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Autocorrelatie model 2

*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 14:10:32 -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/t1259010703o0wzmneh9zkmhtv.htm/, Retrieved Mon, 23 Nov 2009 22:11:45 +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/t1259010703o0wzmneh9zkmhtv.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	0.349428	2.684	0.004713
2	-0.198655	-1.5259	0.066189
3	-0.372161	-2.8586	0.002936
4	-0.36032	-2.7677	0.003765
5	0.011717	0.09	0.464295
6	0.262853	2.019	0.024019
7	0.156437	1.2016	0.117157
8	-0.153333	-1.1778	0.121808
9	-0.246534	-1.8937	0.031588
10	-0.214874	-1.6505	0.05208
11	0.101223	0.7775	0.219982
12	0.537856	4.1314	5.8e-05
13	0.135107	1.0378	0.151804
14	-0.073208	-0.5623	0.288013
15	-0.071926	-0.5525	0.291355
16	-0.114398	-0.8787	0.191562
17	0.004086	0.0314	0.487536
18	0.032188	0.2472	0.40279
19	-0.076549	-0.588	0.279393
20	-0.175507	-1.3481	0.091391
21	-0.131268	-1.0083	0.158716
22	-0.041544	-0.3191	0.375387
23	0.167075	1.2833	0.102198
24	0.395291	3.0363	0.001781
25	0.033462	0.257	0.399026
26	-0.131425	-1.0095	0.15843
27	-0.109229	-0.839	0.202427
28	-0.105887	-0.8133	0.209649
29	0.018651	0.1433	0.443286
30	0.051221	0.3934	0.347707
31	-0.006811	-0.0523	0.479226
32	-0.114057	-0.8761	0.192268
33	-0.123273	-0.9469	0.173782
34	-0.011968	-0.0919	0.463534
35	0.137279	1.0545	0.147986
36	0.282508	2.17	0.017023

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.349428	2.684	0.004713
2	-0.365367	-2.8064	0.003388
3	-0.196808	-1.5117	0.067973
4	-0.266236	-2.045	0.022662
5	0.126979	0.9753	0.166685
6	0.023221	0.1784	0.429524
7	-0.080958	-0.6218	0.268218
8	-0.251994	-1.9356	0.028856
9	-0.029184	-0.2242	0.411701
10	-0.177991	-1.3672	0.088379
11	0.143261	1.1004	0.137812
12	0.355795	2.7329	0.004136
13	-0.397976	-3.0569	0.001679
14	0.330264	2.5368	0.006926
15	0.152858	1.1741	0.122531
16	0.11601	0.8911	0.18825
17	-0.129447	-0.9943	0.162068
18	-0.092299	-0.709	0.240571
19	-0.056404	-0.4332	0.333208
20	0.031206	0.2397	0.405698
21	-0.177833	-1.366	0.088568
22	0.009704	0.0745	0.470418
23	0.043756	0.3361	0.368996
24	0.134186	1.0307	0.153444
25	0.006825	0.0524	0.479183
26	-0.098691	-0.7581	0.225717
27	-0.064342	-0.4942	0.311494
28	0.023495	0.1805	0.4287
29	-0.057061	-0.4383	0.331388
30	-0.082338	-0.6325	0.264767
31	0.005742	0.0441	0.482486
32	-0.082033	-0.6301	0.265528
33	0.118637	0.9113	0.182932
34	0.121441	0.9328	0.177362
35	-0.034591	-0.2657	0.395698
36	-0.014159	-0.1088	0.456881

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259010703o0wzmneh9zkmhtv/1xybd1259010630.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259010703o0wzmneh9zkmhtv/1xybd1259010630.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259010703o0wzmneh9zkmhtv/22izz1259010630.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259010703o0wzmneh9zkmhtv/22izz1259010630.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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