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Uitvoer EU - Partial Autocorrelation 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: Thu, 04 Dec 2008 10:48:53 -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/04/t1228413036y8xubb3u1a8wft3.htm/, Retrieved Thu, 04 Dec 2008 17:50:36 +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/04/t1228413036y8xubb3u1a8wft3.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] 
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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

11178.4 9516.4 12102.8 12989.0 11610.2 10205.5 11356.2 11307.1 12648.6 11947.2 11714.1 12192.5 11268.8 9097.4 12639.8 13040.1 11687.3 11191.7 11391.9 11793.1 13933.2 12778.1 11810.3 13698.4 11956.6 10723.8 13938.9 13979.8 13807.4 12973.9 12509.8 12934.1 14908.3 13772.1 13012.6 14049.9 11816.5 11593.2 14466.2 13615.9 14733.9 13880.7 13527.5 13584.0 16170.2 13260.6 14741.9 15486.5 13154.5 12621.2 15031.6 15452.4 15428 13105.9 14716.8 14180.0 16202.2 14392.4 15140.6 15960.1 14351.3 13230.2 15202.1 17157.3 16159.1 13405.7 17224.7 17338.4 17370.6 18817.8 16593.2 17979.5 17015.2

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.336945	-2.8591	0.002777
2	-0.300881	-2.5531	0.006399
3	0.10687	0.9068	0.183763
4	0.034216	0.2903	0.386197
5	-0.058641	-0.4976	0.310146
6	0.165924	1.4079	0.081731
7	-0.146385	-1.2421	0.109112
8	0.11127	0.9442	0.174124
9	0.037346	0.3169	0.376122
10	-0.278482	-2.363	0.010416
11	-0.142264	-1.2071	0.115663
12	0.635652	5.3937	0
13	-0.209025	-1.7736	0.040176
14	-0.19088	-1.6197	0.054837
15	0.035502	0.3012	0.38205
16	-0.019301	-0.1638	0.435185
17	0.047519	0.4032	0.343993
18	0.070495	0.5982	0.275803
19	-0.093282	-0.7915	0.215619
20	0.1174	0.9962	0.161252
21	-0.022053	-0.1871	0.426045
22	-0.235399	-1.9974	0.024779
23	0.024627	0.209	0.417534
24	0.328167	2.7846	0.003422
25	-0.105629	-0.8963	0.186541
26	-0.069654	-0.591	0.278174
27	-0.062067	-0.5267	0.300026
28	0.02899	0.246	0.403195
29	0.040287	0.3418	0.366732
30	-0.001797	-0.0152	0.493938
31	-0.00838	-0.0711	0.471757
32	0.082891	0.7034	0.242052
33	-0.056727	-0.4813	0.315867
34	-0.160078	-1.3583	0.089303
35	0.005694	0.0483	0.480801
36	0.264171	2.2416	0.014036
37	-0.075462	-0.6403	0.261999
38	-0.068057	-0.5775	0.282707
39	-0.091837	-0.7793	0.219189
40	0.134968	1.1452	0.127951
41	-0.028429	-0.2412	0.405032
42	-0.030168	-0.256	0.399348
43	0.016893	0.1433	0.443212
44	0.082058	0.6963	0.244245
45	-0.062441	-0.5298	0.29893
46	-0.080394	-0.6822	0.24866
47	-0.045811	-0.3887	0.349317
48	0.205556	1.7442	0.042696
49	0.003429	0.0291	0.488434
50	-0.125654	-1.0662	0.144946
51	-0.055985	-0.475	0.318095
52	0.138688	1.1768	0.121574
53	-0.056931	-0.4831	0.315253
54	-0.001726	-0.0146	0.494179
55	0.003923	0.0333	0.486768
56	0.012299	0.1044	0.458587
57	0.010612	0.09	0.464252
58	-0.066165	-0.5614	0.288125
59	-0.019135	-0.1624	0.435735
60	0.107983	0.9163	0.181293

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.336945	-2.8591	0.002777
2	-0.467487	-3.9668	8.5e-05
3	-0.287875	-2.4427	0.008516
4	-0.281811	-2.3912	0.009703
5	-0.317525	-2.6943	0.004386
6	-0.061913	-0.5253	0.300477
7	-0.213394	-1.8107	0.037179
8	0.106363	0.9025	0.184896
9	0.211774	1.797	0.038268
10	-0.081715	-0.6934	0.245153
11	-0.576836	-4.8946	3e-06
12	0.025398	0.2155	0.414989
13	-0.012095	-0.1026	0.459272
14	0.122637	1.0406	0.15077
15	0.073121	0.6205	0.268459
16	-0.027601	-0.2342	0.407745
17	0.011777	0.0999	0.460338
18	-0.163637	-1.3885	0.084632
19	-0.055722	-0.4728	0.318886
20	-0.071995	-0.6109	0.271596
21	-0.046804	-0.3971	0.346219
22	-0.088196	-0.7484	0.228339
23	0.060918	0.5169	0.303403
24	-0.045096	-0.3826	0.351553
25	-0.066658	-0.5656	0.286708
26	0.020465	0.1737	0.431312
27	-0.056198	-0.4769	0.317455
28	0.152949	1.2978	0.099246
29	0.036556	0.3102	0.378658
30	0.055194	0.4683	0.320479
31	-0.000339	-0.0029	0.498856
32	-0.055906	-0.4744	0.318334
33	-0.013435	-0.114	0.454779
34	-0.040028	-0.3396	0.367556
35	-0.159848	-1.3564	0.089612
36	0.01755	0.1489	0.441019
37	0.013894	0.1179	0.453241
38	-0.017895	-0.1518	0.439868
39	-0.135786	-1.1522	0.126528
40	0.020939	0.1777	0.429741
41	0.021579	0.1831	0.427614
42	0.055398	0.4701	0.319862
43	-0.021936	-0.1861	0.426433
44	-0.012506	-0.1061	0.457892
45	-0.043379	-0.3681	0.356945
46	0.012728	0.108	0.457149
47	0.068423	0.5806	0.281664
48	-0.01671	-0.1418	0.443822
49	0.110305	0.936	0.176209
50	0.016528	0.1402	0.44443
51	0.086742	0.736	0.232052
52	-0.032398	-0.2749	0.392088
53	-0.07095	-0.602	0.274522
54	0.001256	0.0107	0.495765
55	0.019022	0.1614	0.436113
56	-0.036902	-0.3131	0.377545
57	-0.055914	-0.4744	0.318309
58	-0.056399	-0.4786	0.316849
59	0.05482	0.4652	0.321608
60	0.041616	0.3531	0.362515

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228413036y8xubb3u1a8wft3/1crml1228412928.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228413036y8xubb3u1a8wft3/1crml1228412928.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228413036y8xubb3u1a8wft3/2i19v1228412928.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t1228413036y8xubb3u1a8wft3/2i19v1228412928.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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')

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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