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Autocorrelatiefunctie D=0

*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: Wed, 22 Dec 2010 14:29:22 +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/22/t12930282113kjy3ek02u9ef18.htm/, Retrieved Wed, 22 Dec 2010 15:30:12 +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/22/t12930282113kjy3ek02u9ef18.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 «

27951 29781 32914 33488 35652 36488 35387 35676 34844 32447 31068 29010 29812 30951 32974 32936 34012 32946 31948 30599 27691 25073 23406 22248 22896 25317 26558 26471 27543 26198 24725 25005 23462 20780 19815 19761 21454 23899 24939 23580 24562 24696 23785 23812 21917 19713 19282 18788 21453 24482 27474 27264 27349 30632 29429 30084 26290 24379 23335 21346 21106 24514 28353 30805 31348 34556 33855 34787 32529 29998 29257 28155 30466 35704 39327 39351 42234 43630 43722 43121 37985 37135 34646 33026 35087 38846 42013 43908 42868 44423 44167 43636 44382 42142 43452 36912 42413 45344 44873 47510 49554 47369 45998 48140 48441 44928 40454 38661 37246 36843 36424 37594 38144 38737 34560 36080 33508 35462 33374 32110 35533 35532 37903 36763 40399 44164 44496 43110 43880 43930 44327

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.24265	2.7666	0.003245
2	0.176144	2.0083	0.023339
3	0.005854	0.0667	0.473445
4	-0.15204	-1.7335	0.042686
5	-0.22627	-2.5799	0.005497
6	-0.359594	-4.1	3.6e-05
7	-0.222803	-2.5403	0.006125
8	-0.180104	-2.0535	0.021015
9	-0.050213	-0.5725	0.28398
10	0.095418	1.0879	0.139318
11	0.298982	3.4089	0.000434
12	0.458878	5.232	0
13	0.35256	4.0198	4.9e-05
14	0.06489	0.7399	0.230358
15	-0.011628	-0.1326	0.447366
16	-0.263833	-3.0082	0.001578
17	-0.287203	-3.2746	0.000678
18	-0.2964	-3.3795	0.00048
19	-0.261111	-2.9771	0.001736
20	-0.233519	-2.6625	0.004368
21	0.010742	0.1225	0.451356
22	0.019321	0.2203	0.412993
23	0.272234	3.1039	0.001172
24	0.402559	4.5899	5e-06
25	0.224599	2.5608	0.005793
26	0.225509	2.5712	0.00563
27	-0.021014	-0.2396	0.405508
28	-0.119168	-1.3587	0.088293
29	-0.232524	-2.6512	0.004509
30	-0.273971	-3.1238	0.001101
31	-0.209817	-2.3923	0.009088
32	-0.202615	-2.3102	0.011227
33	-0.122292	-1.3943	0.082796
34	0.061071	0.6963	0.243735
35	0.181363	2.0679	0.020318
36	0.337085	3.8434	9.4e-05
37	0.197887	2.2563	0.012862
38	0.131047	1.4942	0.068778
39	0.111635	1.2728	0.102674
40	-0.226808	-2.586	0.005405
41	-0.142794	-1.6281	0.052963
42	-0.289811	-3.3044	0.000615
43	-0.22725	-2.591	0.005331
44	-0.199701	-2.2769	0.012212
45	-0.13666	-1.5582	0.060813
46	0.059238	0.6754	0.250307
47	0.163519	1.8644	0.03226
48	0.296452	3.3801	0.000479
49	0.20641	2.3534	0.01005
50	0.185026	2.1096	0.018404
51	0.051947	0.5923	0.277342
52	-0.115805	-1.3204	0.094513
53	-0.17151	-1.9555	0.026334
54	-0.187605	-2.139	0.017151
55	-0.18959	-2.1617	0.016238
56	-0.156588	-1.7854	0.038266
57	-0.079396	-0.9053	0.183504
58	0.028076	0.3201	0.374696
59	0.146238	1.6674	0.048924
60	0.242356	2.7633	0.003277

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.24265	2.7666	0.003245
2	0.124601	1.4207	0.078903
3	-0.066698	-0.7605	0.224173
4	-0.175188	-1.9975	0.023932
5	-0.165528	-1.8873	0.030674
6	-0.264301	-3.0135	0.001553
7	-0.075495	-0.8608	0.195473
8	-0.083408	-0.951	0.171685
9	-0.03018	-0.3441	0.365661
10	0.038342	0.4372	0.33136
11	0.201985	2.303	0.011434
12	0.311312	3.5495	0.000269
13	0.18477	2.1067	0.018532
14	-0.16355	-1.8648	0.032235
15	-0.096196	-1.0968	0.137378
16	-0.235117	-2.6807	0.004149
17	-0.098794	-1.1264	0.13103
18	0.006112	0.0697	0.472273
19	0.017848	0.2035	0.41953
20	-0.141018	-1.6079	0.055147
21	0.105197	1.1994	0.116271
22	-0.152081	-1.734	0.042645
23	0.028621	0.3263	0.372351
24	0.102992	1.1743	0.121213
25	-0.098699	-1.1253	0.13126
26	0.106475	1.214	0.113474
27	0.092243	1.0517	0.147436
28	0.036679	0.4182	0.338242
29	0.083319	0.95	0.171942
30	-0.080437	-0.9171	0.180389
31	-0.051528	-0.5875	0.278942
32	-0.057331	-0.6537	0.257239
33	-0.189531	-2.161	0.016265
34	-0.028626	-0.3264	0.37233
35	0.025652	0.2925	0.385195
36	-0.004466	-0.0509	0.479733
37	-0.009567	-0.1091	0.456651
38	-0.10506	-1.1979	0.116574
39	0.033331	0.38	0.352271
40	-0.169658	-1.9344	0.027618
41	0.036526	0.4165	0.338882
42	-0.076584	-0.8732	0.192084
43	0.049775	0.5675	0.28567
44	-0.006356	-0.0725	0.471172
45	0.008519	0.0971	0.461386
46	0.054817	0.625	0.26653
47	-0.064557	-0.7361	0.231509
48	0.01555	0.1773	0.429777
49	-0.094247	-1.0746	0.142277
50	-0.042752	-0.4874	0.313381
51	-0.007989	-0.0911	0.463779
52	-0.099132	-1.1303	0.130221
53	-0.001505	-0.0172	0.493169
54	0.012616	0.1438	0.442921
55	0.032415	0.3696	0.356145
56	0.015384	0.1754	0.430519
57	-0.012096	-0.1379	0.445258
58	-0.089195	-1.017	0.155527
59	-0.024117	-0.275	0.391887
60	-0.09036	-1.0303	0.152401

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930282113kjy3ek02u9ef18/1ihmz1293028158.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930282113kjy3ek02u9ef18/1ihmz1293028158.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930282113kjy3ek02u9ef18/2ihmz1293028158.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930282113kjy3ek02u9ef18/2ihmz1293028158.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930282113kjy3ek02u9ef18/3t8321293028158.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930282113kjy3ek02u9ef18/3t8321293028158.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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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