blok 17 Q8 acf y(t) d=0 D=1

*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: Wed, 03 Dec 2008 14:25:22 -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/03/t1228339579dfdivnq1631ojix.htm/, Retrieved Wed, 03 Dec 2008 21:26:21 +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/03/t1228339579dfdivnq1631ojix.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

98.1 101.1 111.1 93.3 100 108 70.4 75.4 105.5 112.3 102.5 93.5 86.7 95.2 103.8 97 95.5 101 67.5 64 106.7 100.6 101.2 93.1 84.2 85.8 91.8 92.4 80.3 79.7 62.5 57.1 100.8 100.7 86.2 83.2 71.7 77.5 89.8 80.3 78.7 93.8 57.6 60.6 91 85.3 77.4 77.3 68.3 69.9 81.7 75.1 69.9 84 54.3 60 89.9 77 85.3 77.6 69.2 75.5 85.7 72.2 79.9 85.3 52.2 61.2 82.4 85.4 78.2 70.2

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 1 seconds R Server 'George Udny Yule' @ 72.249.76.132 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.201031 1.5572 0.062344 2 0.238919 1.8507 0.034572 3 0.240016 1.8592 0.033955 4 -0.014608 -0.1132 0.455143 5 0.16925 1.311 0.097426 6 0.034779 0.2694 0.394273 7 0.093405 0.7235 0.236089 8 0.1819 1.409 0.082 9 0.006078 0.0471 0.481302 10 0.077086 0.5971 0.276343 11 0.004342 0.0336 0.486641 12 -0.282495 -2.1882 0.01628 13 -0.08641 -0.6693 0.252928 14 -0.122088 -0.9457 0.174049 15 0.010849 0.084 0.466654 16 -0.011755 -0.0911 0.463877 17 0.135852 1.0523 0.148439 18 0.180828 1.4007 0.083229 19 -0.042503 -0.3292 0.371566 20 0.014358 0.1112 0.455908 21 0.108046 0.8369 0.20298 22 -0.098457 -0.7626 0.224331 23 0.133987 1.0379 0.151751 24 -0.030041 -0.2327 0.408394 25 -0.037297 -0.2889 0.386827 26 0.073397 0.5685 0.285899 27 -0.130311 -1.0094 0.158421 28 0.022387 0.1734 0.431457 29 -0.201128 -1.5579 0.062254 30 -0.297642 -2.3055 0.012305 31 -0.064745 -0.5015 0.308923 32 -0.103055 -0.7983 0.213933 33 -0.157077 -1.2167 0.114239 34 -0.058623 -0.4541 0.325701 35 -0.176293 -1.3656 0.088587 36 -0.063526 -0.4921 0.312233 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.201031 1.5572 0.062344 2 0.206865 1.6024 0.057163 3 0.174558 1.3521 0.090706 4 -0.137082 -1.0618 0.146284 5 0.119424 0.9251 0.179322 6 -0.020259 -0.1569 0.437915 7 0.082532 0.6393 0.262535 8 0.108296 0.8389 0.202439 9 -0.051105 -0.3959 0.346808 10 -0.018762 -0.1453 0.44247 11 -0.040688 -0.3152 0.376864 12 -0.317892 -2.4624 0.008345 13 -0.048031 -0.372 0.355586 14 0.02681 0.2077 0.418096 15 0.17296 1.3397 0.09269 16 -0.053752 -0.4164 0.339316 17 0.256928 1.9902 0.025568 18 0.131599 1.0194 0.156063 19 -0.096243 -0.7455 0.229441 20 -0.060854 -0.4714 0.319542 21 0.190091 1.4724 0.073065 22 -0.172838 -1.3388 0.092844 23 0.109641 0.8493 0.199551 24 -0.248041 -1.9213 0.029723 25 -0.153187 -1.1866 0.120035 26 -0.092695 -0.718 0.237768 27 0.048381 0.3748 0.35458 28 -0.086769 -0.6721 0.252048 29 -0.02569 -0.199 0.42147 30 -0.136576 -1.0579 0.147168 31 0.089216 0.6911 0.246094 32 0.067209 0.5206 0.302282 33 0.077802 0.6027 0.274506 34 -0.115135 -0.8918 0.188023 35 0.003879 0.03 0.488064 36 -0.07509 -0.5816 0.281494

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339579dfdivnq1631ojix/15s4t1228339520.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339579dfdivnq1631ojix/15s4t1228339520.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339579dfdivnq1631ojix/2wl781228339520.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228339579dfdivnq1631ojix/2wl781228339520.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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')

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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