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Methode 2 op tijdreeks 3

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Wed, 28 Nov 2007 03:34:46 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/28/t1196245482ul1k2h5yg3mi4da.htm/, Retrieved Wed, 28 Nov 2007 11:24:44 +0100
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
721.8 836.7 817.8 804.3 773.3 789.6 882.5 868.9 885.7 880.6 846.2 875.4 799.6 946.3 987.3 892.4 885.1 937.1 935.9 944.2 930.9 874.0 891.9 902.2 767.0 912.5 918.6 713.4 849.9 875.9 1010.9 1049.2 900.5 1111.6 898.2 1034.3 996.7 1188.9 1092.5 952.0 959.1 846.1 903.0 1089.5 879.9 1057.0 932.6 745.5 817.2 808.3 832.9 801.2 773.1 710.8 820.4 814.9 833.5 864.3 844.9 733.6
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
0160
10.6111093.66670.000394
20.5957013.57420.000511
30.4321462.59290.006836
40.2195791.31750.098002
50.1707391.02440.156232
60.0968270.5810.282443
7-0.017014-0.10210.540371
8-0.150728-0.90440.814094
9-0.348096-2.08860.978061
10-0.446677-2.68010.994484
11-0.494912-2.96950.997359
12-0.551612-3.30970.998935
13-0.316117-1.89670.967043
14-0.367566-2.20540.983051
15-0.196971-1.18180.877489
16-0.204593-1.22760.88621
17-0.160643-0.96390.829227
18-0.090652-0.54390.705073
19-0.047438-0.28460.611219
200.0957340.57440.284633
210.1259170.75550.227431
220.1259430.75570.227385
230.1829571.09770.139802
240.1015480.60930.273081
250.0481690.2890.387115
260.1011180.60670.273926
270.0029860.01790.492903
280.03610.21660.414871
290.03250.1950.423245
30-0.014621-0.08770.534709
31-0.001841-0.0110.504376
32-0.028616-0.17170.567681
33-0.025549-0.15330.56049
34-0.010328-0.0620.524534
35-0.005098-0.03060.512116
36NANANA
37NANANA
38NANANA
39NANANA
40NANANA
41NANANA
42NANANA
43NANANA
44NANANA
45NANANA
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.6111093.66670.000394
10.3547172.12830.020113
2-0.035663-0.2140.584114
3-0.281873-1.69120.950284
40.0088450.05310.478985
50.1136460.68190.24984
6-0.11562-0.69370.753846
7-0.322082-1.93250.969402
8-0.385468-2.31280.98672
9-0.104103-0.62460.73192
100.1304240.78250.219507
11-0.115884-0.69530.754336
120.2620771.57250.062296
13-0.059617-0.35770.638672
140.1175830.70550.242521
15-0.145793-0.87480.806247
16-0.030478-0.18290.572037
17-0.061947-0.37170.643846
18-0.162667-0.9760.832212
19-0.011031-0.06620.526201
20-0.15627-0.93760.822656
21-0.116625-0.69970.755709
220.1296970.77820.220774
230.0281020.16860.433522
24-0.007761-0.04660.518442
25-0.083561-0.50140.690417
260.0113180.06790.473117
27-0.109907-0.65940.743096
280.0891720.5350.297958
29-0.086153-0.51690.695813
30-0.02612-0.15670.561829
310.0432620.25960.398336
32-0.083-0.4980.689245
330.0109570.06570.473973
340.0042070.02520.490002
35NANANA
36NANANA
37NANANA
38NANANA
39NANANA
40NANANA
41NANANA
42NANANA
43NANANA
44NANANA
45NANANA
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196245482ul1k2h5yg3mi4da/1rlf71196246084.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196245482ul1k2h5yg3mi4da/1rlf71196246084.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196245482ul1k2h5yg3mi4da/2hc9e1196246084.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196245482ul1k2h5yg3mi4da/2hc9e1196246084.ps (open in new window)


 
Parameters:
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; par5 = 12 ;
 
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 (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='lags',ylab='ACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 




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