Home » date » 2009 » Nov » 25 »

WS8 berekening 3 TVD

*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: Wed, 25 Nov 2009 04:35:47 -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/25/t1259149058izaut3j3cyy7hxb.htm/, Retrieved Wed, 25 Nov 2009 12:37:40 +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/25/t1259149058izaut3j3cyy7hxb.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 «

101.3 106.3 94 102.8 102 105.1 92.4 81.4 105.8 120.3 100.7 88.8 94.3 99.9 103.4 103.3 98.8 104.2 91.2 74.7 108.5 114.5 96.9 89.6 97.1 100.3 122.6 115.4 109 129.1 102.8 96.2 127.7 128.9 126.5 119.8 113.2 114.1 134.1 130 121.8 132.1 105.3 103 117.1 126.3 138.1 119.5 138 135.5 178.6 162.2 176.9 204.9 132.2 142.5 164.3 174.9 175.4 143

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	0.745206	5.1629	2e-06
2	0.661323	4.5818	1.6e-05
3	0.627585	4.348	3.6e-05
4	0.474953	3.2906	0.000939
5	0.370564	2.5673	0.00671
6	0.203802	1.412	0.082203
7	0.0888	0.6152	0.270656
8	-0.046882	-0.3248	0.373369
9	-0.119493	-0.8279	0.205921
10	-0.175834	-1.2182	0.114549
11	-0.20419	-1.4147	0.08181
12	-0.215175	-1.4908	0.071282
13	-0.193943	-1.3437	0.092685
14	-0.146744	-1.0167	0.157203
15	-0.102839	-0.7125	0.239805
16	-0.054298	-0.3762	0.354217
17	0.018619	0.129	0.44895
18	0.065942	0.4569	0.324916
19	0.092195	0.6387	0.263012
20	0.095456	0.6613	0.255778
21	0.146991	1.0184	0.156801
22	0.148028	1.0256	0.155118
23	0.145046	1.0049	0.159991
24	0.158157	1.0957	0.139329
25	0.084043	0.5823	0.281556
26	0.080547	0.558	0.289704
27	0.021795	0.151	0.440305
28	-0.038665	-0.2679	0.39497
29	-0.066357	-0.4597	0.32389
30	-0.12035	-0.8338	0.204259
31	-0.173722	-1.2036	0.117327
32	-0.189627	-1.3138	0.097583
33	-0.244618	-1.6948	0.0483
34	-0.287739	-1.9935	0.025953
35	-0.282335	-1.9561	0.028145
36	-0.299504	-2.075	0.021684

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.745206	5.1629	2e-06
2	0.238358	1.6514	0.052594
3	0.177885	1.2324	0.111897
4	-0.192217	-1.3317	0.094622
5	-0.09989	-0.6921	0.246117
6	-0.279039	-1.9332	0.029559
7	-0.071507	-0.4954	0.311283
8	-0.166187	-1.1514	0.12764
9	0.095553	0.662	0.255565
10	0.030368	0.2104	0.417124
11	0.161004	1.1155	0.135101
12	0.004791	0.0332	0.486829
13	0.099756	0.6911	0.246407
14	-0.010419	-0.0722	0.471376
15	0.033706	0.2335	0.408175
16	-0.08025	-0.556	0.290401
17	0.070315	0.4872	0.314182
18	-0.051471	-0.3566	0.361477
19	0.005396	0.0374	0.485168
20	-0.141507	-0.9804	0.165904
21	0.15479	1.0724	0.144447
22	-0.040319	-0.2793	0.390593
23	0.159349	1.104	0.137548
24	-0.014388	-0.0997	0.460506
25	-0.055875	-0.3871	0.350191
26	-0.07113	-0.4928	0.312199
27	-0.104521	-0.7241	0.236246
28	-0.136221	-0.9438	0.175007
29	0.015528	0.1076	0.457388
30	-0.012392	-0.0859	0.465969
31	-0.00452	-0.0313	0.487574
32	0.064954	0.45	0.327364
33	-0.107772	-0.7467	0.229453
34	-0.075313	-0.5218	0.302109
35	-0.071201	-0.4933	0.312027
36	-0.029042	-0.2012	0.420694

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149058izaut3j3cyy7hxb/1lysn1259148945.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149058izaut3j3cyy7hxb/1lysn1259148945.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149058izaut3j3cyy7hxb/2ma451259148945.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259149058izaut3j3cyy7hxb/2ma451259148945.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; 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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