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Faillissementen Brussel

*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 10:50:13 +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/t1292323736mm62r62w83kvbo1.htm/, Retrieved Tue, 14 Dec 2010 11:48:58 +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/t1292323736mm62r62w83kvbo1.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 «

89 97 154 81 110 116 73 73 174 103 130 91 136 106 136 122 131 135 75 68 143 115 93 128 152 125 107 116 220 137 34 51 153 145 116 145 98 118 139 140 113 149 79 47 166 180 122 134 114 125 181 142 143 187 137 62 239 157 139 187 99 146 175 148 130 183 115 80 223 131 201 157

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.106977	-0.8286	0.205297
2	-0.176109	-1.3641	0.088811
3	0.083821	0.6493	0.25932
4	0.171013	1.3247	0.095153
5	0.041602	0.3222	0.374194
6	0.012613	0.0977	0.461248
7	-0.025442	-0.1971	0.422219
8	-0.140043	-1.0848	0.141181
9	0.034171	0.2647	0.39608
10	-0.002047	-0.0159	0.493702
11	0.172273	1.3344	0.093555
12	-0.268097	-2.0767	0.021061
13	-0.112963	-0.875	0.192529
14	0.039608	0.3068	0.380029
15	-0.166949	-1.2932	0.100452
16	-0.060893	-0.4717	0.319434
17	0.10421	0.8072	0.211367
18	-0.014764	-0.1144	0.454667
19	-0.206993	-1.6034	0.057053
20	0.05519	0.4275	0.335273
21	0.030741	0.2381	0.406301
22	0.064431	0.4991	0.309775
23	-0.125236	-0.9701	0.167953
24	-0.082733	-0.6408	0.262031
25	-0.01488	-0.1153	0.454311
26	0.120024	0.9297	0.178125
27	-0.015339	-0.1188	0.452909
28	0.019929	0.1544	0.43892
29	0.012433	0.0963	0.4618
30	-0.097308	-0.7537	0.226976
31	0.114753	0.8889	0.188811
32	-0.050933	-0.3945	0.347295
33	0.038646	0.2994	0.382854
34	-0.129912	-1.0063	0.159158
35	0.069613	0.5392	0.295865
36	-0.041359	-0.3204	0.374902
37	-0.005804	-0.045	0.482145
38	0.053266	0.4126	0.340686
39	0.007974	0.0618	0.475478
40	-0.025289	-0.1959	0.42268
41	0.002214	0.0171	0.493188
42	0.109012	0.8444	0.200899
43	-0.019692	-0.1525	0.439638
44	0.066059	0.5117	0.305373
45	-0.029998	-0.2324	0.408524
46	0.04557	0.353	0.36267
47	0.055695	0.4314	0.333857
48	-0.05851	-0.4532	0.326014

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.106977	-0.8286	0.205297
2	-0.189724	-1.4696	0.073448
3	0.043139	0.3342	0.369713
4	0.161023	1.2473	0.108571
5	0.112582	0.8721	0.193327
6	0.090142	0.6982	0.243863
7	-0.013963	-0.1082	0.457117
8	-0.191576	-1.4839	0.07153
9	-0.067019	-0.5191	0.30279
10	-0.085418	-0.6616	0.255366
11	0.225505	1.7468	0.042899
12	-0.175634	-1.3605	0.089388
13	-0.085936	-0.6657	0.254091
14	-0.103976	-0.8054	0.211886
15	-0.301039	-2.3318	0.011542
16	-0.09975	-0.7727	0.221378
17	0.130669	1.0122	0.157764
18	0.156835	1.2148	0.114594
19	0.000202	0.0016	0.499378
20	-0.061896	-0.4794	0.316683
21	-0.142475	-1.1036	0.137085
22	-0.06822	-0.5284	0.299574
23	-0.080153	-0.6209	0.26852
24	-0.043514	-0.3371	0.368626
25	-0.062194	-0.4818	0.315867
26	0.160748	1.2451	0.108959
27	-0.115245	-0.8927	0.187797
28	-0.055577	-0.4305	0.334187
29	-0.016391	-0.127	0.449696
30	-0.117597	-0.9109	0.182995
31	-0.004091	-0.0317	0.487413
32	-0.096232	-0.7454	0.229467
33	0.067653	0.524	0.30109
34	-0.156373	-1.2113	0.115272
35	0.004642	0.036	0.485719
36	-0.13001	-1.0071	0.158976
37	-0.156783	-1.2144	0.114669
38	0.028913	0.224	0.411775
39	-0.02873	-0.2225	0.412323
40	-0.033243	-0.2575	0.398838
41	0.201982	1.5645	0.061474
42	-0.001132	-0.0088	0.496515
43	-0.014212	-0.1101	0.456356
44	-0.062577	-0.4847	0.314821
45	-0.084333	-0.6532	0.258049
46	-0.08734	-0.6765	0.250652
47	0.038419	0.2976	0.383521
48	-0.059975	-0.4646	0.321962

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323736mm62r62w83kvbo1/1x2kk1292323810.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323736mm62r62w83kvbo1/1x2kk1292323810.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323736mm62r62w83kvbo1/2x2kk1292323810.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323736mm62r62w83kvbo1/2x2kk1292323810.ps (open in new window)

Parameters (Session):

par1 = 12 ;

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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