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Datareeks - Omzet aardolie- en aardgaswinning, aardolieindustrie - Silke van den Berg

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 07 Jun 2009 11:13:23 -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/07/t1244394844gqnk3f65xx4d37d.htm/, Retrieved Sun, 07 Jun 2009 19:14:04 +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/07/t1244394844gqnk3f65xx4d37d.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 «

493395.00 487190.00 519493.00 519453.00 538588.00 438224.00 542034.00 512027.00 619880.00 533737.00 573789.00 589213.00 532168.00 551102.00 593789.00 527106.00 547327.00 601305.00 610872.00 601325.00 642143.00 614216.00 657979.00 673098.00 602297.00 615381.00 703671.00 733852.00 716596.00 745798.00 742027.10 679181.20 739022.70 645410.60 729382.10 671052.70 744954.80 677639.30 778207.20 763316.20 658531.60 831700.10 664156.30 621402.10 683588.70 600023.80 643273.80 653615.90 620177.50 574128.80 599828.00 599369.40 596617.70 616114.60 510226.90 493960.10 634503.30 588556.20 603239.00 617458.20 646543.50 680125.60 731595.80 759600.30 785031.70 849573.30 762342.00 815346.60 929603.20 784057.50 944667.70 1007258.30 664292.70 873207.40 1146510.00 1417266.80 1089387.90 1373379.70 1009397.60 818175.10 1003458.10 961142.70 1121906.60 1141713.30 1042352.60 992223.60 920525.30 1076093.40 967880.40 1236416.10

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	-0.374202	-3.5302	0.00033
2	-0.012979	-0.1224	0.451412
3	0.050272	0.4743	0.318236
4	-0.173527	-1.6371	0.052575
5	-0.09903	-0.9342	0.176352
6	0.097228	0.9172	0.180746
7	0.238603	2.251	0.013425
8	-0.19969	-1.8839	0.031423
9	0.121407	1.1453	0.127568
10	0.01176	0.1109	0.455957
11	-0.325999	-3.0755	0.001396
12	0.319664	3.0157	0.001671
13	-0.15954	-1.5051	0.06792
14	0.047559	0.4487	0.327379
15	0.088442	0.8344	0.203155
16	-0.047581	-0.4489	0.327307
17	-0.072877	-0.6875	0.246772
18	0.05211	0.4916	0.312105
19	0.065648	0.6193	0.268644
20	-0.124431	-1.1739	0.121788
21	0.062712	0.5916	0.2778
22	-0.008412	-0.0794	0.468464
23	-0.115315	-1.0879	0.139793
24	0.16686	1.5742	0.0595
25	-0.091818	-0.8662	0.194351
26	-0.019301	-0.1821	0.427966
27	0.092146	0.8693	0.19351
28	-0.093986	-0.8867	0.188826
29	0.005782	0.0545	0.478311
30	0.097754	0.9222	0.179456
31	-0.050732	-0.4786	0.316698
32	-0.073652	-0.6948	0.244485
33	0.075041	0.7079	0.240417
34	0.014995	0.1415	0.443912
35	-0.120032	-1.1324	0.130258
36	0.164104	1.5482	0.062567
37	-0.052804	-0.4982	0.309801
38	-0.070382	-0.664	0.25421
39	0.153071	1.4441	0.076115
40	-0.159198	-1.5019	0.068335
41	0.077596	0.732	0.233034
42	-0.036217	-0.3417	0.366704
43	0.031611	0.2982	0.383117
44	-0.055869	-0.5271	0.299729
45	0.045033	0.4248	0.335991
46	-0.002226	-0.021	0.491645
47	-0.093941	-0.8862	0.188939
48	0.153115	1.4445	0.076057

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.374202	-3.5302	0.00033
2	-0.177919	-1.6785	0.04838
3	-0.02645	-0.2495	0.401762
4	-0.196463	-1.8534	0.033567
5	-0.301018	-2.8398	0.002797
6	-0.146192	-1.3792	0.085648
7	0.259225	2.4455	0.008216
8	-0.015316	-0.1445	0.442718
9	-0.006381	-0.0602	0.476067
10	0.068223	0.6436	0.260741
11	-0.219371	-2.0695	0.020697
12	0.197964	1.8676	0.032555
13	-0.076069	-0.7176	0.237432
14	-0.071033	-0.6701	0.252257
15	0.062678	0.5913	0.277907
16	-0.049263	-0.4647	0.321625
17	-0.03069	-0.2895	0.386427
18	0.109623	1.0342	0.151927
19	-0.011713	-0.1105	0.456132
20	0.048655	0.459	0.323674
21	-0.057768	-0.545	0.293565
22	-0.147681	-1.3932	0.083512
23	0.025721	0.2427	0.404417
24	0.032894	0.3103	0.378522
25	-0.085923	-0.8106	0.20988
26	-0.086056	-0.8119	0.209522
27	0.00687	0.0648	0.474237
28	-0.037717	-0.3558	0.361406
29	0.063965	0.6034	0.273875
30	0.077741	0.7334	0.232619
31	-0.051644	-0.4872	0.313653
32	-0.045073	-0.4252	0.335853
33	-0.033219	-0.3134	0.37736
34	0.048647	0.4589	0.323701
35	0.018189	0.1716	0.432071
36	-0.01368	-0.1291	0.448801
37	-0.036609	-0.3454	0.365315
38	0.003661	0.0345	0.486262
39	0.132536	1.2503	0.107225
40	-0.046395	-0.4377	0.331334
41	0.085041	0.8023	0.212267
42	-0.102963	-0.9714	0.167002
43	-0.042199	-0.3981	0.345753
44	0.012896	0.1217	0.451723
45	-0.040195	-0.3792	0.352723
46	-0.077355	-0.7298	0.233726
47	-0.019671	-0.1856	0.426601
48	-0.037569	-0.3544	0.36193

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244394844gqnk3f65xx4d37d/169ny1244394799.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244394844gqnk3f65xx4d37d/169ny1244394799.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244394844gqnk3f65xx4d37d/2zd9k1244394799.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/07/t1244394844gqnk3f65xx4d37d/2zd9k1244394799.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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