Home » date » 2009 » Dec » 30 »

Autocorrelatiefunctie zonder differentiatie (verkoopprijzen)

*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: Wed, 30 Dec 2009 06:05:14 -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/30/t1262178566igy017tus5jqyu3.htm/, Retrieved Wed, 30 Dec 2009 14:09:28 +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/30/t1262178566igy017tus5jqyu3.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 «

2072.65 2020.13 2032.76 2050.31 2128.98 2122.14 2122.89 2091.95 2002.97 1923.21 1834.44 1819.15 1792.00 1822.40 1900.70 1903.00 1958.80 1820.50 1719.80 1661.10 1664.40 1703.40 1774.90 1795.00 1816.30 1867.40 1900.00 1961.10 2065.70 2073.50 2080.80 2118.00 2099.00 2085.20 1937.70 1749.50 1750.30 1675.60 1697.50 1699.80 1655.90 1636.00 1614.20 1602.30 1548.70 1556.10 1526.90 1509.20 1566.30 1596.00 1654.50 1664.20 1687.70 1691.00 1664.60 1697.50 1685.10 1643.00 1559.60 1560.20 1590.16 1604.93 1661.80 1670.73 1692.40 1688.17 1658.04 1613.46 1595.11 1558.83 1526.65 1475.19

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.925438	7.8526	0
2	0.826856	7.0161	0
3	0.708871	6.015	0
4	0.592854	5.0305	2e-06
5	0.487629	4.1377	4.7e-05
6	0.39752	3.3731	6e-04
7	0.324334	2.7521	0.003744
8	0.261414	2.2182	0.014849
9	0.211525	1.7948	0.038437
10	0.167698	1.423	0.079532
11	0.12743	1.0813	0.14159
12	0.089421	0.7588	0.225237
13	0.051754	0.4391	0.330934
14	0.030391	0.2579	0.398618
15	0.021788	0.1849	0.426922
16	0.031523	0.2675	0.39493
17	0.039039	0.3313	0.370706
18	0.048817	0.4142	0.33997
19	0.076931	0.6528	0.257989
20	0.123468	1.0477	0.14915
21	0.175907	1.4926	0.069953
22	0.234307	1.9882	0.025298
23	0.271554	2.3042	0.012049
24	0.287599	2.4404	0.008567
25	0.275281	2.3358	0.011144
26	0.242828	2.0605	0.021484
27	0.198209	1.6819	0.048465
28	0.135472	1.1495	0.127073
29	0.065392	0.5549	0.290353
30	-0.005486	-0.0465	0.481501
31	-0.065032	-0.5518	0.291391
32	-0.117717	-0.9989	0.160603
33	-0.16615	-1.4098	0.081448
34	-0.216131	-1.8339	0.035398
35	-0.26835	-2.277	0.012879
36	-0.298715	-2.5347	0.006715
37	-0.339197	-2.8782	0.002631
38	-0.354104	-3.0047	0.001828
39	-0.35211	-2.9878	0.001921
40	-0.351178	-2.9798	0.001965
41	-0.339945	-2.8845	0.002584
42	-0.328569	-2.788	0.003389
43	-0.305268	-2.5903	0.0058
44	-0.270699	-2.297	0.012266
45	-0.234021	-1.9857	0.025436
46	-0.198864	-1.6874	0.047926
47	-0.166337	-1.4114	0.081214
48	-0.137601	-1.1676	0.123414
49	-0.12514	-1.0618	0.145927
50	-0.124125	-1.0532	0.147878
51	-0.142069	-1.2055	0.11598
52	-0.167381	-1.4203	0.079921
53	-0.19474	-1.6524	0.051401
54	-0.21337	-1.8105	0.037195
55	-0.211782	-1.797	0.038262
56	-0.193877	-1.6451	0.052154
57	-0.181745	-1.5422	0.063709
58	-0.168174	-1.427	0.078951
59	-0.15922	-1.351	0.090459
60	-0.158396	-1.344	0.091578

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.925438	7.8526	0
2	-0.206036	-1.7483	0.042339
3	-0.16963	-1.4394	0.077191
4	-0.020603	-0.1748	0.430855
5	0.012943	0.1098	0.456428
6	0.013174	0.1118	0.455651
7	0.017576	0.1491	0.440931
8	-0.027451	-0.2329	0.408238
9	0.012618	0.1071	0.457516
10	-0.022664	-0.1923	0.42402
11	-0.029999	-0.2545	0.399899
12	-0.022723	-0.1928	0.423825
13	-0.031315	-0.2657	0.395608
14	0.089411	0.7587	0.225262
15	0.045151	0.3831	0.351382
16	0.071103	0.6033	0.274093
17	-0.069188	-0.5871	0.279494
18	0.002057	0.0175	0.493063
19	0.162607	1.3798	0.085965
20	0.147416	1.2509	0.107516
21	0.02502	0.2123	0.416235
22	0.066702	0.566	0.286581
23	-0.110663	-0.939	0.175433
24	-0.059468	-0.5046	0.30769
25	-0.091141	-0.7734	0.220922
26	-0.05572	-0.4728	0.318893
27	-0.01255	-0.1065	0.457743
28	-0.116405	-0.9877	0.163296
29	-0.066376	-0.5632	0.287519
30	-0.053172	-0.4512	0.326609
31	-0.008577	-0.0728	0.471092
32	-0.044933	-0.3813	0.352064
33	-0.039976	-0.3392	0.36772
34	-0.059786	-0.5073	0.306747
35	-0.056935	-0.4831	0.315241
36	0.090831	0.7707	0.221694
37	-0.170371	-1.4456	0.076308
38	0.096589	0.8196	0.207579
39	0.069894	0.5931	0.277496
40	-0.104351	-0.8855	0.189431
41	0.014034	0.1191	0.452771
42	-0.086651	-0.7353	0.232285
43	-0.008766	-0.0744	0.470457
44	0.056182	0.4767	0.317502
45	-0.038691	-0.3283	0.371819
46	-0.032205	-0.2733	0.392713
47	-0.021982	-0.1865	0.42628
48	-0.025393	-0.2155	0.415007
49	-0.061929	-0.5255	0.300429
50	-0.025044	-0.2125	0.416157
51	-0.053298	-0.4522	0.326226
52	-0.008043	-0.0683	0.472888
53	0.025423	0.2157	0.414906
54	0.068056	0.5775	0.282711
55	0.088575	0.7516	0.227376
56	0.110727	0.9395	0.175295
57	-0.01864	-0.1582	0.437384
58	0.019767	0.1677	0.433634
59	0.047332	0.4016	0.344573
60	-0.076232	-0.6469	0.259893

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262178566igy017tus5jqyu3/11h2m1262178312.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262178566igy017tus5jqyu3/11h2m1262178312.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262178566igy017tus5jqyu3/2bpzq1262178312.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262178566igy017tus5jqyu3/2bpzq1262178312.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by