autocorrelatiefunctie 3

*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 20:27:56 +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/t1292703969xe1jonrl7j0a3pg.htm/, Retrieved Sat, 18 Dec 2010 21:26:10 +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/t1292703969xe1jonrl7j0a3pg.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 1 seconds R Server 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.244989 -1.6616 0.051697 2 0.108788 0.7378 0.232181 3 -0.002915 -0.0198 0.492155 4 0.299192 2.0292 0.024123 5 -0.130581 -0.8856 0.190208 6 -0.174063 -1.1805 0.121925 7 0.244183 1.6561 0.052251 8 -0.289147 -1.9611 0.027969 9 0.27879 1.8908 0.032476 10 -0.249154 -1.6898 0.048912 11 0.290918 1.9731 0.027255 12 -0.325782 -2.2096 0.016076 13 0.155527 1.0548 0.148505 14 -0.054854 -0.372 0.355787 15 -0.09653 -0.6547 0.257962 16 -0.068915 -0.4674 0.321208 17 -0.174103 -1.1808 0.12187 18 0.266638 1.8084 0.03854 19 -0.202434 -1.373 0.088208 20 0.090026 0.6106 0.272239 21 -0.130109 -0.8824 0.191063 22 0.321991 2.1839 0.017055 23 -0.133933 -0.9084 0.184206 24 -0.12955 -0.8786 0.192079 25 0.049012 0.3324 0.370542 26 0.062246 0.4222 0.337432 27 -0.045886 -0.3112 0.378523 28 -0.141418 -0.9591 0.17125 29 0.175651 1.1913 0.119819 30 -0.125456 -0.8509 0.199621 31 0.025363 0.172 0.432089 32 0.003312 0.0225 0.491088 33 -0.01504 -0.102 0.459596 34 -0.128445 -0.8712 0.194097 35 0.00737 0.05 0.480176 36 0.003141 0.0213 0.491548 37 -0.08717 -0.5912 0.278636 38 -0.038103 -0.2584 0.398614 39 0.017884 0.1213 0.451993 40 0.077661 0.5267 0.30046 41 -0.049247 -0.334 0.369945 42 0.0015 0.0102 0.495964 43 0.065312 0.443 0.329933 44 0.013657 0.0926 0.463302 45 -0.020336 -0.1379 0.44545 46 NA NA NA 47 NA NA NA 48 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.244989 -1.6616 0.051697 2 0.051882 0.3519 0.363268 3 0.037404 0.2537 0.400434 4 0.321623 2.1814 0.017153 5 0.011611 0.0787 0.468788 6 -0.298783 -2.0264 0.02427 7 0.144126 0.9775 0.166715 8 -0.310025 -2.1027 0.020497 9 0.316289 2.1452 0.018626 10 -0.043682 -0.2963 0.384181 11 0.136325 0.9246 0.18 12 -0.202864 -1.3759 0.087759 13 -0.114974 -0.7798 0.219753 14 -0.030233 -0.2051 0.419218 15 -0.064824 -0.4397 0.331122 16 -0.101533 -0.6886 0.247258 17 -0.043311 -0.2937 0.385136 18 0.062837 0.4262 0.335983 19 0.22195 1.5053 0.069536 20 -0.180073 -1.2213 0.114094 21 0.079104 0.5365 0.297096 22 0.049789 0.3377 0.368568 23 0.001225 0.0083 0.496702 24 -0.196907 -1.3355 0.094144 25 -0.076601 -0.5195 0.302941 26 0.143394 0.9725 0.167933 27 -0.042787 -0.2902 0.386486 28 0.063402 0.43 0.334596 29 -0.055473 -0.3762 0.354236 30 -0.115316 -0.7821 0.219078 31 -0.055718 -0.3779 0.353623 32 -0.058126 -0.3942 0.347616 33 -0.060332 -0.4092 0.342149 34 0.049606 0.3364 0.369033 35 -0.024528 -0.1664 0.434301 36 -0.092876 -0.6299 0.265934 37 0.003796 0.0257 0.489787 38 0.042414 0.2877 0.387448 39 -0.051957 -0.3524 0.363077 40 0.048663 0.33 0.371431 41 -0.106706 -0.7237 0.236452 42 0.081196 0.5507 0.292253 43 0.067709 0.4592 0.324118 44 -0.125701 -0.8525 0.199165 45 0.08028 0.5445 0.294368 46 NA NA NA 47 NA NA NA 48 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292703969xe1jonrl7j0a3pg/10yhk1292704072.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/18/t1292703969xe1jonrl7j0a3pg/10yhk1292704072.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/18/t1292703969xe1jonrl7j0a3pg/20yhk1292704072.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/18/t1292703969xe1jonrl7j0a3pg/20yhk1292704072.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 = 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')

Copyright

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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