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acf met d=0 en D=1

*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: Wed, 09 Dec 2009 01:53:49 -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/09/t1260351157s41hetkl5q6m4ok.htm/, Retrieved Wed, 09 Dec 2009 10:32:40 +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/09/t1260351157s41hetkl5q6m4ok.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

104.1 90.2 99.2 116.5 98.4 90.6 130.5 107.4 106 196.5 107.8 90.5 123.8 114.7 115.3 197 88.4 93.8 111.3 105.9 123.6 171 97 99.2 126.6 103.4 121.3 129.6 110.8 98.9 122.8 120.9 133.1 203.1 110.2 119.5 135.1 113.9 137.4 157.1 126.4 112.2 128.8 136.8 156.5 215.2 146.7 130.8 133.1 153.4 159.9 174.6 145 112.9 137.8 150.6 162.1 226.4 112.3 126.3

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.046669	0.3233	0.373924
2	0.198376	1.3744	0.087852
3	0.083376	0.5776	0.283103
4	-0.003059	-0.0212	0.49159
5	0.216419	1.4994	0.07016
6	-0.012001	-0.0831	0.467041
7	-0.112423	-0.7789	0.219935
8	-0.025492	-0.1766	0.430277
9	-0.016847	-0.1167	0.453784
10	-0.063473	-0.4398	0.331045
11	0.075434	0.5226	0.301822
12	-0.442227	-3.0638	0.001789
13	-0.024137	-0.1672	0.433948
14	-0.155318	-1.0761	0.143636
15	-0.074216	-0.5142	0.304742
16	0.022011	0.1525	0.439716
17	-0.108203	-0.7497	0.228561
18	0.039187	0.2715	0.393588
19	-0.139728	-0.9681	0.168933
20	-0.026206	-0.1816	0.428345
21	0.008317	0.0576	0.477143
22	-0.143861	-0.9967	0.161954
23	-0.085617	-0.5932	0.277926
24	-0.029826	-0.2066	0.418583
25	-0.146877	-1.0176	0.156986
26	0.032032	0.2219	0.412657
27	-0.051743	-0.3585	0.360777
28	-0.114456	-0.793	0.215848
29	0.049673	0.3441	0.36612
30	-0.06077	-0.421	0.337806
31	0.212618	1.4731	0.073631
32	0.080609	0.5585	0.289559
33	-0.026836	-0.1859	0.426644
34	0.115593	0.8009	0.213581
35	0.061616	0.4269	0.335686
36	0.079236	0.549	0.292787
37	0.150872	1.0453	0.150566
38	-0.004893	-0.0339	0.486548
39	0.018612	0.129	0.448968
40	0.084017	0.5821	0.281616
41	0.014451	0.1001	0.460333
42	0.052961	0.3669	0.357645
43	-0.137317	-0.9514	0.173093
44	-0.062621	-0.4338	0.333171
45	-0.035355	-0.2449	0.403771
46	-0.031695	-0.2196	0.413561
47	-0.006883	-0.0477	0.481081
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.046669	0.3233	0.373924
2	0.196626	1.3623	0.089736
3	0.069598	0.4822	0.315931
4	-0.049005	-0.3395	0.36785
5	0.197187	1.3662	0.089129
6	-0.022259	-0.1542	0.439043
7	-0.204035	-1.4136	0.081967
8	-0.035084	-0.2431	0.404493
9	0.07171	0.4968	0.310791
10	-0.096303	-0.6672	0.253917
11	0.082718	0.5731	0.28463
12	-0.403311	-2.7942	0.003727
13	0.002904	0.0201	0.492015
14	-0.035547	-0.2463	0.403258
15	0.003742	0.0259	0.489711
16	0.006276	0.0435	0.48275
17	0.103758	0.7189	0.237858
18	0.036276	0.2513	0.401318
19	-0.271789	-1.883	0.032883
20	-0.057237	-0.3965	0.346729
21	0.107066	0.7418	0.230918
22	-0.245387	-1.7001	0.047793
23	-0.021764	-0.1508	0.44039
24	-0.092867	-0.6434	0.261512
25	-0.14788	-1.0245	0.155358
26	-0.091473	-0.6337	0.264628
27	0.005386	0.0373	0.485195
28	-0.119749	-0.8296	0.205423
29	0.03373	0.2337	0.408111
30	0.100689	0.6976	0.244397
31	0.069005	0.4781	0.317383
32	-0.038076	-0.2638	0.396533
33	-0.000471	-0.0033	0.498704
34	-0.14511	-1.0054	0.159884
35	-0.002305	-0.016	0.493661
36	-0.039797	-0.2757	0.391973
37	0.01305	0.0904	0.464168
38	-0.076692	-0.5313	0.298817
39	-0.031254	-0.2165	0.414745
40	-0.061352	-0.4251	0.336345
41	-0.021402	-0.1483	0.441374
42	-0.032214	-0.2232	0.412169
43	-0.014833	-0.1028	0.459289
44	-0.072605	-0.503	0.308624
45	-0.031245	-0.2165	0.41477
46	-0.046335	-0.321	0.374794
47	-0.069617	-0.4823	0.315885
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260351157s41hetkl5q6m4ok/1ycuo1260348826.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260351157s41hetkl5q6m4ok/1ycuo1260348826.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260351157s41hetkl5q6m4ok/2qreo1260348826.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260351157s41hetkl5q6m4ok/2qreo1260348826.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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