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Paper correlatie

*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: Tue, 29 Dec 2009 14:03:02 -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/29/t1262120683q58c38fbz2s9uws.htm/, Retrieved Tue, 29 Dec 2009 22:04:45 +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/29/t1262120683q58c38fbz2s9uws.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 «

10001.60 10411.75 10673.38 10539.51 10723.78 10682.06 10283.19 10377.18 10486.64 10545.38 10554.27 10532.54 10324.31 10695.25 10827.81 10872.48 10971.19 11145.65 11234.68 11333.88 10997.97 11036.89 11257.35 11533.59 11963.12 12185.15 12377.62 12512.89 12631.48 12268.53 12754.80 13407.75 13480.21 13673.28 13239.71 13557.69 13901.28 13200.58 13406.97 12538.12 12419.57 12193.88 12656.63 12812.48 12056.67 11322.38 11530.75 11114.08 9181.73 8614.55 8595.56 8396.20 7690.50 7235.47 7992.12 8398.37 8593.01 8679.75 9374.63 9634.97

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	0.953878	7.3887	0
2	0.890355	6.8967	0
3	0.823258	6.3769	0
4	0.741828	5.7462	0
5	0.635983	4.9263	3e-06
6	0.515469	3.9928	9e-05
7	0.401656	3.1112	0.001426
8	0.294945	2.2846	0.012943
9	0.186376	1.4437	0.077017
10	0.079245	0.6138	0.270824
11	-0.014314	-0.1109	0.456043
12	-0.104731	-0.8112	0.210217
13	-0.181785	-1.4081	0.08213
14	-0.244762	-1.8959	0.031395
15	-0.306352	-2.373	0.010433
16	-0.355307	-2.7522	0.003909
17	-0.394074	-3.0525	0.00169
18	-0.418956	-3.2452	0.000961
19	-0.438488	-3.3965	0.000608
20	-0.455025	-3.5246	0.000409
21	-0.466319	-3.6121	0.000311
22	-0.45775	-3.5457	0.000383
23	-0.442565	-3.4281	0.000552
24	-0.421432	-3.2644	0.000907
25	-0.396732	-3.0731	0.001592
26	-0.36788	-2.8496	0.002995
27	-0.327575	-2.5374	0.006893
28	-0.288712	-2.2364	0.014529
29	-0.254493	-1.9713	0.026654
30	-0.229158	-1.7751	0.040481
31	-0.202798	-1.5709	0.060736
32	-0.169137	-1.3101	0.097573
33	-0.137177	-1.0626	0.146118
34	-0.108816	-0.8429	0.20132
35	-0.085327	-0.6609	0.25559
36	-0.057012	-0.4416	0.33018

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.953878	7.3887	0
2	-0.216693	-1.6785	0.049226
3	-0.039216	-0.3038	0.38118
4	-0.196053	-1.5186	0.067055
5	-0.285961	-2.215	0.015283
6	-0.183662	-1.4226	0.08001
7	0.039524	0.3062	0.380274
8	0.037554	0.2909	0.38607
9	-0.034861	-0.27	0.39403
10	-0.034117	-0.2643	0.39624
11	0.013654	0.1058	0.458063
12	-0.168987	-1.309	0.097768
13	0.050683	0.3926	0.348006
14	0.030209	0.234	0.407891
15	-0.154863	-1.1996	0.117513
16	0.031845	0.2467	0.403004
17	-0.049237	-0.3814	0.352132
18	0.003126	0.0242	0.49038
19	-0.065932	-0.5107	0.305716
20	-0.051695	-0.4004	0.345131
21	-0.088856	-0.6883	0.246967
22	0.107406	0.832	0.204365
23	-0.002242	-0.0174	0.493102
24	0.046365	0.3591	0.360374
25	-0.072422	-0.561	0.288452
26	-0.046682	-0.3616	0.359462
27	0.004453	0.0345	0.4863
28	-0.069637	-0.5394	0.295803
29	-0.045332	-0.3511	0.363358
30	-0.161643	-1.2521	0.107699
31	-0.012832	-0.0994	0.460579
32	0.094001	0.7281	0.234683
33	0.01043	0.0808	0.467939
34	0.06029	0.467	0.321093
35	-0.066975	-0.5188	0.30291
36	-0.044949	-0.3482	0.364464

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/29/t1262120683q58c38fbz2s9uws/19xw41262120579.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t1262120683q58c38fbz2s9uws/19xw41262120579.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t1262120683q58c38fbz2s9uws/2uuqk1262120579.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t1262120683q58c38fbz2s9uws/2uuqk1262120579.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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