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ACF (berekening 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: Wed, 25 Nov 2009 14:53:02 -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/t1259186059td6o9lglurf5ngl.htm/, Retrieved Wed, 25 Nov 2009 22:54:21 +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/t1259186059td6o9lglurf5ngl.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 «

562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.893869	6.9239	0
2	0.732971	5.6776	0
3	0.613006	4.7483	7e-06
4	0.556278	4.3089	3.1e-05
5	0.553499	4.2874	3.3e-05
6	0.535808	4.1503	5.3e-05
7	0.467571	3.6218	0.000302
8	0.389827	3.0196	0.001857
9	0.364677	2.8248	0.003207
10	0.388047	3.0058	0.001932
11	0.44595	3.4543	0.000509
12	0.455258	3.5264	0.000407
13	0.320701	2.4841	0.007898
14	0.159212	1.2332	0.111146
15	0.041961	0.325	0.373144
16	-0.012989	-0.1006	0.460097
17	-0.023307	-0.1805	0.42867
18	-0.051439	-0.3984	0.345858
19	-0.12201	-0.9451	0.174203
20	-0.18994	-1.4713	0.073222
21	-0.209549	-1.6232	0.0549
22	-0.189432	-1.4673	0.073754
23	-0.149666	-1.1593	0.125463
24	-0.14249	-1.1037	0.13706
25	-0.231231	-1.7911	0.03916
26	-0.334464	-2.5907	0.006003
27	-0.392365	-3.0392	0.001755
28	-0.389756	-3.019	0.00186
29	-0.358897	-2.78	0.003625
30	-0.340477	-2.6373	0.005313
31	-0.355184	-2.7512	0.003919
32	-0.370151	-2.8672	0.002853
33	-0.352397	-2.7297	0.004154
34	-0.311642	-2.414	0.009424
35	-0.256807	-1.9892	0.025621
36	-0.221796	-1.718	0.045474

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.893869	6.9239	0
2	-0.328512	-2.5446	0.006765
3	0.202104	1.5655	0.061364
4	0.137651	1.0662	0.145293
5	0.161901	1.2541	0.107339
6	-0.133747	-1.036	0.152181
7	-0.114253	-0.885	0.189844
8	0.070345	0.5449	0.293925
9	0.212731	1.6478	0.05231
10	0.036368	0.2817	0.38957
11	0.161554	1.2514	0.107825
12	-0.20556	-1.5923	0.058291
13	-0.576578	-4.4662	1.8e-05
14	0.131377	1.0176	0.156466
15	-0.07218	-0.5591	0.289086
16	-0.048535	-0.3759	0.354141
17	-0.04899	-0.3795	0.352838
18	-0.030241	-0.2342	0.407797
19	0.002899	0.0225	0.49108
20	0.012455	0.0965	0.461733
21	-0.042322	-0.3278	0.372092
22	-0.006077	-0.0471	0.481305
23	-0.095086	-0.7365	0.232139
24	0.125016	0.9684	0.168373
25	-0.069859	-0.5411	0.295213
26	-0.05031	-0.3897	0.34907
27	0.050891	0.3942	0.347416
28	0.05244	0.4062	0.343021
29	-0.092805	-0.7189	0.237508
30	0.13155	1.019	0.156151
31	-0.024443	-0.1893	0.425234
32	-0.026805	-0.2076	0.41811
33	-0.070994	-0.5499	0.29221
34	-0.005147	-0.0399	0.484166
35	0.053777	0.4166	0.339246
36	-0.006188	-0.0479	0.480965

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259186059td6o9lglurf5ngl/1efvc1259185980.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259186059td6o9lglurf5ngl/1efvc1259185980.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259186059td6o9lglurf5ngl/2tqc21259185980.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259186059td6o9lglurf5ngl/2tqc21259185980.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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