Home » date » 2009 » Jun » 04 »

autocorrelation prijzen energiegrondstoffen - Charlotte De Saeger

*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 06:54:03 -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/t1244120185alqyq1fvx98dabn.htm/, Retrieved Thu, 04 Jun 2009 14:56:27 +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/t1244120185alqyq1fvx98dabn.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 «

106,8 114,3 105,7 90,1 91,6 97,7 100,8 104,6 95,9 102,7 104 107,9 113,8 113,8 123,1 125,1 137,6 134 140,3 152,1 150,6 167,3 153,2 142 154,4 158,5 180,9 181,3 172,4 192 199,3 215,4 214,3 201,5 190,5 196 215,7 209,4 214,1 237,8 239 237,8 251,5 248,8 215,4 201,2 203,1 214,2 188,9 203 213,3 228,5 228,2 240,9 258,8 248,5 269,2 289,6 323,4 317,2 322,8 340,9 368,2 388,5 441,2 474,3 483,9 417,9 365,9 263 199,4 157,2

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	0.958151	8.1302	0
2	0.884431	7.5046	0
3	0.790831	6.7104	0
4	0.697486	5.9184	0
5	0.610814	5.1829	1e-06
6	0.544018	4.6161	8e-06
7	0.490082	4.1585	4.4e-05
8	0.43963	3.7304	0.000189
9	0.387263	3.286	0.000786
10	0.342494	2.9062	0.002429
11	0.297458	2.524	0.006904
12	0.253896	2.1544	0.017279
13	0.215935	1.8323	0.035523
14	0.188147	1.5965	0.057381
15	0.163279	1.3855	0.085094
16	0.136936	1.1619	0.124549
17	0.117439	0.9965	0.161172
18	0.104601	0.8876	0.188865
19	0.097699	0.829	0.20492
20	0.095629	0.8114	0.209895
21	0.097663	0.8287	0.205007
22	0.100356	0.8515	0.198644
23	0.095737	0.8124	0.209633
24	0.08171	0.6933	0.245165
25	0.067088	0.5693	0.285476
26	0.042253	0.3585	0.360498
27	0.013871	0.1177	0.453316
28	-0.015299	-0.1298	0.448538
29	-0.040702	-0.3454	0.365412
30	-0.059663	-0.5063	0.307111
31	-0.075513	-0.6407	0.261861
32	-0.084236	-0.7148	0.238531
33	-0.091781	-0.7788	0.219328
34	-0.103583	-0.8789	0.191181
35	-0.118626	-1.0066	0.158756
36	-0.136584	-1.159	0.125152
37	-0.155235	-1.3172	0.095972
38	-0.178033	-1.5107	0.067625
39	-0.197856	-1.6789	0.048757
40	-0.210311	-1.7845	0.039274
41	-0.220296	-1.8693	0.032826
42	-0.229546	-1.9478	0.027671
43	-0.235854	-2.0013	0.024565
44	-0.240319	-2.0392	0.022552
45	-0.248452	-2.1082	0.019248
46	-0.259948	-2.2057	0.015298
47	-0.27494	-2.3329	0.011224
48	-0.290844	-2.4679	0.007984

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.958151	8.1302	0
2	-0.410311	-3.4816	0.000426
3	-0.163649	-1.3886	0.084616
4	0.091309	0.7748	0.220504
5	0.024552	0.2083	0.417781
6	0.147741	1.2536	0.107018
7	-0.04535	-0.3848	0.350757
8	-0.137063	-1.163	0.124332
9	-0.055543	-0.4713	0.319426
10	0.149055	1.2648	0.105015
11	-0.064793	-0.5498	0.292083
12	-0.044389	-0.3767	0.353769
13	0.038518	0.3268	0.372369
14	0.044915	0.3811	0.35212
15	-0.040707	-0.3454	0.365395
16	-0.08311	-0.7052	0.241477
17	0.105408	0.8944	0.18704
18	0.048114	0.4083	0.342147
19	0.039936	0.3389	0.367848
20	-0.023394	-0.1985	0.421606
21	-0.041352	-0.3509	0.36335
22	0.021762	0.1847	0.427007
23	-0.050127	-0.4253	0.335927
24	-0.084408	-0.7162	0.238085
25	0.067806	0.5754	0.283423
26	-0.13169	-1.1174	0.133764
27	-0.005596	-0.0475	0.48113
28	-0.000984	-0.0083	0.496681
29	-0.026318	-0.2233	0.41196
30	0.092807	0.7875	0.216788
31	-0.052877	-0.4487	0.327507
32	0.009092	0.0771	0.469361
33	-0.053	-0.4497	0.327132
34	-0.047599	-0.4039	0.343745
35	-0.006108	-0.0518	0.479404
36	-0.032752	-0.2779	0.390937
37	-0.001984	-0.0168	0.493307
38	-0.08017	-0.6803	0.24926
39	0.019233	0.1632	0.435411
40	0.032561	0.2763	0.391559
41	-0.048497	-0.4115	0.34096
42	-0.066477	-0.5641	0.287227
43	0.02479	0.2103	0.416995
44	-0.009701	-0.0823	0.467312
45	-0.08733	-0.741	0.230546
46	-0.015235	-0.1293	0.448752
47	-0.107837	-0.915	0.181615
48	0.044186	0.3749	0.354406

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120185alqyq1fvx98dabn/1ngaf1244120041.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120185alqyq1fvx98dabn/1ngaf1244120041.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120185alqyq1fvx98dabn/2wpka1244120041.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120185alqyq1fvx98dabn/2wpka1244120041.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')

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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