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taak 8 werklozen vlaams gewest

*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: Fri, 05 Dec 2008 04:44:45 -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/t1228477538qriix2y5rru8agl.htm/, Retrieved Fri, 05 Dec 2008 11:45:40 +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/t1228477538qriix2y5rru8agl.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 «

189917 184128 175335 179566 181140 177876 175041 169292 166070 166972 206348 215706 202108 195411 193111 195198 198770 194163 190420 189733 186029 191531 232571 243477 227247 217859 208679 213188 216234 213587 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580

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	-0.099241	-0.6876	0.24752
2	0.190993	1.3232	0.096012
3	-0.185577	-1.2857	0.102355
4	-0.211644	-1.4663	0.074542
5	0.162667	1.127	0.132674
6	-0.116761	-0.8089	0.21127
7	0.237417	1.6449	0.053265
8	-0.032318	-0.2239	0.411889
9	0.082228	0.5697	0.285772
10	-0.047559	-0.3295	0.371606
11	-0.057947	-0.4015	0.344927
12	-0.138131	-0.957	0.171682
13	-0.046174	-0.3199	0.375216
14	0.051732	0.3584	0.360803
15	-0.09115	-0.6315	0.265353
16	0.193021	1.3373	0.093715
17	-0.176699	-1.2242	0.113425
18	0.247061	1.7117	0.046704
19	-0.001126	-0.0078	0.496904
20	-0.049527	-0.3431	0.366499
21	0.087799	0.6083	0.272931
22	-0.189285	-1.3114	0.09798
23	0.166854	1.156	0.126702
24	-0.114888	-0.796	0.214984
25	0.052465	0.3635	0.358919
26	0.00584	0.0405	0.483947
27	-0.033109	-0.2294	0.409771
28	0.010367	0.0718	0.47152
29	-0.132676	-0.9192	0.181291
30	-0.108931	-0.7547	0.227058
31	-0.079494	-0.5507	0.29218
32	0.083676	0.5797	0.282406
33	0.005981	0.0414	0.483559
34	0.078367	0.5429	0.294841
35	-0.07686	-0.5325	0.298418
36	-0.078249	-0.5421	0.295121
37	-0.027744	-0.1922	0.424192
38	-0.088918	-0.616	0.270388
39	0.058784	0.4073	0.342811
40	-0.062919	-0.4359	0.332425
41	0.096739	0.6702	0.252963
42	-0.00964	-0.0668	0.473514
43	-0.026791	-0.1856	0.426766
44	-0.021129	-0.1464	0.442114
45	-0.060461	-0.4189	0.338585
46	0.05622	0.3895	0.349313
47	-0.003264	-0.0226	0.491027
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.099241	-0.6876	0.24752
2	0.182946	1.2675	0.105548
3	-0.15876	-1.0999	0.138426
4	-0.28893	-2.0018	0.02549
5	0.218881	1.5165	0.067982
6	-0.030735	-0.2129	0.41614
7	0.064478	0.4467	0.328544
8	0.041103	0.2848	0.388524
9	0.082447	0.5712	0.28526
10	-0.060617	-0.42	0.338191
11	0.00665	0.0461	0.481723
12	-0.184679	-1.2795	0.103437
13	-0.018133	-0.1256	0.450274
14	0.056482	0.3913	0.348648
15	-0.166263	-1.1519	0.127533
16	0.101739	0.7049	0.242149
17	-0.060424	-0.4186	0.338677
18	0.19139	1.326	0.095559
19	0.137638	0.9536	0.172535
20	-0.100196	-0.6942	0.245459
21	0.047432	0.3286	0.371938
22	0.054286	0.3761	0.354249
23	-0.030029	-0.208	0.418036
24	-0.089773	-0.622	0.268453
25	-0.050371	-0.349	0.364315
26	-0.01295	-0.0897	0.464441
27	0.002589	0.0179	0.492881
28	-0.087502	-0.6062	0.273609
29	-0.111513	-0.7726	0.221777
30	-0.089947	-0.6232	0.26806
31	0.022542	0.1562	0.438275
32	0.043251	0.2996	0.382869
33	0.013502	0.0935	0.462929
34	-0.036122	-0.2503	0.401726
35	0.02661	0.1844	0.427255
36	-0.067682	-0.4689	0.320626
37	-0.110025	-0.7623	0.224813
38	0.00412	0.0285	0.488672
39	-0.069441	-0.4811	0.316315
40	-0.081148	-0.5622	0.288294
41	0.012176	0.0844	0.466563
42	-0.05169	-0.3581	0.360912
43	-0.007405	-0.0513	0.479649
44	0.013008	0.0901	0.464281
45	0.013217	0.0916	0.46371
46	0.066246	0.459	0.324166
47	0.049587	0.3436	0.366342
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228477538qriix2y5rru8agl/1sxaj1228477484.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228477538qriix2y5rru8agl/1sxaj1228477484.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228477538qriix2y5rru8agl/21xg21228477484.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228477538qriix2y5rru8agl/21xg21228477484.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1.5 ; 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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