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Autocorrelatiefunctie bij d = 1 (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 06:18:23 -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/t1262179273i2rooiwke4ygwqv.htm/, Retrieved Wed, 30 Dec 2009 14:21:15 +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/t1262179273i2rooiwke4ygwqv.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	0.440798	3.7142	0.000201
2	0.257804	2.1723	0.016587
3	-0.016602	-0.1399	0.444572
4	-0.248885	-2.0971	0.019772
5	-0.137926	-1.1622	0.124526
6	-0.192985	-1.6261	0.054177
7	-0.098995	-0.8341	0.203497
8	-0.085752	-0.7226	0.236162
9	0.011706	0.0986	0.460853
10	-0.013894	-0.1171	0.453566
11	-0.042089	-0.3546	0.361953
12	-0.023425	-0.1974	0.422047
13	-0.269808	-2.2734	0.013013
14	-0.168815	-1.4225	0.079636
15	-0.189558	-1.5972	0.057326
16	-0.051233	-0.4317	0.333635
17	0.111797	0.942	0.174689
18	-0.055351	-0.4664	0.32118
19	-0.160541	-1.3527	0.090215
20	-0.122692	-1.0338	0.152365
21	-0.157432	-1.3265	0.094455
22	0.063373	0.534	0.297509
23	0.180032	1.517	0.066857
24	0.225316	1.8985	0.030844
25	0.18662	1.5725	0.060142
26	0.128389	1.0818	0.141496
27	0.104806	0.8831	0.190077
28	-0.007975	-0.0672	0.473307
29	-0.012735	-0.1073	0.457425
30	-0.152272	-1.2831	0.101821
31	-0.142729	-1.2027	0.116553
32	0.011243	0.0947	0.462396
33	0.008827	0.0744	0.470459
34	0.189007	1.5926	0.057847
35	0.095395	0.8038	0.212095
36	0.114538	0.9651	0.168882
37	0.061796	0.5207	0.302098
38	-0.024681	-0.208	0.417927
39	0.033881	0.2855	0.388053
40	-0.033939	-0.286	0.387864
41	-0.024289	-0.2047	0.419209
42	-0.127332	-1.0729	0.14347
43	-0.13438	-1.1323	0.130657
44	-0.103515	-0.8722	0.19301
45	-0.084376	-0.711	0.239717
46	0.025659	0.2162	0.414723
47	-0.00579	-0.0488	0.480613
48	0.085619	0.7214	0.236503
49	0.063256	0.533	0.297847
50	0.034512	0.2908	0.386024
51	0.003825	0.0322	0.487188
52	-0.03252	-0.274	0.392432
53	-0.046099	-0.3884	0.349427
54	-0.081852	-0.6897	0.246316
55	-0.058362	-0.4918	0.312202
56	-0.002076	-0.0175	0.493046
57	0.030503	0.257	0.398951
58	0.05456	0.4597	0.323558
59	0.046659	0.3932	0.34769
60	0.044827	0.3777	0.353382

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.440798	3.7142	0.000201
2	0.078814	0.6641	0.254388
3	-0.194864	-1.642	0.052511
4	-0.255373	-2.1518	0.017407
5	0.129052	1.0874	0.140267
6	-0.09263	-0.7805	0.218841
7	-0.044272	-0.373	0.355113
8	-0.082364	-0.694	0.244969
9	0.110444	0.9306	0.177602
10	-0.11435	-0.9635	0.169276
11	-0.078799	-0.664	0.254428
12	-0.003702	-0.0312	0.487601
13	-0.304082	-2.5622	0.006261
14	-0.014755	-0.1243	0.450704
15	-0.041748	-0.3518	0.363025
16	0.050481	0.4254	0.335929
17	-0.021066	-0.1775	0.429809
18	-0.273259	-2.3025	0.01212
19	-0.352611	-2.9712	0.002023
20	0.103157	0.8692	0.193829
21	-0.153488	-1.2933	0.100048
22	0.093661	0.7892	0.216312
23	0.017669	0.1489	0.441033
24	0.014875	0.1253	0.450304
25	-0.175674	-1.4803	0.071614
26	-0.098699	-0.8317	0.204196
27	0.079182	0.6672	0.253404
28	-0.148047	-1.2475	0.108162
29	-0.08772	-0.7391	0.231128
30	-0.077873	-0.6562	0.256919
31	-0.095483	-0.8046	0.211882
32	-0.055944	-0.4714	0.319402
33	-0.128488	-1.0827	0.141311
34	-0.105529	-0.8892	0.188449
35	0.041233	0.3474	0.364647
36	0.107063	0.9021	0.18502
37	-0.023616	-0.199	0.42142
38	-0.083036	-0.6997	0.243208
39	-0.007515	-0.0633	0.474843
40	-0.083536	-0.7039	0.241904
41	-0.044938	-0.3787	0.353036
42	0.010172	0.0857	0.46597
43	-0.042556	-0.3586	0.360485
44	-0.138847	-1.1699	0.122968
45	0.00663	0.0559	0.477803
46	-0.018565	-0.1564	0.438069
47	-0.020409	-0.172	0.431977
48	0.068699	0.5789	0.282254
49	-0.070583	-0.5947	0.276952
50	-0.035983	-0.3032	0.381312
51	-0.032384	-0.2729	0.39287
52	0.067718	0.5706	0.285036
53	-0.02206	-0.1859	0.426534
54	-0.024344	-0.2051	0.419029
55	0.033275	0.2804	0.39
56	0.006174	0.052	0.479329
57	-0.007062	-0.0595	0.476359
58	0.006419	0.0541	0.478507
59	-0.061933	-0.5219	0.301699
60	0.046888	0.3951	0.346982

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262179273i2rooiwke4ygwqv/1kkio1262179101.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262179273i2rooiwke4ygwqv/1kkio1262179101.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262179273i2rooiwke4ygwqv/22v831262179101.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262179273i2rooiwke4ygwqv/22v831262179101.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 = 1 ; 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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