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Uitvoer Amerika (Partial) autocorrelation D=1 en 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 11:20:00 -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/t12284148586uodbdqrr36bugq.htm/, Retrieved Thu, 04 Dec 2008 18:21:01 +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/t12284148586uodbdqrr36bugq.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1190.8 728.8 995.6 1260.3 994 957.3 975.6 884.9 908.4 1022.8 958.6 825.1 1116.6 724.2 1004.5 1058.9 854.7 943.4 792.4 873.2 1101.4 987.1 1038.8 1060.7 1047.7 840 1044 1097.4 987.5 934 977 881.1 1083.3 1074.7 1182.2 1117.5 1117.4 936.2 1246.3 1175.1 1177.7 1035.8 1091.6 998.7 1247.9 1034.7 1287.7 994.0 1122.8 1017.3 1106.0 1191.8 1030.1 989.4 979.6 1088.0 1389.2 1043.9 1182.1 1109.6 1463.3 1276.2 1082.4 1360.4 1130.2 1019.6 1077.0 958.8 959.6 907.2 880.8 759.6 1137.2

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	-0.439447	-3.4039	0.000595
2	-0.131401	-1.0178	0.156424
3	0.243622	1.8871	0.031995
4	-0.121025	-0.9375	0.17614
5	0.035226	0.2729	0.392949
6	0.129012	0.9993	0.160826
7	-0.140088	-1.0851	0.141105
8	-0.007918	-0.0613	0.47565
9	-0.063115	-0.4889	0.313353
10	0.078566	0.6086	0.272554
11	0.026376	0.2043	0.419401
12	-0.109145	-0.8454	0.200614
13	0.001193	0.0092	0.496328
14	0.002647	0.0205	0.491854
15	0.014909	0.1155	0.454224
16	-0.014543	-0.1126	0.455343
17	0.002847	0.0221	0.491238
18	0.100012	0.7747	0.220784
19	-0.117596	-0.9109	0.182997
20	-0.025324	-0.1962	0.422574
21	0.224558	1.7394	0.043545
22	-0.242824	-1.8809	0.03242
23	0.246024	1.9057	0.030742
24	-0.148391	-1.1494	0.12747
25	-0.074144	-0.5743	0.283949
26	0.191118	1.4804	0.072
27	-0.067237	-0.5208	0.302206
28	-0.090601	-0.7018	0.242761
29	0.082924	0.6423	0.261554
30	-0.042063	-0.3258	0.372848
31	-0.011338	-0.0878	0.465153
32	0.006893	0.0534	0.478798
33	0.048098	0.3726	0.355391
34	-0.085384	-0.6614	0.255451
35	0.001194	0.0092	0.496326
36	0.077695	0.6018	0.274779
37	-0.018481	-0.1431	0.443326
38	-0.019699	-0.1526	0.439617
39	0.00771	0.0597	0.476288
40	-0.015447	-0.1197	0.452579
41	0.082038	0.6355	0.263771
42	-0.110446	-0.8555	0.197836
43	0.052659	0.4079	0.342401
44	0.116757	0.9044	0.184702
45	-0.257693	-1.9961	0.025235
46	0.113661	0.8804	0.191074
47	0.108327	0.8391	0.202372
48	-0.201178	-1.5583	0.062208
49	0.060019	0.4649	0.321842
50	0.06059	0.4693	0.320267
51	-0.120499	-0.9334	0.177183
52	0.061952	0.4799	0.316528
53	0.053217	0.4122	0.340825
54	-0.075172	-0.5823	0.281279
55	0.012404	0.0961	0.461888
56	0.021787	0.1688	0.433276
57	-0.013321	-0.1032	0.459082
58	-0.002016	-0.0156	0.493797
59	0.0015	0.0116	0.495385
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.439447	-3.4039	0.000595
2	-0.40218	-3.1153	0.001409
3	-0.02082	-0.1613	0.436212
4	-0.048147	-0.3729	0.355251
5	0.055811	0.4323	0.333533
6	0.190244	1.4736	0.072905
7	0.067688	0.5243	0.300998
8	-0.032925	-0.255	0.399784
9	-0.257813	-1.997	0.025183
10	-0.136942	-1.0607	0.146528
11	-0.029191	-0.2261	0.410942
12	-0.036516	-0.2828	0.389133
13	-0.045318	-0.351	0.363396
14	-0.056516	-0.4378	0.331562
15	0.010765	0.0834	0.466912
16	-0.060762	-0.4707	0.319796
17	-0.04699	-0.364	0.358574
18	0.159349	1.2343	0.11095
19	0.077998	0.6042	0.274004
20	-0.073266	-0.5675	0.286241
21	0.09163	0.7098	0.240299
22	-0.145731	-1.1288	0.131732
23	0.218054	1.689	0.048202
24	-0.083433	-0.6463	0.260284
25	-0.057782	-0.4476	0.328036
26	0.028433	0.2202	0.413217
27	0.049905	0.3866	0.350222
28	-0.05068	-0.3926	0.348017
29	-0.09903	-0.7671	0.223021
30	0.085825	0.6648	0.254364
31	0.020814	0.1612	0.43623
32	-0.042191	-0.3268	0.372475
33	0.037717	0.2922	0.385587
34	-0.01796	-0.1391	0.444913
35	0.013712	0.1062	0.457884
36	-0.018396	-0.1425	0.443582
37	0.038942	0.3016	0.381982
38	0.082268	0.6372	0.263194
39	-0.02891	-0.2239	0.411783
40	-0.049273	-0.3817	0.352028
41	0.033596	0.2602	0.397788
42	-0.086444	-0.6696	0.252844
43	0.049286	0.3818	0.351991
44	0.021461	0.1662	0.434266
45	-0.04163	-0.3225	0.37411
46	-0.109856	-0.8509	0.199093
47	0.010116	0.0784	0.468903
48	-0.089051	-0.6898	0.246494
49	-0.107713	-0.8343	0.203699
50	0.029945	0.232	0.408681
51	-0.020838	-0.1614	0.436157
52	0.004358	0.0338	0.486593
53	0.048518	0.3758	0.354188
54	-0.033649	-0.2606	0.397629
55	0.023741	0.1839	0.427356
56	-0.057922	-0.4487	0.327645
57	-0.042491	-0.3291	0.3716
58	-0.103729	-0.8035	0.212434
59	-0.109644	-0.8493	0.199545
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t12284148586uodbdqrr36bugq/1ekuz1228414798.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t12284148586uodbdqrr36bugq/1ekuz1228414798.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t12284148586uodbdqrr36bugq/2ys0h1228414798.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/04/t12284148586uodbdqrr36bugq/2ys0h1228414798.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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')

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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