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autocorrelatie functie 2

*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, 18 Dec 2010 19:36:44 +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/18/t1292700907g4b2len1ygfbqp3.htm/, Retrieved Sat, 18 Dec 2010 20:35:07 +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/18/t1292700907g4b2len1ygfbqp3.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 «

101.76 102.37 102.38 102.86 102.87 102.92 102.95 103.02 104.08 104.16 104.24 104.33 104.73 104.86 105.03 105.62 105.63 105.63 105.94 106.61 107.69 107.78 107.93 108.48 108.14 108.48 108.48 108.89 108.93 109.21 109.47 109.80 111.73 111.85 112.12 112.15 112.17 112.67 112.80 113.44 113.53 114.53 114.51 115.05 116.67 117.07 116.92 117.00 117.02 117.35 117.36 117.82 117.88 118.24 118.50 118.80 119.76 120.09 120.16

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	-0.085445	-0.6507	0.258896
2	-0.055124	-0.4198	0.338088
3	-0.067202	-0.5118	0.305369
4	-0.143598	-1.0936	0.139323
5	0.073197	0.5575	0.289681
6	-0.223987	-1.7058	0.046695
7	0.156883	1.1948	0.118517
8	-0.226304	-1.7235	0.045064
9	0.010539	0.0803	0.468153
10	-0.087472	-0.6662	0.253972
11	0.006037	0.046	0.481743
12	0.619986	4.7217	8e-06
13	-0.017474	-0.1331	0.447295
14	-0.094923	-0.7229	0.236318
15	-0.113106	-0.8614	0.196285
16	-0.199135	-1.5166	0.067404
17	0.065014	0.4951	0.311189
18	-0.0974	-0.7418	0.230607
19	0.08019	0.6107	0.27189
20	-0.112186	-0.8544	0.198204
21	0.007758	0.0591	0.476544
22	0.034964	0.2663	0.395485
23	-0.100045	-0.7619	0.224597
24	0.420514	3.2025	0.001106
25	-0.012932	-0.0985	0.460944
26	-0.043874	-0.3341	0.369742
27	-0.179168	-1.3645	0.08884
28	-0.138859	-1.0575	0.14733
29	0.119416	0.9094	0.183439
30	-0.109672	-0.8352	0.203507
31	0.077923	0.5934	0.277595
32	-0.07245	-0.5518	0.291614
33	0.048361	0.3683	0.356993
34	-0.062528	-0.4762	0.317861
35	-0.067196	-0.5117	0.305385
36	0.196451	1.4961	0.070021
37	-0.014363	-0.1094	0.456636
38	-0.049516	-0.3771	0.353737
39	-0.10005	-0.762	0.224587
40	-0.031669	-0.2412	0.405132
41	0.06999	0.533	0.298027
42	-0.027577	-0.21	0.417193
43	0.051297	0.3907	0.348739
44	0.018416	0.1403	0.444473
45	-0.00645	-0.0491	0.480496
46	-0.00751	-0.0572	0.477295
47	-0.024018	-0.1829	0.42775
48	0.078819	0.6003	0.275333

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.085445	-0.6507	0.258896
2	-0.062884	-0.4789	0.316903
3	-0.078462	-0.5975	0.276234
4	-0.163426	-1.2446	0.10914
5	0.034483	0.2626	0.396889
6	-0.250888	-1.9107	0.030495
7	0.106137	0.8083	0.211105
8	-0.296253	-2.2562	0.013922
9	-0.014792	-0.1127	0.455347
10	-0.266325	-2.0283	0.023567
11	0.022809	0.1737	0.431351
12	0.518674	3.9501	0.000107
13	0.177019	1.3481	0.091428
14	-0.167202	-1.2734	0.103983
15	0.007362	0.0561	0.477741
16	-0.324624	-2.4723	0.00819
17	0.095134	0.7245	0.23583
18	0.037011	0.2819	0.389525
19	-0.038914	-0.2964	0.384006
20	0.053778	0.4096	0.341818
21	0.049933	0.3803	0.352565
22	0.047653	0.3629	0.358993
23	-0.10757	-0.8192	0.208004
24	-0.154429	-1.1761	0.122181
25	-0.02795	-0.2129	0.416092
26	0.085987	0.6549	0.257575
27	-0.068872	-0.5245	0.300961
28	0.165196	1.2581	0.1067
29	0.021825	0.1662	0.434284
30	-0.089615	-0.6825	0.248825
31	-0.087152	-0.6637	0.254748
32	-0.047083	-0.3586	0.360609
33	-0.083029	-0.6323	0.264828
34	-0.090875	-0.6921	0.245822
35	-0.024117	-0.1837	0.427456
36	-0.079114	-0.6025	0.27459
37	-0.057368	-0.4369	0.331903
38	-0.085144	-0.6484	0.25963
39	0.048253	0.3675	0.357299
40	0.050186	0.3822	0.351854
41	-0.048366	-0.3683	0.356978
42	-0.012383	-0.0943	0.462595
43	-0.014059	-0.1071	0.457551
44	-0.019085	-0.1454	0.442469
45	0.039253	0.2989	0.383027
46	0.022991	0.1751	0.430807
47	0.121283	0.9237	0.179743
48	0.048115	0.3664	0.357688

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292700907g4b2len1ygfbqp3/1jvt11292701000.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292700907g4b2len1ygfbqp3/1jvt11292701000.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292700907g4b2len1ygfbqp3/2jvt11292701000.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292700907g4b2len1ygfbqp3/2jvt11292701000.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = Include Monthly Dummies ; par3 = Linear Trend ;

Parameters (R input):

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