Brutoschuld van de schatkist van België - Tom Janssens

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 04 Jun 2009 05:03:57 -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/04/t1244113483sc95m5cqfbmt2uf.htm/, Retrieved Thu, 04 Jun 2009 13:04:45 +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/04/t1244113483sc95m5cqfbmt2uf.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 «

321.935 310.215 309.030 305.333 294.735 289.351 288.225 289.648 290.155 288.301 289.148 289.741 287.595 285.226 287.816 283.519 290.304 282.166 280.041 282.500 279.913 277.793 281.229 275.363 273.547 270.601 273.338 271.917 273.985 273.911 270.798 271.115 271.344 274.525 276.663 273.784 274.027 269.160 270.491 270.846 270.333 272.599 272.764 270.674 268.175 268.351 272.482 268.714 269.419 265.518 264.101 267.179 271.322 270.157 271.296 269.907 271.244 266.844 270.911 269.829 269.285 263.018 266.680 265.814 268.457 269.508 270.223 264.676 265.521 262.971 266.003 267.722 266.433

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 'George Udny Yule' @ 72.249.76.132 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.848027 7.2455 0 2 0.759002 6.4849 0 3 0.659751 5.6369 0 4 0.572154 4.8885 3e-06 5 0.529723 4.526 1.1e-05 6 0.513947 4.3912 1.9e-05 7 0.491801 4.202 3.7e-05 8 0.466063 3.982 8e-05 9 0.423067 3.6147 0.000275 10 0.403452 3.4471 0.000472 11 0.373239 3.189 0.001052 12 0.344044 2.9395 0.0022 13 0.309928 2.648 0.004958 14 0.283712 2.424 0.008913 15 0.233986 1.9992 0.024656 16 0.217013 1.8542 0.033878 17 0.169132 1.4451 0.07636 18 0.150543 1.2862 0.101212 19 0.138922 1.187 0.119547 20 0.104299 0.8911 0.187893 21 0.062567 0.5346 0.297284 22 0.043799 0.3742 0.354662 23 -0.003854 -0.0329 0.486911 24 -0.021445 -0.1832 0.427564 25 -0.036485 -0.3117 0.378068 26 -0.038366 -0.3278 0.372 27 -0.058266 -0.4978 0.310051 28 -0.0705 -0.6024 0.274403 29 -0.08331 -0.7118 0.239429 30 -0.088642 -0.7574 0.225638 31 -0.08611 -0.7357 0.232127 32 -0.081235 -0.6941 0.244921 33 -0.091833 -0.7846 0.217608 34 -0.109527 -0.9358 0.176231 35 -0.140298 -1.1987 0.11726 36 -0.151945 -1.2982 0.09915 37 -0.171697 -1.467 0.073338 38 -0.166721 -1.4245 0.079287 39 -0.170483 -1.4566 0.074757 40 -0.174152 -1.488 0.070535 41 -0.185509 -1.585 0.058645 42 -0.195749 -1.6725 0.049356 43 -0.213609 -1.8251 0.03604 44 -0.222024 -1.897 0.030894 45 -0.231604 -1.9788 0.025804 46 -0.235125 -2.0089 0.024123 47 -0.267535 -2.2858 0.012585 48 -0.272933 -2.3319 0.011233 49 -0.282234 -2.4114 0.009204 50 -0.273498 -2.3368 0.011099 51 -0.24972 -2.1336 0.018118 52 -0.236046 -2.0168 0.023699 53 -0.247243 -2.1124 0.019035 54 -0.243342 -2.0791 0.02056 55 -0.24971 -2.1335 0.018121 56 -0.248553 -2.1236 0.018545 57 -0.253155 -2.163 0.01691 58 -0.245459 -2.0972 0.01972 59 -0.251751 -2.151 0.017395 60 -0.254647 -2.1757 0.016408 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.848027 7.2455 0 2 0.141901 1.2124 0.114634 3 -0.046891 -0.4006 0.344928 4 -0.02246 -0.1919 0.424179 5 0.122229 1.0443 0.14989 6 0.129245 1.1043 0.136552 7 0.008286 0.0708 0.471877 8 -0.021374 -0.1826 0.427802 9 -0.048712 -0.4162 0.339245 10 0.084238 0.7197 0.236994 11 0.001096 0.0094 0.496276 12 -0.032139 -0.2746 0.3922 13 -0.052417 -0.4478 0.327794 14 0.015606 0.1333 0.447146 15 -0.077089 -0.6586 0.256098 16 0.051411 0.4393 0.330886 17 -0.10486 -0.8959 0.186618 18 0.027447 0.2345 0.407625 19 0.039153 0.3345 0.369472 20 -0.083343 -0.7121 0.239342 21 -0.095215 -0.8135 0.209284 22 0.043574 0.3723 0.355375 23 -0.067284 -0.5749 0.283572 24 0.012883 0.1101 0.456326 25 0.004212 0.036 0.485696 26 0.018993 0.1623 0.435767 27 -0.051653 -0.4413 0.33014 28 0.002263 0.0193 0.492313 29 0.009711 0.083 0.467049 30 0.010533 0.09 0.464268 31 0.057105 0.4879 0.31354 32 -0.021147 -0.1807 0.428559 33 -0.040602 -0.3469 0.364831 34 -0.040853 -0.3491 0.364028 35 -0.054448 -0.4652 0.321586 36 0.023988 0.205 0.419089 37 -0.026885 -0.2297 0.409482 38 -0.007741 -0.0661 0.473725 39 -0.009741 -0.0832 0.466948 40 -0.023297 -0.199 0.421389 41 -0.039 -0.3332 0.369962 42 -0.017683 -0.1511 0.440162 43 -0.029097 -0.2486 0.402182 44 -0.032752 -0.2798 0.390198 45 -0.020598 -0.176 0.430395 46 -0.00699 -0.0597 0.476269 47 -0.125975 -1.0763 0.142663 48 0.021592 0.1845 0.427072 49 0.01778 0.1519 0.439838 50 0.017518 0.1497 0.440718 51 0.052506 0.4486 0.327521 52 -0.038447 -0.3285 0.371739 53 -0.079236 -0.677 0.250276 54 0.052119 0.4453 0.328707 55 0.013896 0.1187 0.452909 56 -0.020639 -0.1763 0.430257 57 -0.053018 -0.453 0.325951 58 -0.01004 -0.0858 0.465936 59 -0.028164 -0.2406 0.405257 60 -0.019859 -0.1697 0.432867

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244113483sc95m5cqfbmt2uf/1kmib1244113435.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244113483sc95m5cqfbmt2uf/1kmib1244113435.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244113483sc95m5cqfbmt2uf/2mll31244113435.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244113483sc95m5cqfbmt2uf/2mll31244113435.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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')

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Software written by Ed van Stee & Patrick Wessa

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