Home » date » 2009 » Dec » 10 »

(partiële) autocorrelatiefunctie voedingsnijverheid

*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: Thu, 10 Dec 2009 01:58:51 -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/10/t12604357107pvnayfzh6epfrt.htm/, Retrieved Thu, 10 Dec 2009 10:01:52 +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/10/t12604357107pvnayfzh6epfrt.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 «

46 43 59 57 44 63 52 53 55 57 62 69 60 54 56 66 67 65 63 63 70 71 66 66 70 70 67 65 75 80 76 75 77 74 81 75 79 82 77 72 81 79 76 75 71 69 69 57 74 57 61 59 67 57 55 63 61 65 58 55 50

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.692902	5.4117	1e-06
2	0.608029	4.7489	6e-06
3	0.605806	4.7315	7e-06
4	0.608448	4.7521	6e-06
5	0.535481	4.1822	4.7e-05
6	0.513193	4.0082	8.5e-05
7	0.404158	3.1566	0.00124
8	0.349415	2.729	0.004144
9	0.311621	2.4338	0.008942
10	0.194278	1.5174	0.067171
11	0.142459	1.1126	0.135115
12	0.125337	0.9789	0.165745
13	0.093982	0.734	0.232873
14	0.001522	0.0119	0.495277
15	-0.104	-0.8123	0.209899
16	-0.152052	-1.1876	0.119804
17	-0.186249	-1.4546	0.075447
18	-0.193097	-1.5081	0.068341
19	-0.228137	-1.7818	0.039879
20	-0.270162	-2.11	0.019482
21	-0.284335	-2.2207	0.015047
22	-0.310638	-2.4262	0.009116
23	-0.313427	-2.4479	0.00863
24	-0.351609	-2.7462	0.003957
25	-0.358037	-2.7964	0.003451
26	-0.337932	-2.6393	0.005265
27	-0.344941	-2.6941	0.004552
28	-0.414717	-3.239	0.000971
29	-0.397669	-3.1059	0.001439
30	-0.39402	-3.0774	0.001563
31	-0.350074	-2.7342	0.004087
32	-0.310264	-2.4232	0.009183
33	-0.308535	-2.4097	0.009498
34	-0.313649	-2.4497	0.008592
35	-0.257599	-2.0119	0.024326
36	-0.270449	-2.1123	0.019383

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.692902	5.4117	1e-06
2	0.246045	1.9217	0.029661
3	0.240936	1.8818	0.03232
4	0.190979	1.4916	0.070479
5	-0.005104	-0.0399	0.484168
6	0.052166	0.4074	0.34256
7	-0.179893	-1.405	0.082545
8	-0.089357	-0.6979	0.243945
9	-0.054567	-0.4262	0.335737
10	-0.221377	-1.729	0.044433
11	-0.038229	-0.2986	0.383138
12	0.009677	0.0756	0.470001
13	0.058815	0.4594	0.323804
14	-0.050992	-0.3983	0.345916
15	-0.182136	-1.4225	0.079983
16	-0.065783	-0.5138	0.304629
17	-0.094917	-0.7413	0.230671
18	0.034072	0.2661	0.395525
19	0.04192	0.3274	0.372241
20	0.001285	0.01	0.496012
21	0.06236	0.487	0.313985
22	-0.052862	-0.4129	0.340578
23	0.032097	0.2507	0.401449
24	-0.11151	-0.8709	0.193606
25	-0.110486	-0.8629	0.19578
26	-0.000723	-0.0056	0.497757
27	-0.071411	-0.5577	0.289532
28	-0.119201	-0.931	0.177765
29	-0.013407	-0.1047	0.458474
30	-0.07296	-0.5698	0.285441
31	0.07644	0.597	0.276354
32	0.061783	0.4825	0.315575
33	0.030071	0.2349	0.407551
34	-0.004399	-0.0344	0.486352
35	0.003267	0.0255	0.489864
36	-0.106495	-0.8318	0.204396

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/10/t12604357107pvnayfzh6epfrt/1bjnw1260435527.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t12604357107pvnayfzh6epfrt/1bjnw1260435527.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t12604357107pvnayfzh6epfrt/22z6z1260435527.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t12604357107pvnayfzh6epfrt/22z6z1260435527.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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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