Home » date » 2009 » Dec » 20 »

Paper: Differentiatie: Autocorrelatie (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: Sun, 20 Dec 2009 03:17:27 -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/t1261304380qjf8vn4k5o6yaki.htm/, Retrieved Sun, 20 Dec 2009 11:19:42 +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/t1261304380qjf8vn4k5o6yaki.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	0.120568	1.8678	0.031502
2	0.117773	1.8245	0.034657
3	0.187992	2.9124	0.001963
4	0.167734	2.5985	0.004971
5	0.128734	1.9943	0.023623
6	0.132868	2.0584	0.020317
7	0.045634	0.707	0.240139
8	0.078244	1.2121	0.113324
9	0.086865	1.3457	0.089833
10	-0.038604	-0.5981	0.275185
11	0.04321	0.6694	0.251939
12	-0.214195	-3.3183	0.000523
13	0.031689	0.4909	0.311962
14	0.155657	2.4114	0.008321
15	0.025156	0.3897	0.348544
16	-0.036595	-0.5669	0.285649
17	0.026552	0.4113	0.340592
18	0.005493	0.0851	0.466125
19	0.004426	0.0686	0.472695
20	0.039523	0.6123	0.270462
21	0.018918	0.2931	0.384858
22	0.007858	0.1217	0.451603
23	0.137807	2.1349	0.016891
24	-0.08305	-1.2866	0.099735
25	-0.053934	-0.8355	0.202121
26	-0.054605	-0.8459	0.199214
27	-0.001027	-0.0159	0.493661
28	-0.008833	-0.1368	0.445639
29	0.064823	1.0042	0.158138
30	-0.092786	-1.4374	0.075949
31	-0.043915	-0.6803	0.248475
32	0.016561	0.2566	0.398868
33	-0.093474	-1.4481	0.074448
34	-0.062164	-0.963	0.168247
35	-0.086324	-1.3373	0.091192
36	-0.031579	-0.4892	0.312569
37	0.020886	0.3236	0.373274
38	0.011634	0.1802	0.428563
39	-0.215258	-3.3348	0.000494
40	-0.110148	-1.7064	0.044613
41	-0.07028	-1.0888	0.138673
42	-0.069797	-1.0813	0.140326
43	0.011591	0.1796	0.428824
44	-0.119383	-1.8495	0.03281
45	-0.077277	-1.1972	0.11621
46	-0.017935	-0.2778	0.390687
47	-0.073704	-1.1418	0.127333
48	-0.071844	-1.113	0.133409
49	-0.086945	-1.3469	0.089634
50	-0.032796	-0.5081	0.305932
51	0.047945	0.7428	0.229178
52	0.032974	0.5108	0.304968
53	-0.160406	-2.485	0.006819
54	-0.007559	-0.1171	0.453437
55	-0.066483	-1.0299	0.152036
56	-0.052047	-0.8063	0.210433
57	-0.019767	-0.3062	0.37985
58	-0.027712	-0.4293	0.334039
59	-0.0586	-0.9078	0.182442
60	-0.034134	-0.5288	0.298714

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.120568	1.8678	0.031502
2	0.10476	1.6229	0.052959
3	0.16688	2.5853	0.00516
4	0.127062	1.9684	0.025085
5	0.0743	1.151	0.12543
6	0.067884	1.0517	0.147008
7	-0.033389	-0.5173	0.302724
8	0.012135	0.188	0.42552
9	0.02499	0.3871	0.349497
10	-0.095117	-1.4735	0.070957
11	0.013962	0.2163	0.414468
12	-0.268435	-4.1586	2.2e-05
13	0.066145	1.0247	0.153265
14	0.197084	3.0532	0.00126
15	0.076791	1.1896	0.117683
16	-0.00184	-0.0285	0.488642
17	-0.010121	-0.1568	0.437769
18	-0.010496	-0.1626	0.435483
19	-0.033369	-0.517	0.302833
20	0.018424	0.2854	0.387786
21	0.040982	0.6349	0.263052
22	-0.068839	-1.0665	0.143645
23	0.145238	2.25	0.012677
24	-0.193881	-3.0036	0.001475
25	-0.045639	-0.707	0.240116
26	0.006481	0.1004	0.460056
27	0.032282	0.5001	0.308726
28	-0.012578	-0.1949	0.422833
29	0.090686	1.4049	0.080673
30	-0.076928	-1.1918	0.117265
31	-0.051078	-0.7913	0.214777
32	0.037858	0.5865	0.279045
33	-0.031334	-0.4854	0.313912
34	-0.100572	-1.558	0.06027
35	0.015462	0.2395	0.405445
36	-0.087292	-1.3523	0.088773
37	0.019419	0.3008	0.381897
38	0.092767	1.4371	0.075991
39	-0.151437	-2.3461	0.009894
40	-0.116601	-1.8064	0.036056
41	0.0391	0.6057	0.272631
42	-0.047486	-0.7356	0.231332
43	0.06397	0.991	0.161336
44	-0.016921	-0.2621	0.396722
45	-0.018232	-0.2824	0.388924
46	-0.072216	-1.1188	0.132181
47	0.046126	0.7146	0.237782
48	-0.008928	-0.1383	0.445056
49	-0.078935	-1.2228	0.111293
50	0.087206	1.351	0.088986
51	-0.014517	-0.2249	0.411123
52	-0.052162	-0.8081	0.209921
53	-0.028779	-0.4458	0.328058
54	0.0192	0.2974	0.383191
55	-0.057465	-0.8902	0.187114
56	-0.007702	-0.1193	0.452561
57	0.005522	0.0855	0.46595
58	-0.045857	-0.7104	0.239069
59	-0.000195	-0.003	0.498798
60	0.003183	0.0493	0.480354

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261304380qjf8vn4k5o6yaki/1zmlu1261304245.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261304380qjf8vn4k5o6yaki/1zmlu1261304245.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261304380qjf8vn4k5o6yaki/2w9x61261304245.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261304380qjf8vn4k5o6yaki/2w9x61261304245.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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