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Autocorrelatiefuncite d=0,D=0

*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, 10 Dec 2010 14:34:45 +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/Dec/10/t12919916084lagq40tz1asros.htm/, Retrieved Fri, 10 Dec 2010 15:33:28 +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/2010/Dec/10/t12919916084lagq40tz1asros.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

1149822 1086979 1276674 1522522 1742117 1737275 1979900 2061036 1867943 1707752 1298756 1281814 1281151 1164976 1454329 1645288 1817743 1895785 2236311 2295951 2087315 1980891 1465446 1445026 1488120 1338333 1715789 1806090 2083316 2092278 2430800 2424894 2299016 2130688 1652221 1608162 1647074 1479691 1884978 2007898 2208954 2217164 2534291 2560312 2429069 2315077 1799608 1772590 1744799 1659093 2099821 2135736 2427894 2468882 2703217 2766841 2655236 2550373 2052097 1998055 1920748 1876694 2380930 2467402 2770771 2781340 3143926 3172235 2952540 2920877 2384552 2248987 2208616 2178756 2632870 2706905 3029745 3015402 3391414 3507805 3177852 3142961 2545815 2414007 2372578 2332664 2825328 2901478 3263955 3226738 3610786 3709274 3467185 3449646 2802951 2462530 2490645 2561520 3067554 3226951 3546493 3492787 3952263 3932072 3720284 3651555 2914972 2713514 2703997 2591373 3163748 3355137 3613702 3686773 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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.920646	13.8403	0
2	0.821321	12.3472	0
3	0.678378	10.1983	0
4	0.533132	8.0147	0
5	0.448856	6.7478	0
6	0.394473	5.9302	0
7	0.433899	6.5229	0
8	0.502352	7.552	0
9	0.627671	9.436	0
10	0.747452	11.2367	0
11	0.821585	12.3511	0
12	0.870886	13.0923	0
13	0.801803	12.0537	0
14	0.707815	10.6408	0
15	0.573485	8.6214	0
16	0.434766	6.536	0
17	0.353529	5.3147	0
18	0.301868	4.5381	5e-06
19	0.335225	5.0395	0
20	0.400592	6.0222	0
21	0.519915	7.816	0
22	0.633383	9.5218	0
23	0.702415	10.5596	0
24	0.748797	11.2569	0
25	0.682112	10.2544	0
26	0.593185	8.9175	0
27	0.466048	7.0062	0
28	0.334606	5.0302	0
29	0.255673	3.8436	7.9e-05
30	0.20421	3.0699	0.001202
31	0.23451	3.5255	0.000256
32	0.292467	4.3967	8e-06
33	0.401758	6.0397	0
34	0.506671	7.6169	0
35	0.569298	8.5584	0
36	0.609845	9.168	0
37	0.545461	8.2001	0
38	0.459921	6.9141	0
39	0.339348	5.1015	0
40	0.216165	3.2497	0.000666
41	0.141532	2.1277	0.017223
42	0.092659	1.393	0.082498
43	0.119473	1.7961	0.036909
44	0.172505	2.5933	0.005063
45	0.274424	4.1255	2.6e-05
46	0.371248	5.5811	0
47	0.42958	6.458	0
48	0.46672	7.0163	0
49	0.407282	6.1228	0
50	0.326583	4.9096	1e-06
51	0.213345	3.2073	0.000767
52	0.097872	1.4713	0.071296
53	0.027556	0.4143	0.339539
54	-0.016771	-0.2521	0.400589
55	0.008638	0.1299	0.448396
56	0.058755	0.8833	0.189012
57	0.154588	2.324	0.010507
58	0.245646	3.6929	0.000139
59	0.299628	4.5044	5e-06
60	0.335049	5.0369	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.920646	13.8403	0
2	-0.172356	-2.5911	0.005095
3	-0.334152	-5.0234	1e-06
4	-0.053358	-0.8022	0.211654
5	0.44185	6.6425	0
6	0.115429	1.7353	0.042027
7	0.40597	6.1031	0
8	0.072164	1.0849	0.13957
9	0.433949	6.5237	0
10	0.07222	1.0857	0.139384
11	0.004218	0.0634	0.47475
12	0.110679	1.6639	0.048762
13	-0.424058	-6.375	0
14	-0.068665	-1.0323	0.151527
15	-0.004487	-0.0675	0.473142
16	-0.08291	-1.2464	0.106952
17	0.034811	0.5233	0.300629
18	-0.026362	-0.3963	0.346125
19	-0.040366	-0.6068	0.272285
20	0.020925	0.3146	0.376688
21	0.1472	2.2129	0.013952
22	-0.005235	-0.0787	0.468669
23	-0.002799	-0.0421	0.483238
24	0.097419	1.4645	0.072219
25	-0.220506	-3.3149	0.000534
26	0.025688	0.3862	0.349867
27	0.020735	0.3117	0.377772
28	-0.012059	-0.1813	0.428151
29	-0.034768	-0.5227	0.300857
30	-0.033456	-0.503	0.307744
31	-0.036599	-0.5502	0.291363
32	-0.049673	-0.7467	0.227997
33	0.019913	0.2994	0.382472
34	0.007856	0.1181	0.453046
35	-0.008333	-0.1253	0.450211
36	0.008746	0.1315	0.447755
37	-0.104635	-1.573	0.058557
38	0.000864	0.013	0.494826
39	0.026777	0.4026	0.34383
40	0.041623	0.6257	0.266059
41	-0.031139	-0.4681	0.320074
42	-0.022706	-0.3414	0.366578
43	-0.039206	-0.5894	0.278093
44	-0.024483	-0.3681	0.356588
45	0.01492	0.2243	0.411366
46	-0.00813	-0.1222	0.451418
47	0.018905	0.2842	0.388259
48	-0.006207	-0.0933	0.46287
49	-0.049964	-0.7511	0.226682
50	-0.02991	-0.4497	0.326697
51	0.016477	0.2477	0.402297
52	0.014663	0.2204	0.412865
53	-0.001118	-0.0168	0.493301
54	0.013525	0.2033	0.419529
55	-0.038594	-0.5802	0.281181
56	-0.016794	-0.2525	0.400456
57	0.005945	0.0894	0.464431
58	0.001747	0.0263	0.489535
59	-0.00175	-0.0263	0.48952
60	0.032122	0.4829	0.314818

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/10/t12919916084lagq40tz1asros/1t20f1291991682.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t12919916084lagq40tz1asros/1t20f1291991682.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t12919916084lagq40tz1asros/2t20f1291991682.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t12919916084lagq40tz1asros/2t20f1291991682.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ;

Parameters (R input):

par1 = 60 ; 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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