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Aantal openstaande VDAB-vacatures: ACF

*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: Thu, 16 Dec 2010 10:32:45 +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/16/t12924955054eagrigo5va9xng.htm/, Retrieved Thu, 16 Dec 2010 11:31:45 +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/16/t12924955054eagrigo5va9xng.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 «

27.951 29.781 32.914 33.488 35.652 36.488 35.387 35.676 34.844 32.447 31.068 29.010 29.812 30.951 32.974 32.936 34.012 32.946 31.948 30.599 27.691 25.073 23.406 22.248 22.896 25.317 26.558 26.471 27.543 26.198 24.725 25.005 23.462 20.780 19.815 19.761 21.454 23.899 24.939 23.580 24.562 24.696 23.785 23.812 21.917 19.713 19.282 18.788 21.453 24.482 27.474 27.264 27.349 30.632 29.429 30.084 26.290 24.379 23.335 21.346 21.106 24.514 28.353 30.805 31.348 34.556 33.855 34.787 32.529 29.998 29.257 28.155 30.466 35.704 39.327 39.351 42.234 43.630 43.722 43.121 37.985 37.135 34.646 33.026 35.087 38.846 42.013 43.908 42.868 44.423 44.167 43.636 44.382 42.142 43.452 36.912 42.413 45.344 44.873 47.510 49.554 47.369 45.998 48.140 48.441 44.928 40.454 38.661 37.246 36.843 36.424 37.594 38.144 38.737 34.560 36.080 33.508 35.462 33.374 32.110 35.533 35.532 37.903 36.763 40.399 44.164 44.496 43.110 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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.209778	-2.2788	0.01224
2	0.187397	2.0357	0.022012
3	0.042731	0.4642	0.321687
4	0.155267	1.6866	0.047158
5	0.010591	0.115	0.454301
6	-0.010445	-0.1135	0.454928
7	0.064042	0.6957	0.244001
8	0.074083	0.8047	0.211293
9	-0.141825	-1.5406	0.063044
10	0.025532	0.2773	0.391
11	0.085569	0.9295	0.177258
12	-0.400937	-4.3553	1.4e-05
13	0.24352	2.6453	0.004637
14	-0.250189	-2.7178	0.003782
15	0.058309	0.6334	0.263849
16	-0.216953	-2.3567	0.010043
17	-0.063648	-0.6914	0.245339
18	0.033903	0.3683	0.356663
19	-0.030663	-0.3331	0.369829
20	-0.079811	-0.867	0.193858
21	0.187524	2.037	0.021942
22	-0.151613	-1.6469	0.051116
23	0.079183	0.8601	0.195726
24	-0.026099	-0.2835	0.388642
25	-0.068028	-0.739	0.230694
26	0.207326	2.2521	0.013082
27	-0.134602	-1.4622	0.073178
28	0.153391	1.6663	0.049158
29	-0.041542	-0.4513	0.326314
30	0.027775	0.3017	0.3817
31	0.018478	0.2007	0.420629
32	0.000848	0.0092	0.496335
33	-0.102036	-1.1084	0.134972
34	0.041829	0.4544	0.325196
35	-0.115475	-1.2544	0.106092
36	-0.025375	-0.2756	0.391654
37	-0.03766	-0.4091	0.341608
38	-0.122046	-1.3258	0.09374
39	0.118086	1.2827	0.101049
40	-0.144107	-1.5654	0.060083
41	0.112981	1.2273	0.111079
42	-0.086236	-0.9368	0.175396
43	-0.052395	-0.5692	0.285166
44	-0.014902	-0.1619	0.435838
45	-0.044049	-0.4785	0.316593
46	0.009095	0.0988	0.460734
47	-0.025743	-0.2796	0.39012
48	-0.028834	-0.3132	0.377335

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.209778	-2.2788	0.01224
2	0.149991	1.6293	0.052956
3	0.115156	1.2509	0.106721
4	0.168991	1.8357	0.034459
5	0.050909	0.553	0.290652
6	-0.064887	-0.7049	0.241144
7	0.00943	0.1024	0.459291
8	0.080132	0.8705	0.19291
9	-0.140404	-1.5252	0.064945
10	-0.063747	-0.6925	0.245
11	0.112751	1.2248	0.111546
12	-0.415301	-4.5113	8e-06
13	0.159044	1.7277	0.043333
14	-0.087707	-0.9527	0.171335
15	-0.063559	-0.6904	0.245642
16	-0.054673	-0.5939	0.276859
17	-0.143307	-1.5567	0.061109
18	0.053693	0.5833	0.280419
19	0.138001	1.4991	0.068263
20	0.002412	0.0262	0.489569
21	0.141867	1.5411	0.062989
22	-0.053909	-0.5856	0.27963
23	0.004274	0.0464	0.481524
24	-0.138165	-1.5009	0.068031
25	-0.013914	-0.1511	0.440059
26	0.090942	0.9879	0.162616
27	-0.018096	-0.1966	0.42225
28	-0.008855	-0.0962	0.461766
29	-0.08057	-0.8752	0.191618
30	0.035499	0.3856	0.350238
31	-0.010837	-0.1177	0.453244
32	-0.050831	-0.5522	0.29094
33	-0.044366	-0.4819	0.315372
34	-0.174435	-1.8948	0.03028
35	0.090076	0.9785	0.164922
36	-0.187334	-2.035	0.022047
37	0.071882	0.7808	0.218232
38	0.017715	0.1924	0.423865
39	-0.020257	-0.22	0.413108
40	0.054191	0.5887	0.278605
41	0.026966	0.2929	0.385048
42	0.021704	0.2358	0.407013
43	-0.062857	-0.6828	0.248035
44	-0.069781	-0.758	0.224975
45	-0.106003	-1.1515	0.125931
46	-0.006455	-0.0701	0.472111
47	-0.049793	-0.5409	0.294803
48	-0.135105	-1.4676	0.072434

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/16/t12924955054eagrigo5va9xng/1nnzr1292495561.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/16/t12924955054eagrigo5va9xng/1nnzr1292495561.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/16/t12924955054eagrigo5va9xng/2ywgd1292495561.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/16/t12924955054eagrigo5va9xng/2ywgd1292495561.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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