Home » date » 2010 » May » 27 »

Autocorrelatie wisselkoers dollar/euro

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 27 May 2010 13:12:15 +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/27/t1274965967rxejs813c28rwj4.htm/, Retrieved Thu, 27 May 2010 15:12:47 +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/27/t1274965967rxejs813c28rwj4.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 «

1.1591 1.1203 1.0886 1.0701 1.0630 1.0377 1.0370 1.0605 1.0497 1.0706 1.0328 1.0110 1.0131 0.9834 0.9643 0.9449 0.9059 0.9505 0.9386 0.9045 0.8695 0.8525 0.8552 0.8983 0.9376 0.9205 0.9083 0.8925 0.8753 0.8530 0.8615 0.9014 0.9114 0.9050 0.8883 0.8912 0.8832 0.8707 0.8766 0.8860 0.9170 0.9561 0.9935 0.9781 0.9806 0.9812 1.0013 1.0194 1.0622 1.0785 1.0797 1.0862 1.1556 1.1674 1.1365 1.1155 1.1267 1.1714 1.1710 1.2298 1.2638 1.2640 1.2261 1.1989 1.2000 1.2146 1.2266 1.2191 1.2224 1.2507 1.2997 1.3406 1.3123 1.3013 1.3185 1.2943 1.2697 1.2155 1.2041 1.2295 1.2234 1.2022 1.1789 1.1861 1.2126 1.1940 1.2028 1.2273 1.2767 1.2661 1.2681 1.2810 1.2722 1.2617 1.2888 1.3205 1.2993 1.3080 1.3246 1.3513 1.3518 1.3421 1.3726 1.3626 1.3910 1.4233 1.4683 1.4559 1.4728 1.4759 1.5520 1.5754 1.5554 1.5562 1.5759 1.4955 1.4342 1.3266 1.2744 1.3511 1.3244 1.2797 1.3050 1.3199 1.3646 1.4014 1.4092 1.4266 etc...

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.305833	3.5004	0.000318
2	-0.015411	-0.1764	0.430133
3	0.008071	0.0924	0.463268
4	0.056984	0.6522	0.257704
5	0.084135	0.963	0.168668
6	-0.055647	-0.6369	0.262646
7	-0.174327	-1.9953	0.024044
8	0.010967	0.1255	0.450152
9	0.042239	0.4835	0.314791
10	-0.024925	-0.2853	0.38794
11	-0.04009	-0.4589	0.323551
12	-0.130756	-1.4966	0.068455
13	-0.054915	-0.6285	0.265375
14	0.093426	1.0693	0.143449
15	0.039129	0.4479	0.3275
16	-0.009768	-0.1118	0.455579
17	0.082999	0.95	0.17194
18	0.107913	1.2351	0.109497
19	0.085632	0.9801	0.16442
20	-0.022343	-0.2557	0.39928
21	-0.095062	-1.088	0.139288
22	-0.0339	-0.388	0.349322
23	-0.034704	-0.3972	0.345931
24	0.044968	0.5147	0.303819
25	-0.027539	-0.3152	0.376556
26	-0.046845	-0.5362	0.296375
27	-0.037005	-0.4235	0.336295
28	-0.012811	-0.1466	0.441823
29	-0.071352	-0.8167	0.207802
30	-0.094937	-1.0866	0.139604
31	-0.022336	-0.2556	0.399313
32	-0.098207	-1.124	0.131528
33	-0.135155	-1.5469	0.062148
34	-0.015604	-0.1786	0.429267
35	0.148254	1.6968	0.046051
36	0.028922	0.331	0.370576
37	-0.096556	-1.1051	0.135562
38	-0.017077	-0.1955	0.422669
39	0.0591	0.6764	0.249979
40	0.141941	1.6246	0.053327
41	0.009916	0.1135	0.454905
42	0.013423	0.1536	0.439069
43	0.006262	0.0717	0.471484
44	-0.074527	-0.853	0.197607
45	-0.009951	-0.1139	0.454747
46	-0.061666	-0.7058	0.240782
47	-0.115822	-1.3256	0.093633
48	-0.023614	-0.2703	0.393686

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.305833	3.5004	0.000318
2	-0.120186	-1.3756	0.085648
3	0.056088	0.642	0.261011
4	0.039147	0.4481	0.327428
5	0.06086	0.6966	0.243652
6	-0.107931	-1.2353	0.109459
7	-0.128089	-1.466	0.072516
8	0.110562	1.2654	0.10398
9	-0.023544	-0.2695	0.393995
10	-0.027101	-0.3102	0.378456
11	-0.000213	-0.0024	0.499028
12	-0.12171	-1.393	0.082984
13	-0.003986	-0.0456	0.481842
14	0.094114	1.0772	0.141688
15	0.006328	0.0724	0.471187
16	-0.00553	-0.0633	0.474812
17	0.110749	1.2676	0.103598
18	0.039775	0.4552	0.324843
19	-0.010078	-0.1154	0.454171
20	-0.039798	-0.4555	0.32475
21	-0.040505	-0.4636	0.321853
22	-0.029524	-0.3379	0.367982
23	-0.050445	-0.5774	0.28234
24	0.120956	1.3844	0.084294
25	-0.080585	-0.9223	0.179024
26	0.015488	0.1773	0.429784
27	-0.032459	-0.3715	0.355431
28	-0.020565	-0.2354	0.40714
29	-0.073014	-0.8357	0.202429
30	-0.026155	-0.2994	0.382572
31	0.053359	0.6107	0.271223
32	-0.192401	-2.2021	0.014703
33	-0.087522	-1.0017	0.159159
34	0.071809	0.8219	0.206315
35	0.143858	1.6465	0.051026
36	-0.108462	-1.2414	0.108337
37	-0.054276	-0.6212	0.267768
38	0.082497	0.9442	0.173399
39	-0.036636	-0.4193	0.337834
40	0.139937	1.6016	0.055821
41	-0.052374	-0.5994	0.274955
42	0.081228	0.9297	0.177119
43	-0.112507	-1.2877	0.100059
44	-0.099461	-1.1384	0.128518
45	0.07135	0.8166	0.207809
46	-0.103243	-1.1817	0.119739
47	0.069592	0.7965	0.213587
48	-0.027841	-0.3187	0.37525

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/27/t1274965967rxejs813c28rwj4/1rzny1274965932.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/27/t1274965967rxejs813c28rwj4/1rzny1274965932.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/27/t1274965967rxejs813c28rwj4/228mj1274965932.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/27/t1274965967rxejs813c28rwj4/228mj1274965932.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by