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Autocorrelatiefunctie d=1,D=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: Fri, 10 Dec 2010 20:58:10 +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/t12920146746k91dnylv823px1.htm/, Retrieved Fri, 10 Dec 2010 21:57:55 +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/t12920146746k91dnylv823px1.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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.298927	-4.3627	1e-05
2	-0.101987	-1.4885	0.069055
3	0.034534	0.504	0.30739
4	0.051683	0.7543	0.225753
5	-0.071121	-1.038	0.150229
6	-0.001007	-0.0147	0.494146
7	3e-05	4e-04	0.499827
8	0.01056	0.1541	0.438831
9	-0.045368	-0.6621	0.254303
10	0.066821	0.9752	0.165277
11	0.088282	1.2884	0.099497
12	-0.337599	-4.9271	1e-06
13	0.091306	1.3326	0.092048
14	0.089163	1.3013	0.097282
15	-0.013705	-0.2	0.420831
16	-0.089648	-1.3084	0.09608
17	0.073103	1.0669	0.14361
18	0.030152	0.4401	0.330173
19	0.019167	0.2797	0.389975
20	-0.052218	-0.7621	0.223421
21	0.063667	0.9292	0.176921
22	-0.072526	-1.0585	0.145516
23	0.015299	0.2233	0.411765
24	0.017014	0.2483	0.402065
25	-0.025687	-0.3749	0.354057
26	-0.001193	-0.0174	0.493063
27	0.030063	0.4388	0.330642
28	-0.010213	-0.149	0.440828
29	-0.024283	-0.3544	0.361694
30	-0.062989	-0.9193	0.179492
31	0.018725	0.2733	0.392451
32	0.022862	0.3337	0.369481
33	-0.081354	-1.1873	0.118213
34	0.110653	1.6149	0.053903
35	-0.023767	-0.3469	0.364514
36	0.059146	0.8632	0.194497
37	-0.082719	-1.2072	0.114339
38	-0.036693	-0.5355	0.296428
39	0.013654	0.1993	0.421117
40	0.016924	0.247	0.402571
41	0.06542	0.9548	0.170388
42	-0.029484	-0.4303	0.333702
43	-0.009726	-0.1419	0.443628
44	-0.01774	-0.2589	0.397981
45	0.059587	0.8696	0.192737
46	-0.106828	-1.5591	0.060228
47	0.07213	1.0527	0.146835
48	-0.081608	-1.191	0.117483
49	0.10028	1.4635	0.072398
50	0.007036	0.1027	0.459153
51	-0.005567	-0.0812	0.467663
52	0.001314	0.0192	0.492361
53	-0.0239	-0.3488	0.363789
54	-0.014614	-0.2133	0.415656
55	0.030788	0.4493	0.326821
56	-0.029381	-0.4288	0.334251
57	-0.058675	-0.8563	0.196387
58	0.07922	1.1562	0.124451
59	-0.08654	-1.263	0.103984
60	0.070988	1.036	0.15068

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.298927	-4.3627	1e-05
2	-0.210121	-3.0666	0.001223
3	-0.07487	-1.0927	0.137881
4	0.020965	0.306	0.379963
5	-0.051129	-0.7462	0.228186
6	-0.032296	-0.4713	0.318938
7	-0.03341	-0.4876	0.313165
8	-0.008285	-0.1209	0.451934
9	-0.049878	-0.728	0.233721
10	0.039211	0.5723	0.283874
11	0.129318	1.8873	0.030238
12	-0.292815	-4.2735	1.5e-05
13	-0.111442	-1.6264	0.052667
14	-0.014296	-0.2086	0.417466
15	0.016784	0.2449	0.403366
16	-0.052294	-0.7632	0.223091
17	-0.004699	-0.0686	0.472693
18	0.024563	0.3585	0.360168
19	0.05065	0.7392	0.230298
20	-0.008929	-0.1303	0.448221
21	0.031099	0.4539	0.325189
22	-0.033697	-0.4918	0.311686
23	0.034417	0.5023	0.307986
24	-0.096497	-1.4083	0.080246
25	-0.074768	-1.0912	0.138208
26	0.015237	0.2224	0.412115
27	0.043072	0.6286	0.265136
28	-0.03877	-0.5658	0.286051
29	-0.031961	-0.4665	0.320683
30	-0.074041	-1.0806	0.140551
31	-0.019916	-0.2907	0.385794
32	-0.023842	-0.348	0.364104
33	-0.079353	-1.1581	0.124056
34	0.048322	0.7052	0.240715
35	0.020454	0.2985	0.3828
36	0.062262	0.9087	0.182271
37	-0.086915	-1.2685	0.103005
38	-0.103436	-1.5096	0.066314
39	-0.019434	-0.2836	0.388484
40	-0.030823	-0.4499	0.326638
41	0.087079	1.2709	0.102578
42	-0.029886	-0.4362	0.331578
43	0.002232	0.0326	0.487024
44	-0.050614	-0.7387	0.230455
45	-0.015222	-0.2222	0.412203
46	-0.069386	-1.0127	0.156187
47	0.057325	0.8366	0.201867
48	-0.026846	-0.3918	0.347798
49	0.026017	0.3797	0.352268
50	-0.0036	-0.0525	0.479075
51	0.020961	0.3059	0.379984
52	0.037156	0.5423	0.2941
53	0.000587	0.0086	0.496584
54	-0.050942	-0.7435	0.229005
55	-0.018433	-0.269	0.394085
56	-0.017844	-0.2604	0.397393
57	-0.068138	-0.9944	0.160567
58	-0.018871	-0.2754	0.391633
59	-0.079611	-1.1619	0.123292
60	-0.010223	-0.1492	0.440767

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/10/t12920146746k91dnylv823px1/1njne1292014687.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t12920146746k91dnylv823px1/1njne1292014687.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t12920146746k91dnylv823px1/2njne1292014687.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t12920146746k91dnylv823px1/2njne1292014687.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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