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autocorrelatiefunctie consumptieprijzen

*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, 15 Nov 2010 11:09:59 +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/Nov/15/t12898193381y5smx0jeqa8tty.htm/, Retrieved Mon, 15 Nov 2010 12:09:00 +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/Nov/15/t12898193381y5smx0jeqa8tty.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

96,92 99,06 99,65 99,82 99,99 100,33 99,31 101,1 101,1 100,93 100,85 100,93 99,6 101,88 101,81 102,38 102,74 102,82 101,72 103,47 102,98 102,68 102,9 103,03 101,29 103,69 103,68 104,2 104,08 104,16 103,05 104,66 104,46 104,95 105,85 106,23 104,86 107,44 108,23 108,45 109,39 110,15 109,13 110,28 110,17 109,99 109,26 109,11 107,06 109,53 108,92 109,24 109,12 109 107,23 109,49 109,04 109,02 109,23 109,46

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	0.907922	7.0327	0
2	0.869614	6.736	0
3	0.828067	6.4142	0
4	0.783763	6.071	0
5	0.730305	5.6569	0
6	0.726777	5.6296	0
7	0.642018	4.973	3e-06
8	0.604862	4.6852	8e-06
9	0.560942	4.345	2.7e-05
10	0.515968	3.9967	8.9e-05
11	0.464205	3.5957	0.000327
12	0.453743	3.5147	0.000422
13	0.364591	2.8241	0.003213
14	0.32444	2.5131	0.007336
15	0.274281	2.1246	0.018876
16	0.223181	1.7288	0.044498
17	0.173129	1.3411	0.092479
18	0.156525	1.2124	0.115049
19	0.075128	0.5819	0.281395
20	0.03835	0.2971	0.383724
21	-0.000922	-0.0071	0.497161
22	-0.043636	-0.338	0.36827
23	-0.086405	-0.6693	0.252938
24	-0.090154	-0.6983	0.243835
25	-0.161533	-1.2512	0.107854
26	-0.191415	-1.4827	0.071695
27	-0.222502	-1.7235	0.044975
28	-0.247035	-1.9135	0.030228
29	-0.276684	-2.1432	0.018081
30	-0.276712	-2.1434	0.018072
31	-0.327874	-2.5397	0.006852
32	-0.34704	-2.6882	0.004643
33	-0.372601	-2.8862	0.002706
34	-0.394705	-3.0574	0.001666
35	-0.411919	-3.1907	0.001129
36	-0.396794	-3.0736	0.00159
37	-0.433797	-3.3602	0.000679
38	-0.435928	-3.3767	0.000646
39	-0.432733	-3.3519	0.000697
40	-0.430039	-3.3311	0.000742
41	-0.424185	-3.2857	0.000851
42	-0.389546	-3.0174	0.001869
43	-0.390386	-3.0239	0.001834
44	-0.369249	-2.8602	0.002909
45	-0.349403	-2.7065	0.004421
46	-0.325996	-2.5252	0.007113
47	-0.308388	-2.3888	0.010034
48	-0.27198	-2.1067	0.019665

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.907922	7.0327	0
2	0.257813	1.997	0.025183
3	0.048815	0.3781	0.353338
4	-0.022737	-0.1761	0.430398
5	-0.08685	-0.6727	0.251848
6	0.240496	1.8629	0.033688
7	-0.363382	-2.8147	0.003297
8	0.075188	0.5824	0.281238
9	-0.016956	-0.1313	0.447971
10	-0.025283	-0.1958	0.422698
11	-0.002328	-0.018	0.492837
12	0.048167	0.3731	0.355193
13	-0.261967	-2.0292	0.023441
14	0.031355	0.2429	0.404466
15	-0.047146	-0.3652	0.358128
16	-0.03628	-0.281	0.38983
17	0.035876	0.2779	0.391025
18	-0.026476	-0.2051	0.4191
19	-0.120441	-0.9329	0.177297
20	-0.019133	-0.1482	0.44134
21	0.021054	0.1631	0.435501
22	-0.031101	-0.2409	0.405225
23	-0.013923	-0.1078	0.457239
24	0.051212	0.3967	0.346502
25	-0.147877	-1.1455	0.128285
26	-0.032674	-0.2531	0.40053
27	0.001887	0.0146	0.494193
28	0.054446	0.4217	0.337362
29	-0.02749	-0.2129	0.416048
30	-0.039982	-0.3097	0.378932
31	-0.035006	-0.2712	0.393601
32	-0.073179	-0.5668	0.286468
33	-0.047836	-0.3705	0.356143
34	-0.025866	-0.2004	0.42094
35	0.039143	0.3032	0.381394
36	0.034324	0.2659	0.395624
37	-0.05752	-0.4455	0.328763
38	-0.026465	-0.205	0.419134
39	0.069539	0.5386	0.296062
40	-0.002679	-0.0208	0.491756
41	0.027922	0.2163	0.414749
42	0.025202	0.1952	0.422942
43	0.0764	0.5918	0.278107
44	-0.017831	-0.1381	0.445306
45	-0.028443	-0.2203	0.413186
46	0.051859	0.4017	0.344667
47	-0.032792	-0.254	0.40018
48	-0.042379	-0.3283	0.371926

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/15/t12898193381y5smx0jeqa8tty/1x0ua1289819397.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t12898193381y5smx0jeqa8tty/1x0ua1289819397.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t12898193381y5smx0jeqa8tty/2x0ua1289819397.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/15/t12898193381y5smx0jeqa8tty/2x0ua1289819397.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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