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Autocorrelation consumptieprijs van rundsvlees in Denemarken

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 29 Dec 2010 10:16:21 +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/29/t1293617681wq4z30q8z61qmam.htm/, Retrieved Wed, 29 Dec 2010 11:14:42 +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/29/t1293617681wq4z30q8z61qmam.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

98.4 96.5 97.4 99.2 100.8 101.8 102.7 100 100.8 101.7 99 101.7 100.2 101.2 99.5 100.8 100.7 99.5 99.4 101.1 97.2 98.1 97.8 95.5 96.3 93.6 96.7 95.1 97.7 96.5 98.1 97.3 97 93.7 95.6 94.6 95.1 94.5 93.6 92.1 95.9 98.1 98.2 96.2 94.1 95 93.4 95.4 93.5 94.5 94.3 95.7 98.4 99.4 99.2 99 99.4 99.3 98.6 98.7 96 98.7 100.1 100 101.5 101.5 103.8 104.1 101 104.9 104.4 105.6 103.4 101.7 103.5 101.2 105.4 105.4 108.6 110.6 110.2 106.2 108.6 107.5 106.9 108.4 109.9 108.6 106.5 105.7 105.6 104.2 105.1 102.7 108.3 104.2 105.4 104.6 106.4 111 111.7 113.8 115.9 117.3 113.6 113.6 114.6 113.2 112.8 109.6 111.1 109.7 113 111 113.3 111.8 107.2 106.4 110 108.2

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	0.939306	10.2896	0
2	0.908831	9.9557	0
3	0.86524	9.4782	0
4	0.837822	9.1779	0
5	0.803508	8.802	0
6	0.772667	8.4641	0
7	0.751486	8.2321	0
8	0.723539	7.926	0
9	0.700635	7.6751	0
10	0.678182	7.4291	0
11	0.660265	7.2328	0
12	0.644517	7.0603	0
13	0.618506	6.7754	0
14	0.582686	6.383	0
15	0.557245	6.1043	0
16	0.528237	5.7865	0
17	0.486458	5.3289	0
18	0.45489	4.9831	1e-06
19	0.430511	4.716	3e-06
20	0.420478	4.6061	5e-06
21	0.405205	4.4388	1e-05
22	0.39031	4.2756	1.9e-05
23	0.384986	4.2173	2.4e-05
24	0.365034	3.9988	5.5e-05
25	0.340264	3.7274	0.000148
26	0.299156	3.2771	0.000686
27	0.273047	2.9911	0.001687
28	0.242902	2.6609	0.00443
29	0.216829	2.3752	0.009561
30	0.186419	2.0421	0.021666
31	0.161123	1.765	0.040052
32	0.146612	1.6061	0.055445
33	0.123307	1.3508	0.089657
34	0.096699	1.0593	0.145799
35	0.079062	0.8661	0.194087
36	0.058128	0.6368	0.262748
37	0.022173	0.2429	0.404252
38	-0.014655	-0.1605	0.436363
39	-0.054019	-0.5917	0.277566
40	-0.092397	-1.0122	0.156749
41	-0.121212	-1.3278	0.09338
42	-0.143135	-1.568	0.059762
43	-0.157892	-1.7296	0.043135
44	-0.17502	-1.9172	0.028792
45	-0.185326	-2.0301	0.022277
46	-0.202414	-2.2173	0.014242
47	-0.211645	-2.3185	0.011059
48	-0.220271	-2.4129	0.008669

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.939306	10.2896	0
2	0.225444	2.4696	0.007466
3	-0.069242	-0.7585	0.224816
4	0.082557	0.9044	0.183807
5	-0.015569	-0.1705	0.432434
6	-0.016414	-0.1798	0.428803
7	0.093086	1.0197	0.154961
8	-0.037321	-0.4088	0.341697
9	0.003003	0.0329	0.486908
10	0.031348	0.3434	0.365948
11	0.02004	0.2195	0.413307
12	0.035302	0.3867	0.349827
13	-0.081599	-0.8939	0.18659
14	-0.146653	-1.6065	0.055396
15	0.050789	0.5564	0.289497
16	-0.017031	-0.1866	0.426157
17	-0.170781	-1.8708	0.031904
18	0.040219	0.4406	0.330156
19	0.068748	0.7531	0.226433
20	0.107947	1.1825	0.119673
21	0.037611	0.412	0.340533
22	-0.046441	-0.5087	0.305934
23	0.081703	0.895	0.186285
24	-0.08954	-0.9809	0.164317
25	-0.129912	-1.4231	0.078649
26	-0.140769	-1.542	0.062848
27	0.01519	0.1664	0.434062
28	-0.00989	-0.1083	0.456952
29	0.043637	0.478	0.316753
30	-0.021269	-0.233	0.408083
31	-0.035093	-0.3844	0.350672
32	0.086101	0.9432	0.173741
33	-0.05905	-0.6469	0.259479
34	-0.131049	-1.4356	0.076863
35	0.016137	0.1768	0.429993
36	-0.069423	-0.7605	0.224228
37	-0.127758	-1.3995	0.082119
38	-0.014677	-0.1608	0.43627
39	-0.081147	-0.8889	0.187912
40	-0.039048	-0.4278	0.334798
41	0.143735	1.5745	0.058998
42	0.077461	0.8485	0.198913
43	-0.002128	-0.0233	0.490722
44	-0.060414	-0.6618	0.254682
45	-0.023629	-0.2588	0.398102
46	-0.009183	-0.1006	0.460021
47	-0.004543	-0.0498	0.480195
48	-0.042576	-0.4664	0.32089

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293617681wq4z30q8z61qmam/1e5et1293617777.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293617681wq4z30q8z61qmam/1e5et1293617777.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293617681wq4z30q8z61qmam/27xde1293617777.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293617681wq4z30q8z61qmam/27xde1293617777.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293617681wq4z30q8z61qmam/37xde1293617777.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293617681wq4z30q8z61qmam/37xde1293617777.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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