Home » date » 2009 » Dec » 20 »

Paper: Differentiatie: Niet-seizoenaal (d=1 en D=0)

*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: Sun, 20 Dec 2009 03:04:05 -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/20/t1261303597yrgq85lysb48lw9.htm/, Retrieved Sun, 20 Dec 2009 11:06:39 +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/20/t1261303597yrgq85lysb48lw9.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 «

90.2 90 88.8 85.8 84.2 80 77.8 76.8 86.4 89.2 86.2 84.6 83.2 83.2 82.6 79.8 77.2 74.8 73 73 83.6 85.6 84.8 84.2 83.4 84.6 84.6 83.8 81.2 79.6 78 78.2 88.8 92 91 91.2 90.4 91.8 92.2 90.2 88.6 87.8 86 87.2 97.6 101.2 100.4 100.2 100.2 103 104.2 104 102.4 101.8 101 102.2 114 118.4 118.8 117.2 117.2 118.4 118.8 117.2 114.4 112.6 111 110.8 120.2 124.4 123.4 121.2 119 119.8 120 118.4 115 113.4 111 111 121.6 126.2 125.8 124.8 122 123.2 124.2 120.8 116.8 114.8 111 109 119.8 124 121.6 118 115.8 116 115.8 114.4 112 110.2 107.4 108.2 117.6 121.4 119.8 115.6 112.6 113.2 112.2 110.8 108 105.2 102.4 101 110.8 116.8 113.8 108 104.4 105.2 105.4 103.2 100.6 97.8 95.8 95 104.8 110.4 106.4 102.2 98.4 98.4 98.6 96.2 92.4 91.4 88.4 87.8 97.6 104.2 100.2 97 92.8 92 93.4 92 89.6 88.6 87.2 86.2 96.8 102 102.6 100.6 94.2 94.2 95.2 95 94 92.2 91 91.2 103.4 105 104.6 103. etc...

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.319092	5.0654	0
2	-0.22163	-3.5183	0.000258
3	-0.315653	-5.0108	1e-06
4	-0.241207	-3.829	8.1e-05
5	0.036354	0.5771	0.282193
6	0.154396	2.451	0.007464
7	0.037454	0.5946	0.276333
8	-0.232087	-3.6843	0.00014
9	-0.297548	-4.7234	2e-06
10	-0.222888	-3.5382	0.00024
11	0.308965	4.9047	1e-06
12	0.897892	14.2536	0
13	0.286661	4.5506	4e-06
14	-0.211213	-3.3529	0.000461
15	-0.328743	-5.2186	0
16	-0.259816	-4.1245	2.5e-05
17	0.019511	0.3097	0.378514
18	0.130049	2.0645	0.019998
19	0.026791	0.4253	0.335492
20	-0.230358	-3.6568	0.000155
21	-0.290188	-4.6066	3e-06
22	-0.211556	-3.3583	0.000453
23	0.30029	4.767	2e-06
24	0.829357	13.1656	0
25	0.260462	4.1347	2.4e-05
26	-0.21642	-3.4356	0.000346
27	-0.337967	-5.3651	0
28	-0.262709	-4.1704	2.1e-05
29	0.00866	0.1375	0.445384
30	0.109132	1.7324	0.042212
31	0.018159	0.2883	0.38669
32	-0.226334	-3.5929	0.000197
33	-0.281775	-4.473	6e-06
34	-0.196251	-3.1154	0.001025
35	0.270156	4.2886	1.3e-05
36	0.772431	12.262	0
37	0.251938	3.9994	4.2e-05
38	-0.2088	-3.3146	0.000526
39	-0.349039	-5.5408	0
40	-0.26333	-4.1802	2e-05
41	-0.008981	-0.1426	0.443374
42	0.101775	1.6156	0.053714
43	0.020356	0.3231	0.373427
44	-0.219783	-3.4889	0.000286
45	-0.259891	-4.1256	2.5e-05
46	-0.18857	-2.9935	0.001516
47	0.247627	3.931	5.5e-05
48	0.725019	11.5093	0
49	0.233401	3.7051	0.00013
50	-0.211725	-3.361	0.000449
51	-0.335444	-5.325	0
52	-0.25535	-4.0536	3.4e-05
53	-0.02167	-0.344	0.365564
54	0.104612	1.6607	0.049013
55	0.019047	0.3024	0.38131
56	-0.198215	-3.1466	0.000925
57	-0.234486	-3.7223	0.000122
58	-0.176964	-2.8092	0.002678
59	0.238659	3.7886	9.5e-05
60	0.685477	10.8816	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.319092	5.0654	0
2	-0.360117	-5.7167	0
3	-0.133753	-2.1233	0.017353
4	-0.187157	-2.971	0.001627
5	0.075955	1.2058	0.114522
6	-0.036964	-0.5868	0.278939
7	-0.076762	-1.2186	0.112077
8	-0.277149	-4.3996	8e-06
9	-0.168193	-2.67	0.004039
10	-0.303558	-4.8188	1e-06
11	0.356386	5.6575	0
12	0.804531	12.7715	0
13	-0.183964	-2.9203	0.001907
14	0.069391	1.1015	0.135855
15	-0.040271	-0.6393	0.261611
16	-0.079737	-1.2658	0.103378
17	-0.063714	-1.0114	0.156392
18	-0.136058	-2.1599	0.015864
19	-0.0321	-0.5096	0.305398
20	-0.081791	-1.2984	0.097671
21	-0.0433	-0.6874	0.246242
22	0.044425	0.7052	0.240658
23	-0.02044	-0.3245	0.372923
24	0.132299	2.1002	0.018354
25	-0.047548	-0.7548	0.225535
26	-0.070991	-1.1269	0.13042
27	0.025779	0.4092	0.341361
28	-0.021705	-0.3446	0.365355
29	-0.026481	-0.4204	0.337285
30	-0.060243	-0.9563	0.169913
31	-0.026306	-0.4176	0.338297
32	-0.021568	-0.3424	0.366173
33	-0.050198	-0.7969	0.213138
34	0.014999	0.2381	0.405996
35	-0.170177	-2.7015	0.003686
36	0.081343	1.2913	0.098896
37	0.014203	0.2255	0.410901
38	-0.009111	-0.1446	0.442559
39	-0.035604	-0.5652	0.286222
40	0.00644	0.1022	0.459327
41	-0.075837	-1.2039	0.114883
42	0.035103	0.5572	0.288926
43	-0.044625	-0.7084	0.239677
44	-0.009623	-0.1528	0.439357
45	0.00158	0.0251	0.490002
46	-0.074174	-1.1775	0.120057
47	-0.013575	-0.2155	0.41478
48	-0.013263	-0.2105	0.41671
49	-0.091379	-1.4506	0.074067
50	-0.055713	-0.8844	0.188656
51	0.045658	0.7248	0.234624
52	-0.02255	-0.358	0.360334
53	-0.022737	-0.3609	0.359221
54	0.047342	0.7515	0.226519
55	-0.059956	-0.9518	0.171061
56	0.068376	1.0854	0.139381
57	-0.059819	-0.9496	0.171613
58	0.011081	0.1759	0.430256
59	-0.00692	-0.1099	0.456306
60	-0.042302	-0.6715	0.251251

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261303597yrgq85lysb48lw9/1fsrv1261303442.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261303597yrgq85lysb48lw9/1fsrv1261303442.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261303597yrgq85lysb48lw9/2do4a1261303442.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261303597yrgq85lysb48lw9/2do4a1261303442.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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')

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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