Autocorrelatie(aanpassing) 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 17:09:15 +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/t13057383434fo22egthd7jcgm.htm/, Retrieved Wed, 18 May 2011 19:05:47 +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 3 seconds R Server 'George Udny Yule' @ 216.218.223.82 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.089725 0.8699 0.193282 2 -0.22529 -2.1843 0.015715 3 0.089331 0.8661 0.194321 4 0.040009 0.3879 0.349482 5 -0.153976 -1.4928 0.069413 6 0.092177 0.8937 0.186886 7 0.117225 1.1365 0.12931 8 -0.156932 -1.5215 0.065744 9 -0.023927 -0.232 0.408528 10 -0.08953 -0.868 0.193795 11 0.021975 0.2131 0.415873 12 0.095933 0.9301 0.177349 13 0.061398 0.5953 0.276545 14 -0.077974 -0.756 0.225775 15 0.106854 1.036 0.151432 16 0.107334 1.0406 0.150355 17 -0.153332 -1.4866 0.070233 18 -0.105548 -1.0233 0.154389 19 -0.073476 -0.7124 0.238997 20 0.010249 0.0994 0.460531 21 -0.031025 -0.3008 0.382116 22 0.172183 1.6694 0.049185 23 0.03759 0.3644 0.358172 24 -0.09361 -0.9076 0.183209 25 -0.077288 -0.7493 0.227763 26 0.063975 0.6203 0.268295 27 0.088065 0.8538 0.197687 28 -0.022883 -0.2219 0.412452 29 0.022882 0.2218 0.412456 30 -0.0647 -0.6273 0.265994 31 0.012865 0.1247 0.4505 32 -0.047046 -0.4561 0.324675 33 0.069459 0.6734 0.251162 34 0.092203 0.8939 0.186818 35 -0.055667 -0.5397 0.295337 36 -0.045415 -0.4403 0.330359 37 0.032582 0.3159 0.37639 38 -0.016055 -0.1557 0.438318 39 -0.018356 -0.178 0.429565 40 0.027911 0.2706 0.393645 41 -0.092209 -0.894 0.186803 42 -0.048094 -0.4663 0.321045 43 0.032381 0.3139 0.37713 44 -0.075074 -0.7279 0.234252 45 -0.062261 -0.6036 0.273766 46 0.084837 0.8225 0.206431 47 -0.038994 -0.3781 0.353117 48 -0.058759 -0.5697 0.285124 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.089725 0.8699 0.193282 2 -0.235234 -2.2807 0.012413 3 0.144502 1.401 0.082254 4 -0.046319 -0.4491 0.327204 5 -0.107405 -1.0413 0.150197 6 0.128725 1.248 0.107559 7 0.023175 0.2247 0.411353 8 -0.112299 -1.0888 0.139518 9 0.038436 0.3727 0.355124 10 -0.213427 -2.0693 0.020633 11 0.142229 1.379 0.08559 12 0.025284 0.2451 0.403442 13 0.041314 0.4006 0.344829 14 -0.038691 -0.3751 0.354208 15 0.132758 1.2871 0.100603 16 0.051573 0.5 0.309115 17 -0.09466 -0.9178 0.180546 18 -0.128856 -1.2493 0.107328 19 -0.150744 -1.4615 0.073604 20 0.057891 0.5613 0.287972 21 -0.022249 -0.2157 0.414839 22 0.190713 1.849 0.033798 23 -0.00165 -0.016 0.493636 24 -0.019621 -0.1902 0.424767 25 -0.054728 -0.5306 0.298471 26 0.042625 0.4133 0.340177 27 -0.006982 -0.0677 0.473086 28 -0.053053 -0.5144 0.304101 29 -0.012947 -0.1255 0.450188 30 -0.001739 -0.0169 0.493293 31 0.089585 0.8686 0.193651 32 -0.012405 -0.1203 0.452262 33 0.092671 0.8985 0.185613 34 0.064332 0.6237 0.267159 35 -0.116878 -1.1332 0.130013 36 0.006184 0.06 0.476159 37 -0.062452 -0.6055 0.273155 38 -0.109778 -1.0643 0.144952 39 0.1222 1.1848 0.119548 40 -0.037288 -0.3615 0.359262 41 0.029798 0.2889 0.386645 42 -0.061214 -0.5935 0.27714 43 0.003651 0.0354 0.485918 44 -0.130016 -1.2606 0.105295 45 -0.022484 -0.218 0.413954 46 0.003971 0.0385 0.484686 47 -0.05071 -0.4917 0.312054 48 0.040319 0.3909 0.348376

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/18/t13057383434fo22egthd7jcgm/1kn4w1305738551.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t13057383434fo22egthd7jcgm/1kn4w1305738551.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t13057383434fo22egthd7jcgm/2cz151305738551.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t13057383434fo22egthd7jcgm/2cz151305738551.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t13057383434fo22egthd7jcgm/3ben91305738551.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/18/t13057383434fo22egthd7jcgm/3ben91305738551.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 = 1 ; 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')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

Privacy Policy

We may request personal information to be submitted to our servers in order to be able to:

• personalize online software applications according to your needs
• enforce strict security rules with respect to the data that you upload (e.g. statistical data)
• manage user sessions of online applications
• alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by