Home » date » 2009 » Jun » 04 »

autocorrelation-financiële situatie van de Belgische gezinnen-Robin Sluyts

*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 11:11:44 -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/t1244135673cetz1ldm6vbprz9.htm/, Retrieved Thu, 04 Jun 2009 19:14:33 +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/t1244135673cetz1ldm6vbprz9.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 «

1 -1 3 4 3 2 1 4 3 5 6 6 6 6 6 5 6 5 6 5 7 4 5 6 6 5 3 2 3 3 2 0 4 4 5 6 6 5 5 3 5 5 5 3 6 6 4 6 5 4 5 5 4 3 2 3 2 -1 0 -2 1 -2 -2 -2 -6 -4 -2 0 -5 -4 -5 -1

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	-0.339707	-2.8624	0.002761
2	0.012182	0.1026	0.459265
3	-0.166371	-1.4019	0.082656
4	0.117039	0.9862	0.163695
5	0.077773	0.6553	0.257188
6	-0.026727	-0.2252	0.411234
7	0.059635	0.5025	0.308437
8	-0.096316	-0.8116	0.209875
9	0.038251	0.3223	0.374082
10	-0.074946	-0.6315	0.26487
11	0.095025	0.8007	0.212989
12	0.020723	0.1746	0.430939
13	0.003569	0.0301	0.488047
14	-0.144419	-1.2169	0.113836
15	0.030023	0.253	0.400508
16	0.14744	1.2423	0.109098
17	-0.213522	-1.7992	0.038121
18	0.103944	0.8758	0.192034
19	-0.156748	-1.3208	0.095407
20	0.056222	0.4737	0.318573
21	-0.052137	-0.4393	0.330885
22	0.130268	1.0977	0.138031
23	-0.08718	-0.7346	0.232505
24	-0.113154	-0.9535	0.171798
25	0.108514	0.9144	0.181814
26	0.03072	0.2589	0.398249
27	0.056932	0.4797	0.31645
28	-0.06533	-0.5505	0.291859
29	-0.095531	-0.805	0.211766
30	0.039404	0.332	0.370425
31	0.126623	1.0669	0.144805
32	-0.074164	-0.6249	0.267014
33	0.091335	0.7696	0.222044
34	-0.052304	-0.4407	0.330377
35	0.052066	0.4387	0.3311
36	-0.143638	-1.2103	0.115087
37	0.08685	0.7318	0.233346
38	0.138911	1.1705	0.12286
39	-0.069594	-0.5864	0.279729
40	0.007947	0.067	0.473399
41	-0.117929	-0.9937	0.161875
42	0.121379	1.0228	0.154947
43	0.030294	0.2553	0.39963
44	-0.052829	-0.4451	0.328786
45	-0.026616	-0.2243	0.411595
46	-0.100061	-0.8431	0.200995
47	0.065071	0.5483	0.292603
48	-0.034834	-0.2935	0.384991

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.339707	-2.8624	0.002761
2	-0.116684	-0.9832	0.164425
3	-0.230802	-1.9448	0.027882
4	-0.032044	-0.27	0.393968
5	0.100827	0.8496	0.199206
6	0.029494	0.2485	0.402223
7	0.121961	1.0277	0.153799
8	-0.002094	-0.0176	0.492987
9	-0.004717	-0.0397	0.484204
10	-0.081371	-0.6856	0.247584
11	0.004422	0.0373	0.48519
12	0.052465	0.4421	0.329889
13	0.045038	0.3795	0.352726
14	-0.114398	-0.9639	0.169176
15	-0.04938	-0.4161	0.339302
16	0.122734	1.0342	0.152282
17	-0.20376	-1.7169	0.045177
18	-0.018561	-0.1564	0.438083
19	-0.115981	-0.9773	0.165876
20	-0.141664	-1.1937	0.118288
21	-0.07049	-0.594	0.277214
22	0.094252	0.7942	0.214869
23	-0.030114	-0.2537	0.400211
24	-0.129708	-1.0929	0.139057
25	0.07409	0.6243	0.267218
26	0.112256	0.9459	0.173707
27	0.048166	0.4059	0.343036
28	0.043373	0.3655	0.357923
29	-0.102509	-0.8638	0.195315
30	-0.007258	-0.0612	0.475702
31	0.087973	0.7413	0.230487
32	-0.048722	-0.4105	0.341323
33	0.131633	1.1092	0.135552
34	-0.005887	-0.0496	0.480288
35	0.089238	0.7519	0.227288
36	-0.112282	-0.9461	0.173651
37	-0.090252	-0.7605	0.224744
38	0.043911	0.37	0.356242
39	0.033313	0.2807	0.389879
40	0.057541	0.4849	0.314637
41	-0.074304	-0.6261	0.266628
42	0.058185	0.4903	0.312724
43	0.053256	0.4487	0.327493
44	-0.063611	-0.536	0.296818
45	0.046652	0.3931	0.347713
46	-0.204805	-1.7257	0.044374
47	-0.084739	-0.714	0.238776
48	-0.023892	-0.2013	0.420513

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244135673cetz1ldm6vbprz9/1zo421244135499.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244135673cetz1ldm6vbprz9/1zo421244135499.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244135673cetz1ldm6vbprz9/2na2g1244135499.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244135673cetz1ldm6vbprz9/2na2g1244135499.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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