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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 13:16:12 +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/t1274966245kvp2z44i7aetnh5.htm/, Retrieved Thu, 27 May 2010 15:17:25 +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/t1274966245kvp2z44i7aetnh5.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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.980898	11.2697	0
2	0.952775	10.9465	0
3	0.925192	10.6297	0
4	0.898533	10.3234	0
5	0.87208	10.0194	0
6	0.844416	9.7016	0
7	0.818268	9.4012	0
8	0.798016	9.1685	0
9	0.779791	8.9591	0
10	0.761381	8.7476	0
11	0.744669	8.5556	0
12	0.726202	8.3434	0
13	0.709085	8.1468	0
14	0.697157	8.0097	0
15	0.680025	7.8129	0
16	0.655836	7.535	0
17	0.628114	7.2165	0
18	0.59398	6.8243	0
19	0.558146	6.4126	0
20	0.519992	5.9743	0
21	0.480802	5.524	0
22	0.444655	5.1087	1e-06
23	0.413142	4.7466	3e-06
24	0.382452	4.394	1.1e-05
25	0.351545	4.0389	4.5e-05
26	0.32026	3.6795	0.00017
27	0.292198	3.3571	0.000515
28	0.266435	3.0611	0.001336
29	0.24221	2.7828	0.00309
30	0.218722	2.5129	0.006589
31	0.198835	2.2844	0.011971
32	0.178829	2.0546	0.020946
33	0.160882	1.8484	0.033391
34	0.147214	1.6914	0.046563
35	0.13453	1.5456	0.062294
36	0.118755	1.3644	0.087384
37	0.10091	1.1594	0.124199
38	0.086719	0.9963	0.160456
39	0.074206	0.8526	0.197724
40	0.059601	0.6848	0.247346
41	0.041204	0.4734	0.318355
42	0.023239	0.267	0.394944
43	0.005042	0.0579	0.476945
44	-0.014102	-0.162	0.435768
45	-0.029007	-0.3333	0.36973
46	-0.042491	-0.4882	0.313114
47	-0.054161	-0.6223	0.26742
48	-0.064294	-0.7387	0.230705

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.980898	11.2697	0
2	-0.248038	-2.8497	0.002539
3	0.059355	0.6819	0.248238
4	-0.010526	-0.1209	0.451961
5	-0.014448	-0.166	0.434206
6	-0.04781	-0.5493	0.291865
7	0.045351	0.521	0.301603
8	0.124311	1.4282	0.077795
9	-0.027361	-0.3144	0.376875
10	-0.013112	-0.1506	0.440243
11	0.049552	0.5693	0.285056
12	-0.088546	-1.0173	0.155433
13	0.05386	0.6188	0.268555
14	0.120895	1.389	0.083589
15	-0.208659	-2.3973	0.008958
16	-0.120487	-1.3843	0.084302
17	-0.031623	-0.3633	0.358473
18	-0.19433	-2.2327	0.013627
19	-0.025255	-0.2902	0.386075
20	-0.062065	-0.7131	0.238529
21	0.000294	0.0034	0.498653
22	0.001928	0.0222	0.49118
23	0.052527	0.6035	0.27361
24	-0.051157	-0.5877	0.278854
25	-0.103939	-1.1942	0.117277
26	-0.006097	-0.07	0.472132
27	0.096495	1.1086	0.1348
28	-0.099772	-1.1463	0.126873
29	0.057176	0.6569	0.256192
30	0.047376	0.5443	0.293572
31	0.044612	0.5126	0.304561
32	-0.02144	-0.2463	0.402906
33	0.13075	1.5022	0.067717
34	0.134695	1.5475	0.062065
35	0.023133	0.2658	0.395411
36	-0.066606	-0.7652	0.222747
37	-0.009021	-0.1036	0.458806
38	0.069223	0.7953	0.213931
39	-0.03311	-0.3804	0.352128
40	-0.041363	-0.4752	0.317706
41	-0.085843	-0.9863	0.162906
42	0.011577	0.133	0.447195
43	-0.076071	-0.874	0.191855
44	-0.077462	-0.89	0.187551
45	0.119159	1.369	0.086657
46	-0.090523	-1.04	0.150115
47	0.014388	0.1653	0.434476
48	-0.070509	-0.8101	0.209674

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/27/t1274966245kvp2z44i7aetnh5/1ch441274966169.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/27/t1274966245kvp2z44i7aetnh5/1ch441274966169.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/27/t1274966245kvp2z44i7aetnh5/2ch441274966169.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/27/t1274966245kvp2z44i7aetnh5/2ch441274966169.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 = 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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