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paper tijdreeksanalyse2

*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: Mon, 28 Dec 2009 10:59:09 -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/28/t1262023191kegdq1aih9lfjg3.htm/, Retrieved Mon, 28 Dec 2009 18:59:54 +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/28/t1262023191kegdq1aih9lfjg3.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 «

286.445 288.576 293.299 295.881 292.710 271.993 267.430 273.963 273.046 268.347 264.319 255.765 246.263 245.098 246.969 248.333 247.934 226.839 225.554 237.085 237.080 245.039 248.541 247.105 243.422 250.643 254.663 260.993 258.556 235.372 246.057 253.353 255.198 264.176 269.034 265.861 269.826 278.506 292.300 290.726 289.802 271.311 274.352 275.216 276.836 280.408 280.190 282.656 281.477 288.186 292.300 291.186 287.259 264.993 267.140 270.150 275.037 277.103 277.128 277.915 276.687

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.897178	7.0072	0
2	0.768065	5.9988	0
3	0.664985	5.1937	1e-06
4	0.589744	4.6061	1.1e-05
5	0.546194	4.2659	3.5e-05
6	0.501825	3.9194	0.000114
7	0.420064	3.2808	0.000857
8	0.311361	2.4318	0.008987
9	0.220476	1.722	0.045071
10	0.165044	1.289	0.101126
11	0.15493	1.21	0.115466
12	0.133744	1.0446	0.15017
13	0.008528	0.0666	0.473558
14	-0.112906	-0.8818	0.190666
15	-0.201696	-1.5753	0.060181
16	-0.255686	-1.997	0.025147
17	-0.27374	-2.138	0.018267
18	-0.286206	-2.2353	0.014533
19	-0.322623	-2.5198	0.007189
20	-0.377163	-2.9457	0.002278
21	-0.405152	-3.1643	0.001212
22	-0.402884	-3.1466	0.001277
23	-0.369364	-2.8848	0.002703
24	-0.341358	-2.6661	0.004905
25	-0.383092	-2.992	0.001998
26	-0.416801	-3.2553	0.000925
27	-0.426505	-3.3311	0.000736
28	-0.410886	-3.2091	0.001062
29	-0.367625	-2.8712	0.002807
30	-0.31307	-2.4452	0.008691
31	-0.281525	-2.1988	0.015848
32	-0.256756	-2.0053	0.024685
33	-0.219731	-1.7162	0.045604
34	-0.16885	-1.3188	0.096089
35	-0.103497	-0.8083	0.211019
36	-0.051056	-0.3988	0.345732

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.897178	7.0072	0
2	-0.188978	-1.476	0.072549
3	0.080898	0.6318	0.264928
4	0.048538	0.3791	0.352969
5	0.103105	0.8053	0.211894
6	-0.050619	-0.3954	0.346982
7	-0.184415	-1.4403	0.077444
8	-0.132704	-1.0365	0.152041
9	0.031707	0.2476	0.402624
10	0.052147	0.4073	0.342614
11	0.125713	0.9819	0.165026
12	-0.126609	-0.9888	0.163322
13	-0.522642	-4.082	6.6e-05
14	0.128632	1.0046	0.159518
15	0.061771	0.4824	0.315607
16	0.001606	0.0125	0.495016
17	-0.090542	-0.7072	0.241082
18	-0.088121	-0.6882	0.246953
19	0.045135	0.3525	0.362833
20	0.04836	0.3777	0.353481
21	0.047436	0.3705	0.35615
22	-0.114459	-0.894	0.18743
23	-0.10569	-0.8255	0.206162
24	0.050346	0.3932	0.347766
25	-0.076832	-0.6001	0.275339
26	0.012697	0.0992	0.460666
27	-0.069427	-0.5422	0.294814
28	-0.054752	-0.4276	0.335216
29	0.023809	0.186	0.426548
30	0.09727	0.7597	0.225179
31	-0.007108	-0.0555	0.477955
32	0.058573	0.4575	0.32448
33	-0.093275	-0.7285	0.234548
34	0.013652	0.1066	0.457719
35	0.006369	0.0497	0.480244
36	-0.011798	-0.0921	0.463443

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262023191kegdq1aih9lfjg3/1f0mj1262023146.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262023191kegdq1aih9lfjg3/1f0mj1262023146.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262023191kegdq1aih9lfjg3/2tj3s1262023146.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262023191kegdq1aih9lfjg3/2tj3s1262023146.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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