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autocorrelatie

*The author of this computation has been verified*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Tue, 02 Dec 2008 11:10:55 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/02/t1228241524tvue5nj5hnzmy05.htm/, Retrieved Tue, 02 Dec 2008 18:12:06 +0000
 
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/2008/Dec/02/t1228241524tvue5nj5hnzmy05.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
 
Feedback Forum:
2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
non stationary time series vraag 8 landbouw d en D =1
 
Dataseries X:
» Textbox « » Textfile « » CSV «
3.253 3.233 3.196 3.138 3.091 3.17 3.378 3.468 3.33 3.413 3.356 3.525 3.633 3.597 3.6 3.522 3.503 3.532 3.686 3.748 3.672 3.843 3.905 3.999 4.07 4.084 4.042 3.951 3.933 3.958 4.147 4.221 4.058 4.057 4.089 4.268 4.309 4.303 4.177 4.117 4.065 3.983 4.091 4.067 4.024 3.868 3.8 3.804 3.862 3.792 3.674 3.56 3.489 3.412 3.674 3.672 3.463 3.429 3.4 3.533
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.0553710.37960.352974
2-0.028288-0.19390.423531
3-0.172359-1.18160.121648
40.2214141.51790.067864
50.2226791.52660.06678
60.033270.22810.410284
7-0.074243-0.5090.306572
8-0.08603-0.58980.279078
90.2337351.60240.057883
100.0378430.25940.398215
11-0.171442-1.17530.122889
12-0.431204-2.95620.002429
130.0556390.38140.352298
140.0904790.62030.269031
150.1600611.09730.139045
16-0.186388-1.27780.103796
17-0.154587-1.05980.147327
18-0.030177-0.20690.418498
190.0407550.27940.39058
20-0.072178-0.49480.311514
21-0.282106-1.9340.029572
22-0.012424-0.08520.466241
230.1199050.8220.207605
240.0138530.0950.46237
25-0.19428-1.33190.094655
26-0.16993-1.1650.124952
27-0.089692-0.61490.270794
280.0599070.41070.34158
290.0339590.23280.40846
300.0378540.25950.398186
31-0.127386-0.87330.193465
320.1080150.74050.231337
330.0628740.4310.334203
340.0013010.00890.496461
35-0.029914-0.20510.419199
36-0.020509-0.14060.444393


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.0553710.37960.352974
2-0.031451-0.21560.41511
3-0.169689-1.16330.125284
40.2472091.69480.048367
50.1984821.36070.090045
6-0.018895-0.12950.448742
70.0061390.04210.483303
8-0.068473-0.46940.320466
90.1730331.18630.120743
10-0.04709-0.32280.374126
11-0.227697-1.5610.062615
12-0.369892-2.53590.007301
130.0430470.29510.384602
14-0.012468-0.08550.466124
150.1446550.99170.16321
160.0493580.33840.368292
170.0205180.14070.444368
18-0.011131-0.07630.469748
19-0.076377-0.52360.301505
20-0.153626-1.05320.148816
21-0.192981-1.3230.096116
22-0.052193-0.35780.361041
230.0189280.12980.448655
24-0.21555-1.47770.073074
25-0.051711-0.35450.362269
260.0430650.29520.384555
270.0101910.06990.472298
28-0.024575-0.16850.433466
290.0372420.25530.399795
300.1708081.1710.123751
31-0.120145-0.82370.207143
32-0.036095-0.24750.402818
33-0.087433-0.59940.275889
34-0.026736-0.18330.427678
350.0396260.27170.393536
36-0.148882-1.02070.156315
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228241524tvue5nj5hnzmy05/12qy01228241453.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228241524tvue5nj5hnzmy05/12qy01228241453.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228241524tvue5nj5hnzmy05/2j9fl1228241453.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228241524tvue5nj5hnzmy05/2j9fl1228241453.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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 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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