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Autocorrelatie differentiatie - Huisprijzen USA - Yannick Geerts

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 30 Apr 2010 14:42:39 +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/30/t127263867875gtruztbyjo4l2.htm/, Retrieved Fri, 30 Apr 2010 16:44:39 +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/30/t127263867875gtruztbyjo4l2.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 «

178600 181600 178500 176700 183500 175900 179800 186500 182700 182800 178600 183300 182900 191400 189300 192200 187900 193900 189100 193100 194800 200200 211500 202100 200300 199200 204900 207300 200000 197700 202200 200200 208300 215100 210700 208100 209000 211000 210200 205500 211400 211700 209300 207500 203300 207100 206900 228700 226900 265000 227100 228100 226500 225200 217800 221300 215300 231300 227100 237800 230200 233400 231100 237200 243700 239700 248400 241000 254500 242800 268300 253900 262100 264100 261000 269300 260400 263200 279200 272200 269200 289600 283200 284300 283000 289100 289600 289100 287400 279600 289300 295000 299600 293600 294400 290200 301000 307900 298800 310300 293900 305000 311300 317300 296200 306800 291800 301900 314600 321500 329400 311700 309700 306500 307100 301300 292200 310100 316800 284400 284600 301200 287600 314300 298200 299400 301900 265500 etc...

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	11 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.462693	-5.533	0
2	0.126823	1.5166	0.06579
3	-0.078763	-0.9419	0.173923
4	-0.079116	-0.9461	0.17285
5	0.099582	1.1908	0.117847
6	-0.071623	-0.8565	0.196581
7	0.075842	0.9069	0.182981
8	0.017589	0.2103	0.416851
9	-0.059979	-0.7172	0.237198
10	0.023073	0.2759	0.391505
11	-0.020144	-0.2409	0.404994
12	0.042771	0.5115	0.304905
13	0.031524	0.377	0.353378
14	-0.082927	-0.9917	0.161518
15	0.106241	1.2705	0.102992
16	-0.022364	-0.2674	0.394762
17	-0.006473	-0.0774	0.469207
18	-0.046943	-0.5614	0.287715
19	0.033471	0.4003	0.344783
20	-0.043071	-0.5151	0.303656
21	0.060097	0.7187	0.236761
22	-0.008353	-0.0999	0.460286
23	-0.001499	-0.0179	0.492861
24	-0.080545	-0.9632	0.168541
25	-0.014979	-0.1791	0.429049
26	0.062024	0.7417	0.229742
27	0.10299	1.2316	0.110063
28	-0.093215	-1.1147	0.133426
29	0.026137	0.3125	0.37754
30	-0.061699	-0.7378	0.230919
31	-0.026123	-0.3124	0.377599
32	0.042533	0.5086	0.305903
33	0.033175	0.3967	0.346082
34	-0.056582	-0.6766	0.249868
35	0.049436	0.5912	0.277669
36	-0.0597	-0.7139	0.238224
37	0.039391	0.471	0.319164
38	0.008718	0.1042	0.45856
39	-0.02124	-0.254	0.399931
40	0.02045	0.2445	0.40358
41	-0.084724	-1.0132	0.156348
42	0.033887	0.4052	0.342957
43	0.005778	0.0691	0.472505
44	0.017769	0.2125	0.416013
45	0.029761	0.3559	0.361223
46	-0.050392	-0.6026	0.273865
47	-0.069697	-0.8335	0.20299
48	0.123711	1.4794	0.070621

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.462693	-5.533	0
2	-0.111032	-1.3277	0.093189
3	-0.083663	-1.0005	0.159387
4	-0.180997	-2.1644	0.016046
5	-0.024778	-0.2963	0.383717
6	-0.044985	-0.5379	0.295728
7	0.014306	0.1711	0.432205
8	0.074637	0.8925	0.186804
9	-0.010072	-0.1204	0.452153
10	-0.017889	-0.2139	0.415458
11	0.002667	0.0319	0.487301
12	0.042099	0.5034	0.307718
13	0.078003	0.9328	0.176251
14	-0.039195	-0.4687	0.319997
15	0.06453	0.7717	0.220791
16	0.100143	1.1975	0.116541
17	0.038662	0.4623	0.322275
18	-0.055782	-0.6671	0.252906
19	0.010284	0.123	0.451147
20	-0.05134	-0.6139	0.270118
21	0.016808	0.201	0.420496
22	0.030381	0.3633	0.358458
23	-0.006776	-0.081	0.467764
24	-0.121397	-1.4517	0.074389
25	-0.116965	-1.3987	0.082035
26	0.001179	0.0141	0.494387
27	0.160502	1.9193	0.028467
28	-0.011342	-0.1356	0.44615
29	-0.025066	-0.2998	0.382401
30	-0.030939	-0.37	0.355973
31	-0.070537	-0.8435	0.20018
32	-0.018153	-0.2171	0.414228
33	0.075902	0.9077	0.182793
34	-0.084882	-1.015	0.155901
35	-0.009886	-0.1182	0.453032
36	0.006846	0.0819	0.467434
37	0.028179	0.337	0.368314
38	0.023694	0.2833	0.388661
39	0.00041	0.0049	0.498048
40	0.007096	0.0849	0.466247
41	-0.070182	-0.8393	0.201364
42	-0.106798	-1.2771	0.101815
43	-0.020093	-0.2403	0.405231
44	0.03077	0.368	0.356725
45	0.0547	0.6541	0.257045
46	0.020991	0.251	0.401079
47	-0.120117	-1.4364	0.076537
48	-0.006247	-0.0747	0.470277

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/30/t127263867875gtruztbyjo4l2/1pmhd1272638546.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t127263867875gtruztbyjo4l2/1pmhd1272638546.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t127263867875gtruztbyjo4l2/2pmhd1272638546.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/30/t127263867875gtruztbyjo4l2/2pmhd1272638546.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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