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Methode 1: eerste link

*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: Fri, 27 Nov 2009 10:54:28 -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/27/t1259344551xpn6a0p92dzdkfx.htm/, Retrieved Fri, 27 Nov 2009 18:55:54 +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/27/t1259344551xpn6a0p92dzdkfx.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 «

8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9

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	0.84508	6.6542	0
2	0.613685	4.8322	5e-06
3	0.462309	3.6402	0.000279
4	0.456239	3.5924	0.000324
5	0.507345	3.9948	8.7e-05
6	0.534736	4.2105	4.2e-05
7	0.491723	3.8718	0.000131
8	0.404449	3.1846	0.001134
9	0.334729	2.6357	0.005298
10	0.322273	2.5376	0.006845
11	0.33136	2.6091	0.005681
12	0.320739	2.5255	0.007062
13	0.228201	1.7969	0.038615
14	0.134772	1.0612	0.146359
15	0.078536	0.6184	0.26929
16	0.061755	0.4863	0.31425
17	0.043741	0.3444	0.365849
18	0.029869	0.2352	0.407418
19	-0.008519	-0.0671	0.473368
20	-0.068414	-0.5387	0.296014
21	-0.108805	-0.8567	0.197447
22	-0.120128	-0.9459	0.173938
23	-0.122759	-0.9666	0.168748
24	-0.124482	-0.9802	0.165404
25	-0.161707	-1.2733	0.103836
26	-0.18846	-1.4839	0.071446
27	-0.202468	-1.5942	0.057984
28	-0.196458	-1.5469	0.063487
29	-0.196625	-1.5482	0.063329
30	-0.199921	-1.5742	0.060268
31	-0.223115	-1.7568	0.041944
32	-0.258661	-2.0367	0.022978
33	-0.270085	-2.1266	0.018718
34	-0.246846	-1.9437	0.028239
35	-0.217106	-1.7095	0.04618
36	-0.202183	-1.592	0.058237

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.84508	6.6542	0
2	-0.351509	-2.7678	0.003716
3	0.233323	1.8372	0.035488
4	0.305558	2.406	0.009562
5	0.036842	0.2901	0.386356
6	0.065979	0.5195	0.302624
7	-0.032745	-0.2578	0.398694
8	-0.037632	-0.2963	0.383991
9	0.0374	0.2945	0.384684
10	0.051867	0.4084	0.342193
11	-0.055852	-0.4398	0.330813
12	-0.023606	-0.1859	0.426577
13	-0.248175	-1.9541	0.0276
14	0.093687	0.7377	0.231742
15	-0.067537	-0.5318	0.298387
16	-0.111667	-0.8793	0.191325
17	-0.042967	-0.3383	0.368131
18	0.065624	0.5167	0.303594
19	-0.108924	-0.8577	0.19719
20	-0.054949	-0.4327	0.333379
21	0.070186	0.5526	0.291246
22	-0.060714	-0.4781	0.317144
23	-0.00378	-0.0298	0.488177
24	0.051088	0.4023	0.344436
25	-0.105202	-0.8284	0.205322
26	0.091108	0.7174	0.237915
27	-0.029984	-0.2361	0.407067
28	-0.010709	-0.0843	0.466536
29	0.012076	0.0951	0.462276
30	-0.0445	-0.3504	0.363615
31	-0.058879	-0.4636	0.322274
32	-0.016997	-0.1338	0.446982
33	-0.004736	-0.0373	0.485187
34	0.002862	0.0225	0.491046
35	0.012986	0.1023	0.459443
36	-0.046826	-0.3687	0.3568

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259344551xpn6a0p92dzdkfx/1hz4m1259344467.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259344551xpn6a0p92dzdkfx/1hz4m1259344467.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259344551xpn6a0p92dzdkfx/2f3k51259344467.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259344551xpn6a0p92dzdkfx/2f3k51259344467.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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