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autocorrelatie - verkoopcijfers X - Lehaen Joni

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Apr 2010 08:08:11 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Apr/29/t1272528617rp1rj0sx6zxfzah.htm/, Retrieved Thu, 29 Apr 2010 10:10:22 +0200

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/2010/Apr/29/t1272528617rp1rj0sx6zxfzah.htm/},
    year = {2010},
}
@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 = {2010},
    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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

154 96 73 49 36 59 95 169 210 278 298 245 200 118 90 79 78 91 167 169 289 347 375 203 223 104 107 85 75 99 135 211 335 460 488 326 346 261 224 141 148 145 223 272 445 560 612 467 518 404 300 210 196 186 247 343 464 680 711 610 613 392 273 322 189 257 324 404 677 858 895 664 628 308 324 248 272

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	0.87134	7.646	0
2	0.663298	5.8204	0
3	0.378669	3.3228	0.000683
4	0.117824	1.0339	0.152209
5	-0.066521	-0.5837	0.280559
6	-0.127973	-1.123	0.132472
7	-0.08949	-0.7853	0.217351
8	0.059141	0.519	0.302638
9	0.262708	2.3053	0.011923
10	0.462196	4.0558	5.9e-05
11	0.617652	5.4199	0
12	0.675709	5.9293	0
13	0.574631	5.0424	1e-06
14	0.406975	3.5712	0.000308
15	0.190889	1.675	0.048991
16	-0.014064	-0.1234	0.451051
17	-0.155537	-1.3648	0.088141
18	-0.213955	-1.8774	0.032122
19	-0.184952	-1.6229	0.054344
20	-0.077253	-0.6779	0.249936
21	0.066485	0.5834	0.280662
22	0.224064	1.9662	0.026443
23	0.341263	2.9946	0.001847
24	0.395611	3.4715	0.000426
25	0.330531	2.9004	0.002428
26	0.214121	1.8789	0.032021
27	0.043538	0.382	0.351741
28	-0.119831	-1.0515	0.148155
29	-0.250096	-2.1946	0.015604
30	-0.311668	-2.7349	0.003871
31	-0.314981	-2.7639	0.003571
32	-0.252562	-2.2162	0.014814
33	-0.153735	-1.349	0.090642
34	-0.02956	-0.2594	0.398015
35	0.073082	0.6413	0.261618
36	0.13313	1.1682	0.123164
37	0.10651	0.9346	0.176453
38	0.03267	0.2867	0.387563
39	-0.08413	-0.7382	0.231306
40	-0.210402	-1.8463	0.034348
41	-0.304486	-2.6719	0.004601
42	-0.359584	-3.1553	0.001144
43	-0.36777	-3.2272	0.000919
44	-0.331679	-2.9105	0.002358
45	-0.254169	-2.2303	0.014319
46	-0.157211	-1.3795	0.085863
47	-0.068863	-0.6043	0.273721
48	-0.008263	-0.0725	0.471194

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.87134	7.646	0
2	-0.398463	-3.4965	0.000393
3	-0.406771	-3.5694	0.00031
4	0.045788	0.4018	0.344475
5	0.199712	1.7525	0.041837
6	0.238876	2.0961	0.019678
7	0.046184	0.4053	0.343203
8	0.231422	2.0307	0.022868
9	0.240988	2.1147	0.018847
10	0.070067	0.6148	0.270237
11	0.10624	0.9323	0.17706
12	-0.001008	-0.0088	0.496483
13	-0.408889	-3.588	0.000292
14	0.112704	0.989	0.162886
15	0.186159	1.6335	0.053219
16	-0.131047	-1.1499	0.126866
17	-0.137231	-1.2042	0.1161
18	-0.055397	-0.4861	0.314135
19	0.063678	0.5588	0.288969
20	-0.071203	-0.6248	0.266972
21	-0.105721	-0.9277	0.178232
22	0.182203	1.5988	0.056978
23	-0.084839	-0.7445	0.229432
24	0.049594	0.4352	0.332323
25	-0.088062	-0.7727	0.221021
26	-0.037951	-0.333	0.370013
27	-0.023757	-0.2085	0.417706
28	-0.021444	-0.1882	0.42562
29	-0.03413	-0.2995	0.382686
30	-0.045725	-0.4012	0.344679
31	-0.16206	-1.4221	0.079522
32	0.016242	0.1425	0.443519
33	0.012294	0.1079	0.457186
34	-0.011024	-0.0967	0.461595
35	-0.065111	-0.5713	0.284714
36	-0.029047	-0.2549	0.399746
37	-0.004137	-0.0363	0.485568
38	-0.020096	-0.1763	0.430244
39	0.026376	0.2314	0.40879
40	-0.019978	-0.1753	0.430651
41	0.037717	0.331	0.370785
42	-0.046672	-0.4095	0.341639
43	-0.033117	-0.2906	0.386068
44	-0.037505	-0.3291	0.371486
45	0.05446	0.4779	0.317045
46	-0.029257	-0.2567	0.399035
47	-0.072015	-0.6319	0.264651
48	0.035255	0.3094	0.378942

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272528617rp1rj0sx6zxfzah/1d7m11272528489.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272528617rp1rj0sx6zxfzah/1d7m11272528489.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272528617rp1rj0sx6zxfzah/2d7m11272528489.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/29/t1272528617rp1rj0sx6zxfzah/2d7m11272528489.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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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