Autocorrelatie Goudkoers Brussel

*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, 18 May 2011 17:07:16 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o.htm/, Retrieved Wed, 18 May 2011 19:03:12 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KEYWORD: KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

32819 32700 32242 32810 33865 32226 31077 31293 30236 30160 32436 30695 27525 26434 25739 25204 24977 24320 22680 22052 21467 21383 21777 21928 21814 22937 23595 20830 19650 19195 19644 18483 18079 19178 18391 18441 18584 20108 20148 19394 17745 17696 17032 16438 15683 15594 15713 15937 16171 15928 16348 15579 15305 15648 14954 15137 15839 16050 15168 17064 16005 14886 14931 14544 13812 13031 12574 11964 11451 11346 11353 10702 10646 10556 10463 10407 10625 10872 10805 10653 10574 10431 10383 10296 10872 10635 10297 10570 10662 10709 10413 10846 10371 9924 9828

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 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.961546 9.372 0 2 0.921246 8.9792 0 3 0.884979 8.6257 0 4 0.845333 8.2393 0 5 0.799673 7.7942 0 6 0.760653 7.4139 0 7 0.7229 7.046 0 8 0.681552 6.6429 0 9 0.644032 6.2773 0 10 0.606513 5.9116 0 11 0.561928 5.477 0 12 0.520445 5.0727 1e-06 13 0.487065 4.7473 4e-06 14 0.455479 4.4395 1.2e-05 15 0.426429 4.1563 3.5e-05 16 0.396881 3.8683 1e-04 17 0.365969 3.567 0.000284 18 0.338374 3.2981 0.000685 19 0.316161 3.0816 0.001347 20 0.295689 2.882 0.002443 21 0.276231 2.6924 0.004193 22 0.256765 2.5026 0.007018 23 0.233046 2.2715 0.012688 24 0.207546 2.0229 0.022946 25 0.183924 1.7927 0.038104 26 0.156717 1.5275 0.064981 27 0.125739 1.2256 0.111699 28 0.102654 1.0005 0.159793 29 0.084033 0.8191 0.207404 30 0.06669 0.65 0.258627 31 0.049421 0.4817 0.315565 32 0.03643 0.3551 0.361659 33 0.025466 0.2482 0.402254 34 0.00929 0.0905 0.46402 35 -0.004128 -0.0402 0.483994 36 -0.015633 -0.1524 0.43961 37 -0.031019 -0.3023 0.381527 38 -0.050908 -0.4962 0.310453 39 -0.071816 -0.7 0.242826 40 -0.09202 -0.8969 0.186019 41 -0.10824 -1.055 0.147051 42 -0.122508 -1.1941 0.117714 43 -0.135242 -1.3182 0.095308 44 -0.146595 -1.4288 0.078166 45 -0.153693 -1.498 0.068722 46 -0.161002 -1.5692 0.059957 47 -0.169951 -1.6565 0.050462 48 -0.180145 -1.7558 0.04117 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.961546 9.372 0 2 -0.04409 -0.4297 0.33418 3 0.033178 0.3234 0.37356 4 -0.066847 -0.6515 0.258134 5 -0.096602 -0.9416 0.174402 6 0.062968 0.6137 0.270427 7 -0.015878 -0.1548 0.43867 8 -0.056028 -0.5461 0.293141 9 0.029793 0.2904 0.386075 10 -0.04423 -0.4311 0.333685 11 -0.105686 -1.0301 0.152788 12 0.023476 0.2288 0.409751 13 0.059231 0.5773 0.282546 14 0.014357 0.1399 0.444504 15 0.031762 0.3096 0.378781 16 -0.060602 -0.5907 0.27807 17 -0.047319 -0.4612 0.32285 18 0.037575 0.3662 0.357501 19 0.039406 0.3841 0.350888 20 0.017437 0.17 0.432702 21 0.011607 0.1131 0.455083 22 -0.046812 -0.4563 0.324619 23 -0.093095 -0.9074 0.183251 24 -0.035223 -0.3433 0.366061 25 0.004291 0.0418 0.483365 26 -0.048385 -0.4716 0.319146 27 -0.047536 -0.4633 0.322096 28 0.058078 0.5661 0.28634 29 0.012769 0.1245 0.450609 30 0.02435 0.2373 0.406454 31 -0.011263 -0.1098 0.456407 32 0.030711 0.2993 0.382671 33 0.037566 0.3661 0.357535 34 -0.088288 -0.8605 0.195834 35 -0.002303 -0.0224 0.491069 36 0.003517 0.0343 0.486361 37 -0.058671 -0.5719 0.284387 38 -0.081539 -0.7947 0.214371 39 -0.061902 -0.6033 0.273858 40 -0.014459 -0.1409 0.444113 41 0.05848 0.57 0.285014 42 0.009056 0.0883 0.464924 43 -0.005308 -0.0517 0.479423 44 0.00929 0.0905 0.464023 45 0.033695 0.3284 0.371659 46 -0.015077 -0.1469 0.441742 47 -0.009791 -0.0954 0.462087 48 -0.020378 -0.1986 0.421494

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o/1ie6p1305738434.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o/1ie6p1305738434.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o/206ii1305738434.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o/206ii1305738434.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o/369ku1305738434.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t1305738189rtteg1mks3g820o/369ku1305738434.ps (open in new window)

Parameters (Session):

par1 = Goudkoers Brussel 2003-2011 ; par2 = http://www.nbb.be/belgostat/PresentationLinker?TableId=751000059&Lang=N ; par3 = Goudkoers Brussel (EUR/kg) ; par4 = 12 ;

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 (par8 != '') par8 <- as.numeric(par8) ox <- x if (par8 == '') { if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } } else { x <- log(x,base=par8) } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) bitmap(file='picts.png') op <- par(mfrow=c(2,1)) plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value') if (par8=='') { mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } else { mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } plot(x,type='l', main=mytitle,xlab='time',ylab='value') par(op) dev.off() bitmap(file='pic1.png') racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) dev.off() bitmap(file='pic2.png') rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) 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')

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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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