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Autocorrelatie Boekenverkoop Noorwegen

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 17 Nov 2010 15:36:10 +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/17/t12900082286xzo5efz5cpk1sj.htm/, Retrieved Wed, 17 Nov 2010 16:37:09 +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/17/t12900082286xzo5efz5cpk1sj.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:

Autocorrelatie van het indexcijfer van de Boekenverkoop in Noorwegen (2001-2009)

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

90 69,3 87,3 57,4 56,2 61,6 77,7 177,2 97,6 81,6 96,8 191,3 106 75,1 72 63,5 57,4 62,3 79,4 178,1 109,3 85,2 102,7 193,7 108,4 73,4 85,9 58,5 58,6 62,7 77,5 180,5 102,2 82,6 97,8 197,8 93,8 72,4 77,7 58,7 53,1 64,3 76,4 188,4 105,5 79,8 96,1 202,5 97,3 89,5 64,7 61,2 57,8 62 76,3 195 110,9 81,4 101,7 202,2 97,4 68,5 86,8 59,1 62,4 66,2 68 198,5 120,4 90,2 103,2 207,3 106,4 75,5 97,3 60 67,5 71,2 73,7 213,3 114,6 96,1 117 229,2 105,6 99,9 79,3 72,5 67,4 78,3 85,7 177,4 113,6 94,1 105,7 228,3 100,3 70,3 94,2 66,5 64,4 73,7 87,9 152,2 97,3 89,3 107,6 228,4

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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.152917	1.5892	0.057473
2	-0.145397	-1.511	0.066853
3	-0.055985	-0.5818	0.280954
4	0.154922	1.61	0.055159
5	-0.25948	-2.6966	0.004064
6	-0.376109	-3.9086	8.1e-05
7	-0.278642	-2.8957	0.00229
8	0.090021	0.9355	0.175803
9	-0.070119	-0.7287	0.233881
10	-0.158237	-1.6444	0.051496
11	0.137454	1.4285	0.078022
12	0.881173	9.1574	0
13	0.136216	1.4156	0.079886
14	-0.134658	-1.3994	0.082279
15	-0.040943	-0.4255	0.33566
16	0.159324	1.6557	0.050338
17	-0.2436	-2.5316	0.006397
18	-0.339798	-3.5313	0.000305
19	-0.247527	-2.5724	0.005729
20	0.062311	0.6476	0.259323
21	-0.072924	-0.7579	0.225096
22	-0.139471	-1.4494	0.075058
23	0.116953	1.2154	0.113431
24	0.770941	8.0118	0
25	0.114045	1.1852	0.119271
26	-0.119572	-1.2426	0.108347
27	-0.032705	-0.3399	0.367302
28	0.159554	1.6581	0.050096
29	-0.214073	-2.2247	0.01409
30	-0.294488	-3.0604	0.001394
31	-0.217091	-2.2561	0.01304
32	0.045512	0.473	0.318593
33	-0.059728	-0.6207	0.268049
34	-0.127616	-1.3262	0.093782
35	0.097356	1.0117	0.15696
36	0.651165	6.7671	0
37	0.093487	0.9715	0.166723
38	-0.102479	-1.065	0.144628
39	-0.031102	-0.3232	0.373576
40	0.133308	1.3854	0.084396
41	-0.179005	-1.8603	0.032784
42	-0.253751	-2.6371	0.004798
43	-0.191558	-1.9907	0.024519
44	0.030801	0.3201	0.374758
45	-0.060124	-0.6248	0.266702
46	-0.109285	-1.1357	0.129293
47	0.076662	0.7967	0.213689
48	0.52939	5.5016	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.152917	1.5892	0.057473
2	-0.172822	-1.796	0.037643
3	-0.003674	-0.0382	0.484808
4	0.148249	1.5407	0.063163
5	-0.348059	-3.6171	0.000227
6	-0.261014	-2.7125	0.003886
7	-0.301847	-3.1369	0.0011
8	-0.003307	-0.0344	0.486323
9	-0.171372	-1.7809	0.038866
10	-0.236311	-2.4558	0.007826
11	0.034329	0.3568	0.360984
12	0.820176	8.5235	0
13	-0.153371	-1.5939	0.056943
14	-0.008612	-0.0895	0.464427
15	-0.042025	-0.4367	0.331587
16	-0.235581	-2.4482	0.007983
17	0.021273	0.2211	0.412724
18	0.12411	1.2898	0.099939
19	0.154775	1.6085	0.055326
20	0.106643	1.1083	0.135103
21	-0.00143	-0.0149	0.494085
22	0.037966	0.3946	0.346975
23	-0.173893	-1.8071	0.036762
24	-0.062697	-0.6516	0.258032
25	-0.005825	-0.0605	0.475919
26	0.045444	0.4723	0.318844
27	0.086468	0.8986	0.185433
28	0.063433	0.6592	0.25558
29	0.099684	1.036	0.15127
30	-0.010006	-0.104	0.458688
31	-0.074939	-0.7788	0.218905
32	-0.017232	-0.1791	0.429106
33	-0.003196	-0.0332	0.486784
34	-0.031563	-0.328	0.37177
35	0.061789	0.6421	0.261073
36	-0.054247	-0.5638	0.287045
37	0.025371	0.2637	0.396272
38	0.051648	0.5367	0.296276
39	-0.0265	-0.2754	0.391769
40	-0.082209	-0.8543	0.197404
41	0.034737	0.361	0.359403
42	-0.067716	-0.7037	0.241558
43	-0.023407	-0.2432	0.404137
44	0.023895	0.2483	0.402176
45	-0.080183	-0.8333	0.203261
46	0.046678	0.4851	0.314297
47	-0.0265	-0.2754	0.391768
48	-0.125165	-1.3008	0.098056

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/17/t12900082286xzo5efz5cpk1sj/11r6u1290008166.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t12900082286xzo5efz5cpk1sj/11r6u1290008166.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t12900082286xzo5efz5cpk1sj/21r6u1290008166.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/17/t12900082286xzo5efz5cpk1sj/21r6u1290008166.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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