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appelen Golden autocorrfunctie D=1 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: Thu, 17 Dec 2009 13:48:17 -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/17/t1261083005ucs0o2niokdaq44.htm/, Retrieved Thu, 17 Dec 2009 21:50:08 +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/17/t1261083005ucs0o2niokdaq44.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 «

1.77 1.76 1.77 1.95 1.98 1.93 1.94 1.92 1.94 1.92 1.92 1.94 1.91 1.88 1.98 2.4 2.47 2.22 1.98 1.89 1.87 1.88 1.86 1.81 1.79 1.78 1.73 1.88 1.91 1.9 1.84 1.85 1.83 1.82 1.82 1.81 1.75 1.74 1.73 1.96 2.07 1.96 1.87 1.84 1.81 1.78 1.72 1.73 1.64 1.61 1.63 1.92 1.88 1.68 1.58 1.49 1.46 1.44 1.44 1.42 1.4 1.38 1.36 1.48 1.56 1.51 1.51 1.42 1.4 1.38 1.35 1.29

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	0.403697	3.1009	0.001479
2	-0.220991	-1.6975	0.047439
3	-0.355887	-2.7336	0.004128
4	-0.095627	-0.7345	0.232769
5	-0.012774	-0.0981	0.461087
6	-0.010632	-0.0817	0.467594
7	-0.003443	-0.0264	0.489496
8	0.084774	0.6512	0.258736
9	0.239698	1.8412	0.035314
10	0.164649	1.2647	0.105477
11	-0.195923	-1.5049	0.068841
12	-0.540401	-4.1509	5.4e-05
13	-0.30738	-2.361	0.010773
14	0.072749	0.5588	0.289207
15	0.150412	1.1553	0.126305
16	0.048921	0.3758	0.354218
17	-0.035863	-0.2755	0.39196
18	0.01926	0.1479	0.441449
19	0.034203	0.2627	0.396841
20	0.000517	0.004	0.498424
21	-0.044689	-0.3433	0.366309
22	-0.068115	-0.5232	0.301397
23	-0.11793	-0.9058	0.184353
24	-0.028085	-0.2157	0.414973
25	0.125861	0.9668	0.168805
26	0.112946	0.8676	0.194577
27	0.055078	0.4231	0.336894
28	0.037915	0.2912	0.385949
29	0.069553	0.5342	0.297588
30	0.030884	0.2372	0.406652
31	-0.025854	-0.1986	0.421635
32	-0.060104	-0.4617	0.323008
33	-0.103641	-0.7961	0.214588
34	0.014997	0.1152	0.45434
35	0.261362	2.0076	0.024639
36	0.251623	1.9328	0.029035

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.403697	3.1009	0.001479
2	-0.458721	-3.5235	0.000415
3	-0.061379	-0.4715	0.319524
4	0.053646	0.4121	0.340892
5	-0.217861	-1.6734	0.04977
6	0.031948	0.2454	0.403501
7	-0.026773	-0.2056	0.418888
8	0.04958	0.3808	0.352349
9	0.254602	1.9556	0.027624
10	-0.057442	-0.4412	0.330333
11	-0.223671	-1.718	0.045516
12	-0.33018	-2.5362	0.006937
13	0.025314	0.1944	0.423251
14	-0.118898	-0.9133	0.182409
15	-0.186952	-1.436	0.078141
16	0.046484	0.357	0.361165
17	-0.211816	-1.627	0.054535
18	0.036702	0.2819	0.389498
19	-0.027974	-0.2149	0.415305
20	-0.010845	-0.0833	0.466946
21	0.224855	1.7271	0.044687
22	-0.117858	-0.9053	0.184499
23	-0.327069	-2.5123	0.007375
24	-0.150629	-1.157	0.125967
25	-0.007128	-0.0548	0.478261
26	-0.139173	-1.069	0.14471
27	-0.024318	-0.1868	0.426233
28	0.033886	0.2603	0.397777
29	-0.064851	-0.4981	0.310123
30	0.079982	0.6144	0.270671
31	0.027988	0.215	0.415261
32	-0.008222	-0.0632	0.474929
33	0.013134	0.1009	0.459991
34	0.040243	0.3091	0.379162
35	0.015636	0.1201	0.452404
36	-0.108784	-0.8356	0.203381

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261083005ucs0o2niokdaq44/1xb3s1261082896.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261083005ucs0o2niokdaq44/1xb3s1261082896.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261083005ucs0o2niokdaq44/2ih3y1261082896.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261083005ucs0o2niokdaq44/2ih3y1261082896.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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