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ACF aanvoer 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: Sat, 11 Dec 2010 11:26:57 +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/t1292066716ljf9x5yvakfgrzr.htm/, Retrieved Sat, 11 Dec 2010 12:25:16 +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/t1292066716ljf9x5yvakfgrzr.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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.198319	1.374	0.087913
2	4.9e-05	3e-04	0.499865
3	0.300482	2.0818	0.021358
4	0.07311	0.5065	0.307404
5	0.175802	1.218	0.114591
6	0.141332	0.9792	0.166202
7	0.028465	0.1972	0.422248
8	0.089733	0.6217	0.268543
9	-0.109662	-0.7598	0.225557
10	0.057435	0.3979	0.346226
11	-0.00789	-0.0547	0.478318
12	-0.362284	-2.51	0.00775
13	0.022353	0.1549	0.438787
14	-0.052983	-0.3671	0.357589
15	-0.289621	-2.0066	0.025224
16	-0.147321	-1.0207	0.156264
17	-0.155069	-1.0743	0.144019
18	-0.215861	-1.4955	0.070662
19	-0.132786	-0.92	0.181096
20	-0.153285	-1.062	0.146778
21	0.012848	0.089	0.464722
22	-0.060465	-0.4189	0.338575
23	-0.138427	-0.959	0.17117
24	-0.035994	-0.2494	0.402069
25	-0.132133	-0.9154	0.182267
26	-0.005918	-0.041	0.483733
27	0.0958	0.6637	0.255022
28	0.039232	0.2718	0.393468
29	0.048438	0.3356	0.369322
30	0.045035	0.312	0.37819
31	0.065686	0.4551	0.325549
32	0.078273	0.5423	0.295064
33	-0.028844	-0.1998	0.421226
34	0.00794	0.055	0.478181
35	0.039828	0.2759	0.391891
36	0.042656	0.2955	0.384432
37	0.039176	0.2714	0.393615
38	-0.034581	-0.2396	0.405837
39	-0.072155	-0.4999	0.309714
40	0.013783	0.0955	0.462162
41	0.074457	0.5159	0.304161
42	-0.000189	-0.0013	0.49948
43	-0.032144	-0.2227	0.412358
44	-0.024671	-0.1709	0.432501
45	-0.01702	-0.1179	0.453314
46	0.008745	0.0606	0.475971
47	0.010321	0.0715	0.471645
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.198319	1.374	0.087913
2	-0.040889	-0.2833	0.389086
3	0.321753	2.2292	0.015259
4	-0.065919	-0.4567	0.324974
5	0.240203	1.6642	0.051297
6	-0.057563	-0.3988	0.345901
7	0.061749	0.4278	0.335351
8	-0.046628	-0.323	0.374032
9	-0.178408	-1.236	0.111228
10	0.118187	0.8188	0.208468
11	-0.185921	-1.2881	0.101944
12	-0.264487	-1.8324	0.036548
13	0.118763	0.8228	0.207342
14	-0.134614	-0.9326	0.177838
15	-0.05515	-0.3821	0.352041
16	-0.173424	-1.2015	0.117723
17	0.065321	0.4526	0.326453
18	-0.179887	-1.2463	0.109353
19	0.058849	0.4077	0.342646
20	-0.073517	-0.5093	0.306424
21	0.180047	1.2474	0.10915
22	0.017066	0.1182	0.453186
23	-0.034939	-0.2421	0.404881
24	-0.149561	-1.0362	0.152654
25	-0.008595	-0.0595	0.476383
26	0.002173	0.0151	0.494026
27	-0.032291	-0.2237	0.411962
28	0.077332	0.5358	0.297296
29	0.009585	0.0664	0.473665
30	-0.052443	-0.3633	0.358975
31	0.032969	0.2284	0.410146
32	-0.124087	-0.8597	0.197114
33	-0.001889	-0.0131	0.494806
34	-0.195068	-1.3515	0.09144
35	0.018914	0.131	0.448145
36	-0.068262	-0.4729	0.319203
37	0.050532	0.3501	0.363898
38	-0.080137	-0.5552	0.290666
39	-0.089014	-0.6167	0.27017
40	0.084588	0.586	0.280297
41	0.037662	0.2609	0.397632
42	-0.027535	-0.1908	0.424756
43	0.004637	0.0321	0.487253
44	-0.002235	-0.0155	0.493855
45	0.025723	0.1782	0.429652
46	-0.005256	-0.0364	0.485551
47	0.03523	0.2441	0.404104
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066716ljf9x5yvakfgrzr/1q8ne1292066814.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066716ljf9x5yvakfgrzr/1q8ne1292066814.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066716ljf9x5yvakfgrzr/2q8ne1292066814.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066716ljf9x5yvakfgrzr/2q8ne1292066814.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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