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Faillissementen Vlaanderen

*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: Tue, 14 Dec 2010 08:51:21 +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/14/t1292316589y9difsppbo8ktxy.htm/, Retrieved Tue, 14 Dec 2010 09:49:51 +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/14/t1292316589y9difsppbo8ktxy.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 «

356 386 444 387 327 448 225 182 460 411 342 361 377 331 428 340 352 461 221 198 422 329 320 375 364 351 380 319 322 386 221 187 344 342 365 313 356 337 389 326 343 357 220 218 391 425 332 298 360 336 325 393 301 426 265 210 429 440 357 431 442 442 544 420 396 482 261 211 448 468 464 425

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	29 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.198742	1.6864	0.048026
2	-0.162152	-1.3759	0.086558
3	0.211306	1.793	0.038587
4	-0.034009	-0.2886	0.386866
5	-0.058207	-0.4939	0.311438
6	0.146935	1.2468	0.108259
7	-0.032286	-0.274	0.392452
8	0.082995	0.7042	0.241779
9	0.185444	1.5735	0.059988
10	-0.212378	-1.8021	0.037859
11	0.09329	0.7916	0.2156
12	0.555231	4.7113	6e-06
13	0.027633	0.2345	0.407643
14	-0.183208	-1.5546	0.062216
15	0.034997	0.297	0.383677
16	-0.090139	-0.7649	0.223429
17	-0.068743	-0.5833	0.280756
18	-0.027829	-0.2361	0.407
19	-0.093308	-0.7917	0.215554
20	-0.039437	-0.3346	0.369437
21	0.007861	0.0667	0.473502
22	-0.184306	-1.5639	0.061114
23	-0.016781	-0.1424	0.443584
24	0.371231	3.15	0.001189
25	0.05259	0.4462	0.328381
26	-0.217443	-1.8451	0.03457
27	-0.074084	-0.6286	0.265793
28	-0.0853	-0.7238	0.235768
29	-0.159719	-1.3553	0.089785
30	-0.086797	-0.7365	0.231911
31	-0.088073	-0.7473	0.228652
32	-0.109462	-0.9288	0.178044
33	-0.012413	-0.1053	0.458205
34	-0.137987	-1.1709	0.122757
35	-0.041594	-0.3529	0.362583
36	0.297195	2.5218	0.006945
37	0.011653	0.0989	0.460756
38	-0.264505	-2.2444	0.013941
39	-0.042386	-0.3597	0.360079
40	-0.075224	-0.6383	0.262652
41	-0.145331	-1.2332	0.110761
42	-0.009724	-0.0825	0.467234
43	-0.053904	-0.4574	0.324383
44	-0.08028	-0.6812	0.248966
45	0.069951	0.5936	0.277335
46	-0.089813	-0.7621	0.224248
47	-0.052288	-0.4437	0.329304
48	0.261046	2.215	0.01496

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.198742	1.6864	0.048026
2	-0.209943	-1.7814	0.03953
3	0.31805	2.6987	0.004333
4	-0.252742	-2.1446	0.017681
5	0.18793	1.5946	0.057587
6	-0.040894	-0.347	0.364803
7	0.009522	0.0808	0.467915
8	0.169414	1.4375	0.07745
9	0.007168	0.0608	0.475834
10	-0.211982	-1.7987	0.038126
11	0.341878	2.9009	0.002466
12	0.341463	2.8974	0.002491
13	-0.107143	-0.9091	0.183155
14	-0.155505	-1.3195	0.095591
15	-0.137833	-1.1696	0.12302
16	0.060936	0.5171	0.303349
17	-0.048392	-0.4106	0.341286
18	-0.166637	-1.414	0.080841
19	-0.00673	-0.0571	0.47731
20	-0.290385	-2.464	0.008064
21	0.110975	0.9417	0.174759
22	-0.035241	-0.299	0.382891
23	0.012572	0.1067	0.457672
24	0.182535	1.5489	0.0629
25	-0.058745	-0.4985	0.309836
26	0.020255	0.1719	0.432013
27	-0.07516	-0.6378	0.262828
28	0.0166	0.1409	0.444189
29	-0.083741	-0.7106	0.239825
30	-0.052051	-0.4417	0.330028
31	-0.08315	-0.7056	0.241371
32	-0.089842	-0.7623	0.224174
33	-0.02666	-0.2262	0.410836
34	-0.025723	-0.2183	0.41392
35	0.098005	0.8316	0.204193
36	-0.04043	-0.3431	0.366276
37	-0.049512	-0.4201	0.337822
38	-0.080863	-0.6861	0.247413
39	0.1077	0.9139	0.181919
40	-0.03571	-0.303	0.381377
41	0.020047	0.1701	0.432704
42	-0.005548	-0.0471	0.48129
43	-0.060743	-0.5154	0.303918
44	0.05283	0.4483	0.327648
45	0.05908	0.5013	0.308841
46	-0.023793	-0.2019	0.420287
47	-0.095301	-0.8087	0.210688
48	-0.07137	-0.6056	0.273345

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292316589y9difsppbo8ktxy/18q3z1292316651.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292316589y9difsppbo8ktxy/18q3z1292316651.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292316589y9difsppbo8ktxy/28q3z1292316651.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292316589y9difsppbo8ktxy/28q3z1292316651.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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