PACF zonder aagepaste waardes PAPER

*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: Mon, 08 Dec 2008 06:59:46 -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/08/t1228744915ydkl67ni99sbmlt.htm/, Retrieved Mon, 08 Dec 2008 14:01:57 +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/08/t1228744915ydkl67ni99sbmlt.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 «

12300.00 12092.80 12380.80 12196.90 9455.00 13168.00 13427.90 11980.50 11884.80 11691.70 12233.80 14341.40 13130.70 12421.10 14285.80 12864.60 11160.20 14316.20 14388.70 14013.90 13419.00 12769.60 13315.50 15332.90 14243.00 13824.40 14962.90 13202.90 12199.00 15508.90 14199.80 15169.60 14058.00 13786.20 14147.90 16541.70 13587.50 15582.40 15802.80 14130.50 12923.20 15612.20 16033.70 16036.60 14037.80 15330.60 15038.30 17401.80 14992.50 16043.70 16929.60 15921.30 14417.20 15961.00 17851.90 16483.90 14215.50 17429.70 17839.50 17629.20

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 0.566966 4.3917 2.3e-05 2 0.412083 3.192 0.001125 3 0.509393 3.9457 0.000106 4 0.572262 4.4327 2e-05 5 0.439546 3.4047 0.000593 6 0.471897 3.6553 0.000271 7 0.354053 2.7425 0.004013 8 0.428772 3.3213 0.000765 9 0.324456 2.5132 0.007333 10 0.174748 1.3536 0.090471 11 0.246147 1.9066 0.030679 12 0.47856 3.7069 0.00023 13 0.164238 1.2722 0.104108 14 0.087487 0.6777 0.250294 15 0.132117 1.0234 0.15512 16 0.184663 1.4304 0.078896 17 0.096273 0.7457 0.229371 18 0.10107 0.7829 0.218387 19 0.018543 0.1436 0.443135 20 0.105208 0.8149 0.209165 21 0.019009 0.1472 0.441716 22 -0.082707 -0.6406 0.262095 23 0.007029 0.0545 0.478379 24 0.118958 0.9214 0.180255 25 -0.085726 -0.664 0.254608 26 -0.109543 -0.8485 0.199761 27 -0.095138 -0.7369 0.232018 28 -0.052081 -0.4034 0.344037 29 -0.130811 -1.0133 0.157502 30 -0.131934 -1.022 0.155453 31 -0.179539 -1.3907 0.084726 32 -0.106233 -0.8229 0.206917 33 -0.181803 -1.4082 0.08211 34 -0.237999 -1.8435 0.035096 35 -0.171281 -1.3267 0.094812 36 -0.10172 -0.7879 0.216923 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.566966 4.3917 2.3e-05 2 0.133569 1.0346 0.1525 3 0.346967 2.6876 0.00465 4 0.279954 2.1685 0.017047 5 0.006818 0.0528 0.479029 6 0.19306 1.4954 0.070021 7 -0.200617 -1.554 0.062725 8 0.1911 1.4803 0.072019 9 -0.220215 -1.7058 0.046611 10 -0.236099 -1.8288 0.036199 11 0.147942 1.146 0.128183 12 0.298982 2.3159 0.011999 13 -0.302831 -2.3457 0.011157 14 0.021355 0.1654 0.434587 15 -0.136241 -1.0553 0.147755 16 0.039346 0.3048 0.380796 17 -0.006243 -0.0484 0.480795 18 -0.034462 -0.2669 0.395214 19 0.056184 0.4352 0.332491 20 -0.048087 -0.3725 0.355425 21 -0.000294 -0.0023 0.499095 22 -0.012294 -0.0952 0.462226 23 0.061388 0.4755 0.318074 24 -0.093699 -0.7258 0.235394 25 0.001959 0.0152 0.493973 26 -0.047967 -0.3716 0.355767 27 -0.062497 -0.4841 0.315039 28 -0.00391 -0.0303 0.487969 29 -0.133838 -1.0367 0.152017 30 0.050914 0.3944 0.347349 31 -0.050177 -0.3887 0.34945 32 -0.008468 -0.0656 0.473961 33 0.038756 0.3002 0.38253 34 -0.036259 -0.2809 0.38989 35 0.000982 0.0076 0.496977 36 0.016257 0.1259 0.450107

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228744915ydkl67ni99sbmlt/1yp9u1228744784.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228744915ydkl67ni99sbmlt/1yp9u1228744784.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228744915ydkl67ni99sbmlt/25suu1228744784.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228744915ydkl67ni99sbmlt/25suu1228744784.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 36 ; 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')

Copyright

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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