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autocorrelatie eigen reeks (steffi poppe MAR202b)

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sat, 12 Dec 2009 03:41:15 -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/12/t1260614566qrsr4ytnjdomutz.htm/, Retrieved Sat, 12 Dec 2009 11:42:48 +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/12/t1260614566qrsr4ytnjdomutz.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:
KDGP2W21
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1,2 1,21 1,21 1,21 1,21 1,21 1,21 1,2 1,21 1,22 1,22 1,23 1,22 1,23 1,23 1,23 1,23 1,23 1,22 1,22 1,23 1,24 1,24 1,25 1,25 1,25 1,26 1,26 1,26 1,26 1,27 1,27 1,29 1,31 1,32 1,32 1,33 1,33 1,32 1,32 1,31 1,3 1,31 1,29 1,3 1,3 1,32 1,31 1,35 1,35 1,36 1,37 1,37 1,37 1,32 1,32 1,31 1,31 1,34 1,31 1,27 1,28 1,27 1,26 1,27 1,27 1,28 1,27 1,26 1,3 1,31 1,28 1,29 1,31 1,29 1,29 1,32 1,3 1,29 1,31 1,29 1,33 1,35 1,32 1,33
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9156968.44230
20.8574247.90510
30.8076227.44590
40.7295366.7260
50.6780766.25160
60.62835.79260
70.5683515.23991e-06
80.5084024.68725e-06
90.4569224.21263.1e-05
100.4150763.82680.000124
110.3941693.63410.000238
120.3709793.42030.000482
130.3280013.0240.001649
140.298042.74780.003662
150.2663612.45570.008048
160.2318592.13760.017709
170.2087021.92410.028842
180.1781811.64280.052064
190.1272871.17350.121931
200.0894160.82440.206017
210.052670.48560.314252
220.0187540.17290.431569
230.0023750.02190.49129
24-0.022506-0.20750.418059
25-0.057002-0.52550.300292
26-0.10171-0.93770.175521
27-0.144182-1.32930.093654
28-0.163997-1.5120.067125
29-0.182679-1.68420.047904
30-0.201369-1.85650.033421
31-0.207048-1.90890.029826
32-0.23653-2.18070.015984
33-0.247915-2.28570.012381
34-0.258182-2.38030.009767
35-0.259394-2.39150.009493
36-0.256072-2.36090.01026
37-0.25502-2.35120.010514
38-0.252243-2.32560.011212
39-0.250033-2.30520.011796
40-0.238188-2.1960.015408
41-0.239354-2.20670.015014
42-0.229753-2.11820.018538
43-0.226397-2.08730.019929
44-0.232077-2.13960.017625
45-0.233808-2.15560.016971
46-0.238375-2.19770.015345
47-0.231637-2.13560.017795
48-0.237916-2.19350.015502


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9156968.44230
20.1171861.08040.141509
30.0450950.41580.339318
4-0.186105-1.71580.04492
50.0803020.74030.230565
60.0029170.02690.489303
7-0.051517-0.4750.318017
8-0.090485-0.83420.203246
90.0168810.15560.438344
100.059790.55120.291459
110.1313181.21070.114685
12-0.015895-0.14650.441919
13-0.153265-1.4130.080649
148e-040.00740.497067
150.0152560.14070.444237
16-0.003615-0.03330.486745
17-0.023329-0.21510.415109
18-0.061318-0.56530.286672
19-0.135513-1.24940.107479
200.0347020.31990.374901
210.0121630.11210.455488
220.0030440.02810.488839
230.0104310.09620.461807
24-0.037571-0.34640.364955
25-0.067247-0.620.268463
26-0.143698-1.32480.094389
27-0.047233-0.43550.332163
280.0972460.89660.186243
290.0090940.08380.46669
30-0.022173-0.20440.419256
310.0566190.5220.301513
32-0.137062-1.26370.104905
330.0835150.770.221726
34-0.061073-0.56310.287436
350.0395110.36430.358279
36-0.027323-0.25190.40086
370.0505320.46590.321247
380.0177210.16340.435303
39-0.000672-0.00620.497535
400.002510.02310.490796
41-0.096893-0.89330.187107
420.0487130.44910.327248
43-0.024197-0.22310.412003
440.025050.23090.408955
45-0.094834-0.87430.192201
46-0.042944-0.39590.346578
470.0531520.490.312684
48-0.083712-0.77180.22119
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/12/t1260614566qrsr4ytnjdomutz/1g0le1260614473.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/12/t1260614566qrsr4ytnjdomutz/1g0le1260614473.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/12/t1260614566qrsr4ytnjdomutz/21vs81260614473.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/12/t1260614566qrsr4ytnjdomutz/21vs81260614473.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')
 




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Creative Commons License

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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