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autocorrelatie prijzen koffie

*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: Tue, 15 Dec 2009 07:15:17 -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/15/t1260886688mft91dv580upkb9.htm/, Retrieved Tue, 15 Dec 2009 15:18:11 +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/15/t1260886688mft91dv580upkb9.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 «

8.32 8.27 8.28 8.32 8.3 8.26 8.29 8.17 8.04 8 7.98 7.97 7.92 7.96 7.99 7.93 7.97 7.95 7.96 7.97 7.9 7.76 7.74 7.72 7.68 7.72 7.71 7.71 7.68 7.7 7.69 7.66 7.61 7.33 7.24 7.14

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	0.848477	5.0909	6e-06
2	0.704954	4.2297	7.7e-05
3	0.566392	3.3984	0.000835
4	0.479988	2.8799	0.003329
5	0.407648	2.4459	0.009734
6	0.348397	2.0904	0.021853
7	0.286453	1.7187	0.047128
8	0.23197	1.3918	0.086259
9	0.205971	1.2358	0.112263
10	0.18152	1.0891	0.141669
11	0.157349	0.9441	0.175707
12	0.115416	0.6925	0.246534
13	0.071339	0.428	0.335588
14	0.006188	0.0371	0.485294
15	-0.070192	-0.4212	0.338074
16	-0.105704	-0.6342	0.264971
17	-0.136274	-0.8176	0.209469
18	-0.163284	-0.9797	0.166885
19	-0.195175	-1.1711	0.124636
20	-0.223321	-1.3399	0.094333
21	-0.252249	-1.5135	0.069443
22	-0.24942	-1.4965	0.071617
23	-0.252986	-1.5179	0.068885
24	-0.270791	-1.6247	0.056471
25	-0.277739	-1.6664	0.052153
26	-0.303154	-1.8189	0.038625
27	-0.338547	-2.0313	0.02483
28	-0.370507	-2.223	0.01629
29	-0.372774	-2.2366	0.015798
30	-0.350071	-2.1004	0.02138
31	-0.331817	-1.9909	0.027062
32	-0.298905	-1.7934	0.040654
33	-0.256964	-1.5418	0.065936
34	-0.185972	-1.1158	0.135943
35	-0.106217	-0.6373	0.263981
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.848477	5.0909	6e-06
2	-0.053409	-0.3205	0.37524
3	-0.065792	-0.3947	0.347679
4	0.099829	0.599	0.276471
5	-0.004532	-0.0272	0.489229
6	-0.004305	-0.0258	0.489768
7	-0.029846	-0.1791	0.429442
8	-0.008875	-0.0533	0.478913
9	0.072215	0.4333	0.333695
10	-0.017651	-0.1059	0.458123
11	-0.016797	-0.1008	0.460141
12	-0.058654	-0.3519	0.363473
13	-0.034515	-0.2071	0.418552
14	-0.107927	-0.6476	0.260689
15	-0.115526	-0.6932	0.24633
16	0.077584	0.4655	0.322188
17	-0.044257	-0.2655	0.396053
18	-0.057778	-0.3467	0.36543
19	-0.038878	-0.2333	0.408437
20	-0.039956	-0.2397	0.405948
21	-0.048546	-0.2913	0.386257
22	0.043625	0.2618	0.397502
23	-0.057085	-0.3425	0.36698
24	-0.071784	-0.4307	0.334626
25	0.032261	0.1936	0.423801
26	-0.105155	-0.6309	0.266036
27	-0.112843	-0.6771	0.251349
28	-0.0348	-0.2088	0.417891
29	0.013497	0.081	0.467953
30	0.029616	0.1777	0.429978
31	-0.046743	-0.2805	0.390366
32	0.040698	0.2442	0.404237
33	0.045419	0.2725	0.393393
34	0.104408	0.6264	0.267487
35	0.065238	0.3914	0.348894
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260886688mft91dv580upkb9/1udnw1260886516.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260886688mft91dv580upkb9/1udnw1260886516.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260886688mft91dv580upkb9/23uc91260886516.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260886688mft91dv580upkb9/23uc91260886516.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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