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tijdreeks d

*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 12:06:40 -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/t12620272599n3ekjwkj8t6a29.htm/, Retrieved Mon, 28 Dec 2009 20:07:41 +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/t12620272599n3ekjwkj8t6a29.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
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.1153690.78250.218974
20.305872.07450.021827
30.3192562.16530.017793
40.2251881.52730.066767
50.0593260.40240.344637
60.1498571.01640.157383
70.0148140.10050.460201
80.0792870.53770.296671
90.0242210.16430.435117
10-0.149944-1.0170.157244
110.2746561.86280.034441
12-0.213181-1.44590.077498
13-0.023015-0.15610.43832
140.0367230.24910.402208
150.0666760.45220.326619
16-0.132333-0.89750.187057
170.0525980.35670.36146
18-0.146528-0.99380.162759
19-0.046108-0.31270.377953
20-0.152994-1.03770.152427
21-0.212196-1.43920.078435
22-0.084154-0.57080.28547
23-0.232102-1.57420.061148
24-0.182847-1.24010.110608
25-0.147122-0.99780.161792
26-0.043028-0.29180.385864
27-0.235962-1.60040.058181
28-0.101351-0.68740.247643
29-0.100413-0.6810.249632
30-0.049904-0.33850.368275
31-0.051391-0.34860.364508
32-0.051366-0.34840.36457
33-0.002749-0.01860.492602
34-0.021837-0.14810.441453
350.0424470.28790.387361
360.0155960.10580.45811


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.1153690.78250.218974
20.2965072.0110.025103
30.2891551.96110.027966
40.1331080.90280.185672
5-0.136441-0.92540.179797
6-0.04637-0.31450.377283
7-0.088747-0.60190.275094
80.0528120.35820.360922
90.0382670.25950.398189
10-0.211281-1.4330.079313
110.3289252.23090.015303
12-0.232267-1.57530.061019
13-0.045179-0.30640.380333
140.0461730.31320.377787
150.1220120.82750.206106
16-0.022268-0.1510.440308
17-0.110798-0.75150.228098
18-0.154298-1.04650.150399
19-0.06864-0.46550.32187
20-0.090079-0.61090.272121
21-0.030843-0.20920.417614
22-0.116085-0.78730.217565
230.0252080.1710.432499
24-0.025073-0.17010.432857
25-0.05278-0.3580.361001
260.0812140.55080.292211
27-0.038648-0.26210.397199
28-0.145148-0.98440.165024
290.0408110.27680.391589
30-0.035809-0.24290.404593
310.137510.93260.177938
32-0.046439-0.3150.377106
33-0.013095-0.08880.464807
34-0.033693-0.22850.410129
350.1056970.71690.238538
360.086810.58880.279446
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/28/t12620272599n3ekjwkj8t6a29/1ndyg1262027198.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t12620272599n3ekjwkj8t6a29/1ndyg1262027198.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/28/t12620272599n3ekjwkj8t6a29/2ybge1262027198.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/28/t12620272599n3ekjwkj8t6a29/2ybge1262027198.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 = 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')
 





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