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Q2:ACF eigen tijdreeks

*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: Sun, 07 Dec 2008 07:59:34 -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/07/t122866203862wtpqs6ehoirlo.htm/, Retrieved Sun, 07 Dec 2008 15:00:40 +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/07/t122866203862wtpqs6ehoirlo.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 «
9568.3 9920.3 11353.5 9247.5 10114.2 10763.1 8456.1 8071.6 10328 10551.4 10186.1 8821.6 9841.3 10233.6 10794.6 10289.3 10513.4 10607.6 9707.4 8103.5 10982.6 11836.9 10517.5 9810.5 10374.8 10855.3 11671.3 11901.2 10846.4 11917.5 11362.8 9314.5 12605.9 12815.1 11254.5 11111.8 11282.9 11554.5 12935.6 12146.3 11615.3 13214.8 11735.5 9522.3 12694.8 12317.6 11450 11380.9 10604.6 10972.2 13331.5 11733.1 11284.7 13295.8 11881.4 10374.2 13828 13490.5 13092.2 13184.4 12398.4 13882.3 15861.5 13286.1 15634.9 14211 13646.8 12224.6 15916.4 16535.9 15796 14418.6 15044.5 14944.2 16754.8 14254 15454.9 15644.8 14568.3 12520.2 14803 15873.2 14755.3 12875.1 14291.1 14205.3 15859.4 15258.9 15498.6 15106.5 15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22238.5 20682.2 17818.6 21872.1 22117 21865.9 23451.3 20953.7 22497.3
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.4247755.20240
20.5084626.22740
30.5989177.33520
40.3117153.81779.8e-05
50.3592914.40041e-05
60.3685014.51326e-06
70.0866731.06150.145078
80.1895082.3210.010817
90.1384381.69550.046026
10-0.081261-0.99520.160611
11-0.081683-1.00040.159362
12-0.149495-1.83090.034547
13-0.268653-3.29030.000624
14-0.178305-2.18380.015266
15-0.219198-2.68460.004039
16-0.370292-4.53516e-06
17-0.20149-2.46770.00736
18-0.260267-3.18760.000873
19-0.348911-4.27331.7e-05
20-0.18737-2.29480.011566
21-0.274775-3.36530.000486
22-0.321663-3.93966.2e-05
23-0.047436-0.5810.281068
24-0.272462-3.3370.000534
25-0.185376-2.27040.012304
26-0.027944-0.34220.366324
27-0.155696-1.90690.029224
28-0.090411-1.10730.134967
290.0338480.41450.339533
30-0.118388-1.450.07458
310.0216530.26520.395614
320.0854341.04630.148542
33-0.061895-0.75810.224804
340.0473330.57970.28149
350.0823611.00870.157367
36-0.042357-0.51880.302343
370.1186681.45340.074103
380.0754140.92360.178581
39-0.031348-0.38390.350787
400.1046251.28140.101018
410.0668560.81880.207094
42-0.058531-0.71690.237288
430.1026421.25710.105335
44-0.00637-0.0780.46896
45-0.072721-0.89070.187271
460.1543021.88980.030357
47-0.050302-0.61610.269392
48-0.065577-0.80310.21158
490.1078691.32110.094237
50-0.081952-1.00370.158568
510.002760.03380.486538
520.0627460.76850.221705
53-0.071246-0.87260.192143
540.0565320.69240.244887
550.0454170.55620.289436
56-0.047712-0.58430.279932
570.0518510.6350.263183
580.0045740.0560.477702
59-0.015284-0.18720.425882
600.0594980.72870.233661


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.4247755.20240
20.4002474.9021e-06
30.4349535.32710
4-0.122792-1.50390.067356
5-0.093104-1.14030.127993
60.0390990.47890.316365
7-0.234447-2.87140.002339
8-0.052891-0.64780.25906
90.0318160.38970.348668
10-0.127663-1.56350.060016
11-0.258443-3.16530.000938
12-0.1532-1.87630.031278
13-0.027175-0.33280.369865
140.1159811.42050.078773
150.1514151.85450.032819
16-0.131312-1.60820.054943
170.0058150.07120.471659
180.0216220.26480.395756
19-0.076136-0.93250.176297
200.030460.37310.354817
21-0.001558-0.01910.492402
22-0.173657-2.12690.017534
230.0918331.12470.131252
24-0.140374-1.71920.043818
25-0.034562-0.42330.336342
260.0610230.74740.228005
270.0670540.82120.206405
28-0.082328-1.00830.157465
29-0.014742-0.18050.428483
30-0.010862-0.1330.447171
310.0172640.21140.416416
320.0339910.41630.33889
33-0.084894-1.03970.150068
34-0.085375-1.04560.148707
35-0.026545-0.32510.372774
36-0.056007-0.68590.246902
370.0974971.19410.117163
380.0453630.55560.289662
39-0.02788-0.34150.366616
40-0.12497-1.53060.063992
410.0044870.0550.478122
42-0.040213-0.49250.31154
430.0700710.85820.196076
44-0.010344-0.12670.449678
45-0.110675-1.35550.088651
460.0670420.82110.206447
47-0.013715-0.1680.433417
48-0.083713-1.02530.153443
490.0627740.76880.221606
50-0.000303-0.00370.498521
510.0760190.9310.176664
52-0.102754-1.25850.105088
530.0235670.28860.386629
540.0871231.0670.143835
55-0.094006-1.15130.125713
56-0.061059-0.74780.227871
570.0243120.29780.383147
58-0.075335-0.92270.178833
590.0667440.81740.207486
60-3e-05-4e-040.499853
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t122866203862wtpqs6ehoirlo/12n121228661972.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t122866203862wtpqs6ehoirlo/12n121228661972.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t122866203862wtpqs6ehoirlo/2cstw1228661972.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t122866203862wtpqs6ehoirlo/2cstw1228661972.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 0.3 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 0.3 ; 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')
 




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