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Autocorrelatie - Wijnverkoop - Leen Verlaet

*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 15:05:48 +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/t12728991865n0cvyct6j4k8zb.htm/, Retrieved Mon, 03 May 2010 17:06:29 +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/t12728991865n0cvyct6j4k8zb.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 «

112 118 129 99 116 168 118 129 205 147 150 267 126 129 124 97 102 127 222 214 118 141 154 226 89 77 82 97 127 121 117 117 106 112 134 169 75 108 115 85 101 108 109 124 105 95 135 164 88 85 112 87 91 87 87 142 95 108 139 159 61 82 124 93 108 75 87 103 90 108 123 129 57 65 67 71 76 67 110 118 99 85 107 141 58 65 70 86 93 74 87 73 101 100 96 157 63 115 70 66 67 83 79 77 102 116 100 135 71 60 89 74 73 91 86 74 87 87 109 137 43 69 73 77 69 76 78 70 83 65 110 132 54 55 66 65 60 65 96 55 71 63 74 106 34 47 56 53 53 55 67 52 46 51 58 91 33 40 46 45 41 55 57 54 46 52 48 77 30 35 42 48 44 45 46

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.569774	7.5374	0
2	0.449577	5.9473	0
3	0.503414	6.6595	0
4	0.45714	6.0474	0
5	0.434181	5.7437	0
6	0.371103	4.9092	1e-06
7	0.402486	5.3244	0
8	0.420869	5.5676	0
9	0.433102	5.7294	0
10	0.412602	5.4582	0
11	0.445608	5.8948	0
12	0.644034	8.5198	0
13	0.382213	5.0562	1e-06
14	0.319013	4.2201	2e-05
15	0.336254	4.4482	8e-06
16	0.303636	4.0167	4.4e-05
17	0.29029	3.8402	8.6e-05
18	0.234904	3.1075	0.001101
19	0.2254	2.9818	0.001637
20	0.235314	3.1129	0.001082
21	0.250262	3.3107	0.000565
22	0.205061	2.7127	0.00367
23	0.262733	3.4756	0.000321
24	0.452229	5.9824	0
25	0.231039	3.0564	0.001296
26	0.190065	2.5143	0.006414
27	0.221087	2.9247	0.001952
28	0.185526	2.4543	0.007548
29	0.160703	2.1259	0.017457
30	0.106622	1.4105	0.080088
31	0.101313	1.3403	0.090951
32	0.131808	1.7437	0.041487
33	0.161422	2.1354	0.017059
34	0.113635	1.5033	0.067288
35	0.180958	2.3939	0.008865
36	0.342812	4.535	5e-06
37	0.147029	1.945	0.026688
38	0.104171	1.378	0.084974
39	0.135954	1.7985	0.036911
40	0.120208	1.5902	0.056796
41	0.077643	1.0271	0.152892
42	0.026719	0.3535	0.362085
43	0.042828	0.5666	0.285868
44	0.06326	0.8369	0.201908
45	0.091488	1.2103	0.113903
46	0.071054	0.94	0.174269
47	0.107362	1.4203	0.078655
48	0.247631	3.2759	0.000635

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.569774	7.5374	0
2	0.18499	2.4472	0.007693
3	0.290137	3.8382	8.6e-05
4	0.104597	1.3837	0.084107
5	0.113285	1.4986	0.067887
6	-0.018401	-0.2434	0.403983
7	0.119669	1.5831	0.057606
8	0.08962	1.1856	0.118703
9	0.135356	1.7906	0.037544
10	0.044966	0.5949	0.276356
11	0.131674	1.7419	0.041643
12	0.412268	5.4538	0
13	-0.294085	-3.8904	7.1e-05
14	-0.047773	-0.632	0.264114
15	-0.16802	-2.2227	0.013759
16	-0.019871	-0.2629	0.396481
17	-0.059459	-0.7866	0.2163
18	-0.014617	-0.1934	0.42345
19	-0.105433	-1.3947	0.08243
20	-0.044634	-0.5905	0.277823
21	-0.018081	-0.2392	0.405617
22	-0.098117	-1.298	0.098003
23	0.125346	1.6582	0.049537
24	0.235824	3.1197	0.001059
25	-0.036781	-0.4866	0.313585
26	0.024097	0.3188	0.375139
27	-0.001902	-0.0252	0.489975
28	-0.0265	-0.3506	0.363168
29	-0.040154	-0.5312	0.297981
30	-0.014039	-0.1857	0.426441
31	-0.021334	-0.2822	0.389055
32	0.032233	0.4264	0.33517
33	0.03642	0.4818	0.31528
34	-0.061704	-0.8163	0.20773
35	0.048414	0.6405	0.261357
36	0.080252	1.0616	0.144932
37	-0.04526	-0.5987	0.275064
38	-0.04191	-0.5544	0.290002
39	-0.005078	-0.0672	0.47326
40	0.009878	0.1307	0.448091
41	-0.07616	-1.0075	0.157542
42	-0.027574	-0.3648	0.357861
43	0.008982	0.1188	0.452777
44	-0.020689	-0.2737	0.392323
45	0.020191	0.2671	0.394851
46	0.059927	0.7928	0.214495
47	-0.029915	-0.3957	0.346388
48	0.069964	0.9255	0.17798

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t12728991865n0cvyct6j4k8zb/14w061272899147.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12728991865n0cvyct6j4k8zb/14w061272899147.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12728991865n0cvyct6j4k8zb/24w061272899147.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t12728991865n0cvyct6j4k8zb/24w061272899147.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 (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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