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Wisselkoers Autocorrelatie

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 09:46:02 +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/May/03/t1272880012pa2peardqtb07g6.htm/, Retrieved Mon, 03 May 2010 11:46:54 +0200

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/May/03/t1272880012pa2peardqtb07g6.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 «

0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227 1.4684 1.457 1.4718 1.4748 1.5527 1.575 1.5557 1.5553 1.577 1.4975 1.4369 1.3322 1.2732 1.3449 1.3239 1.2785 1.305 1.319 1.365 1.4016 1.4088 1.4268 1.4562 1.4816 1.4914 1.4614 1.4272

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	6 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.30053	2.9446	0.002028
2	-0.036911	-0.3617	0.359201
3	-0.00596	-0.0584	0.476779
4	0.082521	0.8085	0.210391
5	0.065748	0.6442	0.260491
6	-0.111266	-1.0902	0.139181
7	-0.275944	-2.7037	0.004056
8	-0.079231	-0.7763	0.219738
9	-0.026954	-0.2641	0.396138
10	-0.091408	-0.8956	0.186349
11	-0.051186	-0.5015	0.308578
12	-0.115336	-1.1301	0.130635
13	-0.084622	-0.8291	0.204545
14	0.097004	0.9504	0.172137
15	0.047183	0.4623	0.322458
16	-0.019846	-0.1944	0.423119
17	0.049917	0.4891	0.312949
18	0.062518	0.6125	0.270812
19	0.103593	1.015	0.15633
20	0.016904	0.1656	0.434402
21	-0.097521	-0.9555	0.170861
22	-0.037152	-0.364	0.358324
23	-0.021127	-0.207	0.418223
24	0.004296	0.0421	0.483255
25	-0.052618	-0.5155	0.303677
26	-0.058941	-0.5775	0.282477
27	-0.036999	-0.3625	0.35888
28	-0.042315	-0.4146	0.33968
29	-0.102291	-1.0022	0.159372
30	-0.064934	-0.6362	0.263072
31	0.063118	0.6184	0.268878
32	-0.040327	-0.3951	0.346815
33	-0.17491	-1.7138	0.0449
34	-0.031039	-0.3041	0.38085
35	0.112051	1.0979	0.137504
36	0.074938	0.7342	0.232296
37	-0.056706	-0.5556	0.289887
38	0.046787	0.4584	0.323844
39	0.136734	1.3397	0.091751
40	0.218672	2.1425	0.017339
41	0.059785	0.5858	0.279701
42	0.010251	0.1004	0.460105
43	0.002754	0.027	0.489263
44	-0.075529	-0.74	0.230543
45	0.039762	0.3896	0.348851
46	-0.021169	-0.2074	0.418062
47	-0.141712	-1.3885	0.084102
48	-0.083738	-0.8205	0.206993
49	0.029334	0.2874	0.387207
50	0.012568	0.1231	0.451128
51	-0.033288	-0.3262	0.372509
52	-0.044925	-0.4402	0.330401
53	0.123064	1.2058	0.115434
54	0.185516	1.8177	0.036116
55	0.054036	0.5294	0.298859
56	-0.053219	-0.5214	0.30163
57	-0.040761	-0.3994	0.345253
58	0.024577	0.2408	0.405111
59	0.024406	0.2391	0.405758
60	-0.01242	-0.1217	0.451699

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.30053	2.9446	0.002028
2	-0.139862	-1.3704	0.086886
3	0.054623	0.5352	0.296877
4	0.070105	0.6869	0.246907
5	0.018453	0.1808	0.428453
6	-0.141019	-1.3817	0.085136
7	-0.214649	-2.1031	0.019035
8	0.059862	0.5865	0.279448
9	-0.075354	-0.7383	0.231061
10	-0.061384	-0.6014	0.274484
11	0.042902	0.4203	0.337585
12	-0.129635	-1.2702	0.103549
13	-0.06486	-0.6355	0.263308
14	0.099286	0.9728	0.166548
15	-0.029334	-0.2874	0.387208
16	-0.037503	-0.3675	0.357045
17	0.065757	0.6443	0.260463
18	0.007516	0.0736	0.470726
19	0.012406	0.1216	0.451752
20	-0.049548	-0.4855	0.314225
21	-0.045009	-0.441	0.330105
22	-0.029408	-0.2881	0.386931
23	-0.054335	-0.5324	0.297849
24	0.075709	0.7418	0.230011
25	-0.081253	-0.7961	0.213966
26	0.016541	0.1621	0.435795
27	-0.013851	-0.1357	0.446166
28	-0.103636	-1.0154	0.156228
29	-0.087526	-0.8576	0.196631
30	-0.009596	-0.094	0.462643
31	0.096197	0.9425	0.174143
32	-0.158876	-1.5567	0.061421
33	-0.179644	-1.7601	0.040784
34	0.08098	0.7934	0.21474
35	0.023901	0.2342	0.407672
36	-0.060282	-0.5906	0.278075
37	-0.049204	-0.4821	0.315416
38	0.144803	1.4188	0.079601
39	-0.021458	-0.2102	0.416963
40	0.131012	1.2836	0.101178
41	-0.015053	-0.1475	0.441526
42	0.015175	0.1487	0.441056
43	-0.049514	-0.4851	0.314342
44	-0.10893	-1.0673	0.144257
45	0.146265	1.4331	0.077539
46	-0.11098	-1.0874	0.139797
47	0.022096	0.2165	0.41453
48	0.010614	0.104	0.458693
49	0.014939	0.1464	0.441969
50	-0.035823	-0.351	0.36318
51	-0.014061	-0.1378	0.445356
52	0.104806	1.0269	0.153527
53	0.078408	0.7682	0.222117
54	0.031406	0.3077	0.379484
55	-0.022752	-0.2229	0.412033
56	-0.052211	-0.5116	0.305065
57	-0.094256	-0.9235	0.179027
58	0.024802	0.243	0.404259
59	-0.034283	-0.3359	0.36884
60	0.057054	0.559	0.288727

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272880012pa2peardqtb07g6/1vzj11272879956.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272880012pa2peardqtb07g6/1vzj11272879956.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272880012pa2peardqtb07g6/268in1272879956.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272880012pa2peardqtb07g6/268in1272879956.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 (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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