Huishoudbrood - autocorrelatie - Joris Hoefnagels

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 01 Jun 2009 14:37:12 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/01/t1243888674vrh1eqpk2ukorqb.htm/, Retrieved Mon, 01 Jun 2009 22:37:54 +0200

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/Jun/01/t1243888674vrh1eqpk2ukorqb.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 «

40.04 40.04 40.03 40.03 41.63 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.03 42.38 42.06 42.06 42.05 42.05 42.05 42.05 44.36 44.48 44.49 44.49 44.49 44.49 44.49 44.48 44.48 44.48 44.48 44.48 44.48 44.49 44.49 44.49 44.49 44.49 44.49 44.49 44.49 45.5 45.94 45.95 45.96 45.96 45.96 45.96 45.96 45.96 45.96 45.96 45.97 46.06 47.9 47.93 47.94 47.94 47.94 47.94 47.94 47.94 47.94 47.94

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 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.939081 7.9684 0 2 0.874086 7.4169 0 3 0.808801 6.8629 0 4 0.743504 6.3088 0 5 0.696455 5.9096 0 6 0.653954 5.549 0 7 0.613496 5.2057 1e-06 8 0.570978 4.8449 4e-06 9 0.528429 4.4839 1.4e-05 10 0.486168 4.1253 4.9e-05 11 0.46303 3.9289 9.7e-05 12 0.440641 3.739 0.000184 13 0.415868 3.5288 0.000366 14 0.385859 3.2741 0.000815 15 0.355792 3.019 0.001753 16 0.32571 2.7637 0.003625 17 0.295241 2.5052 0.007251 18 0.263581 2.2366 0.014207 19 0.233334 1.9799 0.025769 20 0.203087 1.7233 0.044567 21 0.172622 1.4647 0.073671 22 0.139606 1.1846 0.120036 23 0.104734 0.8887 0.188563 24 0.077778 0.66 0.255691 25 0.040316 0.3421 0.366638 26 0.002342 0.0199 0.492099 27 -0.035597 -0.3021 0.381741 28 -0.072591 -0.616 0.269933 29 -0.083919 -0.7121 0.239359 30 -0.094299 -0.8002 0.213127 31 -0.104555 -0.8872 0.188968 32 -0.114679 -0.9731 0.166885 33 -0.124946 -1.0602 0.146297 34 -0.136398 -1.1574 0.125473 35 -0.159584 -1.3541 0.089967 36 -0.183079 -1.5535 0.062347 37 -0.206648 -1.7535 0.041889 38 -0.230364 -1.9547 0.027251 39 -0.254019 -2.1554 0.017236 40 -0.277604 -2.3555 0.010611 41 -0.299651 -2.5426 0.006576 42 -0.323334 -2.7436 0.003833 43 -0.346934 -2.9438 0.002181 44 -0.369291 -3.1335 0.001249 45 -0.368673 -3.1283 0.001269 46 -0.372998 -3.165 0.001137 47 -0.379277 -3.2183 0.000967 48 -0.385583 -3.2718 0.000821 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.939081 7.9684 0 2 -0.065915 -0.5593 0.288843 3 -0.036074 -0.3061 0.380207 4 -0.036068 -0.306 0.380227 5 0.11809 1.002 0.159842 6 0.000314 0.0027 0.498939 7 -0.01277 -0.1084 0.457005 8 -0.047323 -0.4015 0.344604 9 -0.005404 -0.0459 0.481778 10 -0.01708 -0.1449 0.442587 11 0.142408 1.2084 0.11543 12 -0.02928 -0.2484 0.402248 13 -0.039979 -0.3392 0.36771 14 -0.069241 -0.5875 0.279342 15 0.030478 0.2586 0.398337 16 -0.013454 -0.1142 0.454712 17 -0.023243 -0.1972 0.422105 18 -0.059352 -0.5036 0.308034 19 -0.005489 -0.0466 0.481489 20 -0.024753 -0.21 0.417115 21 0.004314 0.0366 0.485449 22 -0.060315 -0.5118 0.305182 23 -0.047468 -0.4028 0.344153 24 0.024473 0.2077 0.418039 25 -0.108702 -0.9224 0.179709 26 -0.03803 -0.3227 0.373932 27 -0.043831 -0.3719 0.355524 28 -0.019751 -0.1676 0.433686 29 0.17726 1.5041 0.068464 30 -0.03381 -0.2869 0.387511 31 -0.033775 -0.2866 0.387624 32 -0.03727 -0.3162 0.376364 33 0.035897 0.3046 0.380778 34 0.006899 0.0585 0.476739 35 -0.150511 -1.2771 0.102829 36 -0.050098 -0.4251 0.336018 37 -0.02282 -0.1936 0.423504 38 -0.007047 -0.0598 0.47624 39 0.009404 0.0798 0.468311 40 -0.060329 -0.5119 0.305141 41 -0.044445 -0.3771 0.353594 42 -0.054682 -0.464 0.322026 43 -0.01017 -0.0863 0.465735 44 -0.024407 -0.2071 0.418257 45 0.12846 1.09 0.13967 46 -0.112496 -0.9546 0.171497 47 -0.021783 -0.1848 0.42694 48 -0.036315 -0.3081 0.379433

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888674vrh1eqpk2ukorqb/1g6551243888628.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888674vrh1eqpk2ukorqb/1g6551243888628.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888674vrh1eqpk2ukorqb/2lgto1243888628.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/01/t1243888674vrh1eqpk2ukorqb/2lgto1243888628.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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')

Copyright

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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