datareeks - aanvulling op de gemiddeldegrafieken voor tijdreeksen gemiddelde gokuitgaven per dag - Frederik Verbraken

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 20 May 2011 11:19:06 +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/20/t1305890215pie47ywn8kipruy.htm/, Retrieved Fri, 20 May 2011 13:16:58 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W11

Dataseries X:

» Textbox « » Textfile « » CSV «

5.81 5.76 5.99 6.12 6.03 6.25 5.80 5.67 5.89 5.91 5.86 6.07 6.27 6.68 6.77 6.71 6.62 6.50 5.89 6.05 6.43 6.47 6.62 6.77 6.70 6.95 6.73 7.07 7.28 7.32 6.76 6.93 6.99 7.16 7.28 7.08 7.34 7.87 6.28 6.30 6.36 6.28 5.89 6.04 5.96 6.10 6.26 6.02 6.25 6.41 6.22 6.57 6.18 6.26 6.10 6.02 6.06 6.35 6.21 6.48 6.74 6.53 6.80 6.75 6.56 6.66 6.18 6.40 6.43 6.54 6.44 6.64 6.82 6.97 7.00 6.91 6.74 6.98 6.37 6.56 6.63 6.87 6.68 6.75 6.84 7.15 7.09 6.97 7.15

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 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.764762 7.2148 0 2 0.634473 5.9856 0 3 0.534736 5.0447 1e-06 4 0.409245 3.8608 0.000107 5 0.292187 2.7565 0.003544 6 0.240024 2.2644 0.01299 7 0.175551 1.6561 0.050608 8 0.204213 1.9265 0.028614 9 0.164966 1.5563 0.061595 10 0.092072 0.8686 0.193701 11 0.092369 0.8714 0.192939 12 0.099778 0.9413 0.174548 13 -0.033662 -0.3176 0.375778 14 -0.051189 -0.4829 0.315169 15 -0.171048 -1.6137 0.05507 16 -0.226185 -2.1338 0.017804 17 -0.270701 -2.5538 0.006179 18 -0.344038 -3.2456 0.000826 19 -0.369464 -3.4855 0.000382 20 -0.303005 -2.8585 0.00265 21 -0.321224 -3.0304 0.001599 22 -0.294297 -2.7764 0.00335 23 -0.234133 -2.2088 0.014878 24 -0.250016 -2.3586 0.010265 25 -0.299612 -2.8265 0.002905 26 -0.297372 -2.8054 0.003086 27 -0.377235 -3.5588 3e-04 28 -0.322662 -3.044 0.001535 29 -0.346445 -3.2684 0.000769 30 -0.333413 -3.1454 0.001128 31 -0.26009 -2.4537 0.008044 32 -0.192796 -1.8188 0.03615 33 -0.176819 -1.6681 0.049405 34 -0.077279 -0.7291 0.233942 35 -0.003437 -0.0324 0.487105 36 0.058096 0.5481 0.292507 37 0.118379 1.1168 0.133545 38 0.157802 1.4887 0.07005 39 0.127861 1.2062 0.115461 40 0.161184 1.5206 0.065952 41 0.096121 0.9068 0.18348 42 0.097709 0.9218 0.179565 43 0.109661 1.0345 0.151844 44 0.145166 1.3695 0.087146 45 0.168083 1.5857 0.058178 46 0.206101 1.9444 0.027506 47 0.233107 2.1991 0.01523 48 0.277079 2.614 0.005254 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.764762 7.2148 0 2 0.119505 1.1274 0.1313 3 0.039366 0.3714 0.35562 4 -0.091596 -0.8641 0.194925 5 -0.076535 -0.722 0.236086 6 0.067017 0.6322 0.264428 7 -0.02111 -0.1991 0.421301 8 0.19331 1.8237 0.035779 9 -0.093264 -0.8799 0.190654 10 -0.137385 -1.2961 0.099148 11 0.071754 0.6769 0.250105 12 0.063163 0.5959 0.276384 13 -0.274773 -2.5922 0.005573 14 0.066885 0.631 0.26483 15 -0.278568 -2.628 0.005058 16 0.032225 0.304 0.380914 17 -0.057119 -0.5389 0.295665 18 -0.127513 -1.203 0.116091 19 0.027683 0.2612 0.397288 20 0.028954 0.2731 0.392686 21 -0.040318 -0.3804 0.352294 22 0.030352 0.2863 0.387643 23 0.031678 0.2989 0.382874 24 -0.132322 -1.2483 0.107593 25 -0.135612 -1.2794 0.102047 26 -0.034315 -0.3237 0.373451 27 -0.076916 -0.7256 0.234988 28 0.087163 0.8223 0.206552 29 -0.13884 -1.3098 0.096815 30 0.048091 0.4537 0.325577 31 0.001813 0.0171 0.493198 32 -0.018585 -0.1753 0.430609 33 0.011762 0.111 0.455949 34 0.044717 0.4219 0.337072 35 0.075682 0.714 0.238553 36 0.051431 0.4852 0.314364 37 0.027523 0.2596 0.397868 38 0.086185 0.8131 0.209174 39 -0.128948 -1.2165 0.113507 40 -0.0567 -0.5349 0.297025 41 -0.01619 -0.1527 0.439475 42 -0.062051 -0.5854 0.279886 43 -0.006595 -0.0622 0.475264 44 0.058374 0.5507 0.29161 45 -0.033631 -0.3173 0.375888 46 -0.037251 -0.3514 0.363052 47 0.111529 1.0522 0.147787 48 0.02683 0.2531 0.400381

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/20/t1305890215pie47ywn8kipruy/1jlr51305890343.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305890215pie47ywn8kipruy/1jlr51305890343.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305890215pie47ywn8kipruy/25dqo1305890343.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305890215pie47ywn8kipruy/25dqo1305890343.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305890215pie47ywn8kipruy/335rv1305890343.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305890215pie47ywn8kipruy/335rv1305890343.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 (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

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