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Autocorrelatie Koers euro-dollar - Spillemaeckers Matthias

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Fri, 05 Dec 2008 02:45:36 -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/05/t1228470423ru1c3cgsxyxzmn6.htm/, Retrieved Fri, 05 Dec 2008 09:47:05 +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/05/t1228470423ru1c3cgsxyxzmn6.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 «
0,9808 0,9811 1,0014 1,0183 1,0622 1,0773 1,0807 1,0848 1,1582 1,1663 1,1372 1,1139 1,1222 1,1692 1,1702 1,2286 1,2613 1,2646 1,2262 1,1985 1,2007 1,2138 1,2266 1,2176 1,2218 1,249 1,2991 1,3408 1,3119 1,3014 1,3201 1,2938 1,2694 1,2165 1,2037 1,2292 1,2256 1,2015 1,1786 1,1856 1,2103 1,1938 1,202 1,2271 1,277 1,265 1,2684 1,2811 1,2727 1,2611 1,2881 1,3213 1,2999 1,3074 1,3242 1,3516 1,3511 1,3419 1,3716 1,3622 1,3896 1,4227 1,4684 1,457 1,4718 1,4748 1,5527 1,575 1,5557 1,5553 1,577 1,4975
 
Output produced by software:


Summary of computational 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
10.9290727.88340
20.8355157.08960
30.7524936.38510
40.673515.71490
50.591425.01842e-06
60.5148944.3692.1e-05
70.4552953.86330.000121
80.3979733.37690.000593
90.3540913.00460.001829
100.3083132.61610.005415
110.2643242.24290.013992
120.2175441.84590.034507
130.1737581.47440.072369
140.1381591.17230.122468
150.1041290.88360.189936
160.0800410.67920.249603
170.0656510.55710.289603
180.0577790.49030.312716
190.0413810.35110.363257
200.0148590.12610.450008
21-0.013472-0.11430.454654
22-0.030747-0.26090.397459
23-0.045942-0.38980.348906
24-0.068438-0.58070.281624
25-0.08903-0.75540.226224
26-0.095234-0.80810.21085
27-0.090845-0.77080.221659
28-0.079756-0.67670.250367
29-0.063139-0.53570.296891
30-0.038623-0.32770.372036
31-0.007364-0.06250.475174
320.0130560.11080.456047
330.0342210.29040.386184
340.0520420.44160.330055
350.062640.53150.298348
360.0691630.58690.279563
370.0707870.60060.27498
380.0718570.60970.271981
390.0610910.51840.302892
400.037030.31420.377136
410.0063340.05370.478645
42-0.033129-0.28110.389718
43-0.070575-0.59890.275575
44-0.10705-0.90830.183362
45-0.133929-1.13640.129773
46-0.157875-1.33960.092291
47-0.175327-1.48770.070598
48-0.188158-1.59660.057371


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9290727.88340
2-0.202151-1.71530.045295
30.0543430.46110.323051
4-0.04648-0.39440.347226
5-0.068563-0.58180.281267
60.0015170.01290.494882
70.059730.50680.306913
8-0.058849-0.49930.309528
90.0819810.69560.24445
10-0.088771-0.75330.226878
110.000390.00330.498685
12-0.063645-0.540.295415
135.9e-055e-040.4998
140.0141760.12030.452296
15-0.018419-0.15630.438121
160.0387660.32890.371578
170.0376020.31910.375301
18-0.002857-0.02420.490363
19-0.072646-0.61640.26978
20-0.076534-0.64940.259068
21-0.027043-0.22950.409578
220.0690770.58610.279807
23-0.029714-0.25210.40083
24-0.047287-0.40120.344715
25-0.008282-0.07030.472084
260.0627290.53230.298087
270.0203840.1730.431582
280.0481020.40820.342183
290.0262420.22270.412212
300.0687460.58330.280748
310.0503710.42740.335178
32-0.072067-0.61150.271393
330.058310.49480.311132
34-0.023529-0.19970.421157
35-0.028783-0.24420.403872
36-0.000908-0.00770.496935
37-0.03111-0.2640.396275
380.0173650.14740.441634
39-0.06938-0.58870.278949
40-0.122363-1.03830.151306
41-0.034555-0.29320.385104
42-0.095302-0.80870.210686
430.0382360.32440.37327
44-0.036342-0.30840.379345
450.0118220.10030.460187
46-0.02343-0.19880.421486
470.0095160.08070.467933
48-0.033601-0.28510.388189
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470423ru1c3cgsxyxzmn6/1ilj51228470334.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470423ru1c3cgsxyxzmn6/1ilj51228470334.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470423ru1c3cgsxyxzmn6/2yaes1228470334.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470423ru1c3cgsxyxzmn6/2yaes1228470334.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')
 





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