.0626	0.475149
32	-0.021444	-0.1794	0.429065
33	0.020537	0.1718	0.432036
34	0.021511	0.18	0.428845
35	-0.01787	-0.1495	0.440789
36	-0.06671	-0.5581	0.289267
37	0.027582	0.2308	0.409083
38	-0.011786	-0.0986	0.460865
39	0.040198	0.3363	0.368816
40	-0.030419	-0.2545	0.399928
41	0.141396	1.183	0.120405
42	-0.063653	-0.5326	0.298014
43	-0.155634	-1.3021	0.09857
44	-0.052339	-0.4379	0.331405
45	0.005125	0.0429	0.482959
46	-0.062364	-0.5218	0.301736
47	-0.005419	-0.0453	0.481984
48	-0.101207	-0.8468	0.200008

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260293044nlz2q98yq33ds4y/1ttla1260292944.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260293044nlz2q98yq33ds4y/1ttla1260292944.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260293044nlz2q98yq33ds4y/23t3b1260292944.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260293044nlz2q98yq33ds4y/23t3b1260292944.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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