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ACF aanvoer 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: Sat, 11 Dec 2010 11:25:10 +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/11/t12920665965z64f039sbueih2.htm/, Retrieved Sat, 11 Dec 2010 12:23:17 +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/11/t12920665965z64f039sbueih2.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 «

1606 1634 2013 1654 1003 1029 1052 1653 1918 1926 1862 1816 1712 1646 1555 1402 1047 891 940 1372 2012 1879 1667 1856 1771 1721 1773 1507 1033 1011 1111 1736 1865 2078 1947 1428 1500 1950 1591 1613 1077 880 1128 1320 1692 1575 1478 1500 1368 1563 1424 1274 1047 1049 1069 981 1540 1559 1459 1559

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.658638	5.1018	2e-06
2	0.193618	1.4998	0.06946
3	-0.16977	-1.315	0.096751
4	-0.346994	-2.6878	0.004647
5	-0.259076	-2.0068	0.024642
6	-0.202865	-1.5714	0.060676
7	-0.23218	-1.7985	0.038567
8	-0.269729	-2.0893	0.020464
9	-0.181419	-1.4053	0.08255
10	0.146906	1.1379	0.129836
11	0.471066	3.6489	0.000277
12	0.629873	4.879	4e-06
13	0.489328	3.7903	0.000176
14	0.115077	0.8914	0.188142
15	-0.224129	-1.7361	0.04384
16	-0.330156	-2.5574	0.006546
17	-0.255423	-1.9785	0.026234
18	-0.207314	-1.6059	0.056779
19	-0.2296	-1.7785	0.040196
20	-0.265601	-2.0573	0.022004
21	-0.201482	-1.5607	0.06193
22	0.046739	0.362	0.359299
23	0.311277	2.4111	0.009491
24	0.432109	3.3471	0.000707
25	0.316466	2.4513	0.008581
26	0.078104	0.605	0.273734
27	-0.144248	-1.1173	0.134152
28	-0.226659	-1.7557	0.042122
29	-0.162353	-1.2576	0.106709
30	-0.111208	-0.8614	0.19622
31	-0.119381	-0.9247	0.179408
32	-0.155321	-1.2031	0.116829
33	-0.140689	-1.0898	0.140085
34	0.005474	0.0424	0.48316
35	0.159045	1.232	0.111385
36	0.256515	1.987	0.02575
37	0.214131	1.6587	0.051202
38	0.044763	0.3467	0.365003
39	-0.065144	-0.5046	0.307844
40	-0.121986	-0.9449	0.174249
41	-0.108112	-0.8374	0.202836
42	-0.078048	-0.6046	0.273876
43	-0.099062	-0.7673	0.222947
44	-0.096706	-0.7491	0.228367
45	-0.078543	-0.6084	0.272613
46	-0.023482	-0.1819	0.428141
47	0.042165	0.3266	0.37255
48	0.076803	0.5949	0.277069

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.658638	5.1018	2e-06
2	-0.42421	-3.2859	0.00085
3	-0.15505	-1.201	0.117234
4	-0.094481	-0.7318	0.233556
5	0.140295	1.0867	0.140754
6	-0.307672	-2.3832	0.010173
7	-0.205947	-1.5953	0.057954
8	-0.126184	-0.9774	0.166144
9	0.151737	1.1753	0.122249
10	0.330936	2.5634	0.006445
11	0.137156	1.0624	0.146155
12	0.174172	1.3491	0.091182
13	-0.029116	-0.2255	0.411167
14	-0.078609	-0.6089	0.272443
15	-0.140513	-1.0884	0.140384
16	0.109962	0.8518	0.198867
17	0.023202	0.1797	0.428989
18	-0.163208	-1.2642	0.105523
19	-0.079787	-0.618	0.269448
20	-0.039264	-0.3041	0.381038
21	-0.018485	-0.1432	0.443313
22	-0.041792	-0.3237	0.373637
23	-0.096358	-0.7464	0.229175
24	-0.031784	-0.2462	0.403185
25	-0.026545	-0.2056	0.418893
26	0.094185	0.7296	0.234251
27	-0.064562	-0.5001	0.30942
28	0.055055	0.4265	0.335652
29	0.048838	0.3783	0.353271
30	0.026253	0.2034	0.419773
31	0.075238	0.5828	0.281109
32	0.021847	0.1692	0.433094
33	-0.033047	-0.256	0.399419
34	-0.04614	-0.3574	0.361024
35	-0.09005	-0.6975	0.244085
36	0.010292	0.0797	0.468363
37	0.014116	0.1093	0.456649
38	-0.066701	-0.5167	0.303646
39	0.009701	0.0751	0.470176
40	-0.077952	-0.6038	0.274123
41	-0.025028	-0.1939	0.423466
42	-0.080137	-0.6207	0.268562
43	-0.004627	-0.0358	0.485764
44	0.064094	0.4965	0.310689
45	-5e-05	-4e-04	0.499846
46	-0.077922	-0.6036	0.274198
47	-0.092419	-0.7159	0.238423
48	0.026851	0.208	0.417972

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/11/t12920665965z64f039sbueih2/1ghob1292066707.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t12920665965z64f039sbueih2/1ghob1292066707.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t12920665965z64f039sbueih2/2ghob1292066707.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t12920665965z64f039sbueih2/2ghob1292066707.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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