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Autocorrelatie werkzoekenden

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 21 Nov 2010 09:29:07 +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/21/t1290331761q8bjrwp5rujybe7.htm/, Retrieved Sun, 21 Nov 2010 10:29:21 +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/21/t1290331761q8bjrwp5rujybe7.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 «

180144 173666 165688 161570 156145 153730 182698 200765 176512 166618 158644 159585 163095 159044 155511 153745 150569 150605 179612 194690 189917 184128 175335 179566 181140 177876 175041 169292 166070 166972 206348 215706 202108 195411 193111 195198 198770 194163 190420 189733 186029 191531 232571 243477 227247 217859 208679 213188 216234 213586 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580 208795 197922 194596 194581 185686 178106 172608 167302 168053 202300 202388 182516 173476 166444 171297 169701 164182 161914 159612 151001 158114 186530 187069 174330 169362 166827 178037 186413 189226 191563 188906 186005 195309 223532 226899 214126 206903 204442 220375 214320 212588 205816 202196 195722 198563 229139 229527 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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.893992	10.1538	0
2	0.736397	8.3639	0
3	0.64259	7.2984	0
4	0.612346	6.9549	0
5	0.611266	6.9426	0
6	0.592905	6.7341	0
7	0.556847	6.3246	0
8	0.503625	5.7201	0
9	0.476161	5.4082	0
10	0.500723	5.6871	0
11	0.586934	6.6663	0
12	0.619875	7.0404	0
13	0.483945	5.4966	0
14	0.306798	3.4846	0.000337
15	0.190198	2.1602	0.016302
16	0.135068	1.5341	0.063729
17	0.109913	1.2484	0.107079
18	0.072867	0.8276	0.20471
19	0.021963	0.2494	0.401706
20	-0.037195	-0.4225	0.336697
21	-0.065324	-0.7419	0.229737
22	-0.041935	-0.4763	0.317338
23	0.038049	0.4322	0.333176
24	0.065571	0.7447	0.228892
25	-0.058923	-0.6692	0.252269
26	-0.211619	-2.4035	0.00883
27	-0.298807	-3.3938	0.000458
28	-0.330456	-3.7533	0.000131
29	-0.334504	-3.7992	0.000111
30	-0.349104	-3.9651	6e-05
31	-0.367934	-4.1789	2.7e-05
32	-0.392037	-4.4527	9e-06
33	-0.38965	-4.4256	1e-05
34	-0.342007	-3.8845	8.2e-05
35	-0.245028	-2.783	0.003098
36	-0.200515	-2.2774	0.012204
37	-0.292188	-3.3186	0.000588
38	-0.404391	-4.593	5e-06
39	-0.45814	-5.2035	0
40	-0.461314	-5.2395	0
41	-0.439522	-4.992	1e-06
42	-0.428788	-4.8701	2e-06
43	-0.423163	-4.8062	2e-06
44	-0.423854	-4.8141	2e-06
45	-0.402613	-4.5728	6e-06
46	-0.341441	-3.878	8.3e-05
47	-0.243838	-2.7695	0.003222
48	-0.190688	-2.1658	0.016083

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.893992	10.1538	0
2	-0.312908	-3.554	0.000265
3	0.320213	3.6369	0.000199
4	0.090188	1.0243	0.153795
5	0.122256	1.3886	0.08368
6	-0.044753	-0.5083	0.306055
7	0.060402	0.686	0.246962
8	-0.099471	-1.1298	0.130334
9	0.184279	2.093	0.019154
10	0.137375	1.5603	0.060572
11	0.375805	4.2683	1.9e-05
12	-0.365391	-4.15	3e-05
13	-0.645221	-7.3283	0
14	-0.001319	-0.015	0.494036
15	-0.069367	-0.7879	0.216112
16	-0.181792	-2.0648	0.020475
17	-0.002476	-0.0281	0.488805
18	-0.056297	-0.6394	0.261843
19	0.015827	0.1798	0.42881
20	0.016535	0.1878	0.425666
21	0.148059	1.6816	0.04753
22	0.04054	0.4605	0.322984
23	0.086271	0.9799	0.164497
24	0.002062	0.0234	0.490674
25	-0.183276	-2.0816	0.019677
26	0.06943	0.7886	0.215905
27	0.068862	0.7821	0.217787
28	-0.18232	-2.0708	0.020188
29	0.026524	0.3013	0.381854
30	-0.045552	-0.5174	0.30289
31	0.119005	1.3516	0.089428
32	-0.09991	-1.1348	0.12929
33	0.031252	0.355	0.361601
34	-0.047011	-0.5339	0.297149
35	0.005078	0.0577	0.47705
36	-0.041384	-0.47	0.319562
37	0.012313	0.1399	0.444498
38	-0.080285	-0.9119	0.18177
39	-0.014806	-0.1682	0.433357
40	-0.087307	-0.9916	0.16162
41	0.088484	1.005	0.158392
42	-0.119647	-1.3589	0.088269
43	0.041999	0.477	0.317078
44	-0.13	-1.4765	0.071121
45	0.033831	0.3842	0.350714
46	-0.066473	-0.755	0.225816
47	-0.040608	-0.4612	0.32271
48	0.090981	1.0333	0.151688

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/21/t1290331761q8bjrwp5rujybe7/14xq51290331742.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/21/t1290331761q8bjrwp5rujybe7/14xq51290331742.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/21/t1290331761q8bjrwp5rujybe7/24xq51290331742.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/21/t1290331761q8bjrwp5rujybe7/24xq51290331742.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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