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Autocorrelatie model 1

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 23 Nov 2009 14:04:43 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/23/t12590105427xjqvef6kglvvfb.htm/, Retrieved Mon, 23 Nov 2009 22:09:04 +0100

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/Nov/23/t12590105427xjqvef6kglvvfb.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 «

25,6 23,7 22 21,3 20,7 20,4 20,3 20,4 19,8 19,5 23,1 23,5 23,5 22,9 21,9 21,5 20,5 20,2 19,4 19,2 18,8 18,8 22,6 23,3 23 21,4 19,9 18,8 18,6 18,4 18,6 19,9 19,2 18,4 21,1 20,5 19,1 18,1 17 17,1 17,4 16,8 15,3 14,3 13,4 15,3 22,1 23,7 22,2 19,5 16,6 17,3 19,8 21,2 21,5 20,6 19,1 19,6 23,5 24

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.725495	5.6197	0
2	0.333993	2.5871	0.00606
3	0.092326	0.7152	0.238644
4	0.025283	0.1958	0.422698
5	0.105871	0.8201	0.207711
6	0.176586	1.3678	0.088233
7	0.139269	1.0788	0.142503
8	0.047842	0.3706	0.356126
9	0.056406	0.4369	0.33187
10	0.181954	1.4094	0.081938
11	0.317126	2.4564	0.008471
12	0.37517	2.9061	0.00256
13	0.187277	1.4506	0.076044
14	-0.033385	-0.2586	0.398416
15	-0.138561	-1.0733	0.143719
16	-0.188132	-1.4573	0.075129
17	-0.183913	-1.4246	0.079729
18	-0.187778	-1.4545	0.075506
19	-0.2095	-1.6228	0.054939
20	-0.201868	-1.5637	0.061579
21	-0.110291	-0.8543	0.198167
22	0.038395	0.2974	0.383591
23	0.137996	1.0689	0.144696
24	0.145188	1.1246	0.132615
25	-0.027298	-0.2115	0.416626
26	-0.197141	-1.5271	0.066002
27	-0.261213	-2.0233	0.023749
28	-0.270777	-2.0974	0.020089
29	-0.239241	-1.8532	0.03439
30	-0.199435	-1.5448	0.063825
31	-0.182492	-1.4136	0.081327
32	-0.183723	-1.4231	0.079941
33	-0.128069	-0.992	0.162587
34	-0.019271	-0.1493	0.440921
35	0.03994	0.3094	0.379055
36	0.032659	0.253	0.400576

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.725495	5.6197	0
2	-0.406096	-3.1456	0.001289
3	0.11689	0.9054	0.184431
4	0.044531	0.3449	0.365674
5	0.179482	1.3903	0.084793
6	-0.048188	-0.3733	0.355133
7	-0.062889	-0.4871	0.313969
8	-0.004286	-0.0332	0.486812
9	0.218065	1.6891	0.048193
10	0.145228	1.1249	0.132549
11	0.080429	0.623	0.267823
12	0.063637	0.4929	0.31193
13	-0.348411	-2.6988	0.004513
14	0.140752	1.0903	0.13998
15	-0.113292	-0.8776	0.191842
16	-0.19735	-1.5287	0.065801
17	-0.101108	-0.7832	0.218301
18	-0.118886	-0.9209	0.1804
19	0.006895	0.0534	0.478792
20	0.000321	0.0025	0.499013
21	0.033441	0.259	0.398248
22	0.066504	0.5151	0.304175
23	0.10923	0.8461	0.200432
24	0.003752	0.0291	0.488456
25	-0.157249	-1.218	0.113987
26	0.071198	0.5515	0.291672
27	-0.118876	-0.9208	0.180418
28	0.017511	0.1356	0.44628
29	-0.092775	-0.7186	0.237579
30	0.017895	0.1386	0.445111
31	-0.046295	-0.3586	0.360578
32	-0.117188	-0.9077	0.183825
33	0.02513	0.1947	0.423159
34	-0.044255	-0.3428	0.366476
35	-0.00768	-0.0595	0.476379
36	-0.062062	-0.4807	0.316229

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/23/t12590105427xjqvef6kglvvfb/13ipd1259010282.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t12590105427xjqvef6kglvvfb/13ipd1259010282.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t12590105427xjqvef6kglvvfb/296ou1259010282.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t12590105427xjqvef6kglvvfb/296ou1259010282.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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