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ACF - woninghuur (d1, D0, lambda1)

*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 11:35:03 -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/t1228761426k54v5vaurbgkk0n.htm/, Retrieved Mon, 08 Dec 2008 18:37:06 +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/t1228761426k54v5vaurbgkk0n.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 «

106,6 106,8 107 107,1 107,3 107,4 107,6 107,7 107,9 108,2 108,3 108,5 108,92 109,23 109,41 109,65 109,91 110,01 110,2 110,49 110,57 110,72 110,94 111,09 111,28 111,41 111,62 111,76 111,89 112,04 112,12 112,3 112,47 112,59 112,78 112,73 112,99 113,1 113,33 113,38 113,68 113,65 113,81 113,88 114,02 114,25 114,28 114,38 114,73 114,97 115,05 115,29 115,37 115,54 115,76 115,92 116,02 116,21 116,26 116,51

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	3 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.2137	-1.6415	0.053011
2	0.090669	0.6964	0.244443
3	0.132297	1.0162	0.156843
4	0.154406	1.186	0.120186
5	-0.106232	-0.816	0.208896
6	0.171623	1.3183	0.096256
7	-0.032878	-0.2525	0.400752
8	-0.012469	-0.0958	0.462013
9	-0.020103	-0.1544	0.438904
10	-0.014236	-0.1093	0.456649
11	0.135941	1.0442	0.15033
12	0.022952	0.1763	0.430333
13	-0.060196	-0.4624	0.322758
14	0.013357	0.1026	0.459314
15	0.064462	0.4951	0.311168
16	-0.166371	-1.2779	0.103141
17	0.100758	0.7739	0.221028
18	-0.099182	-0.7618	0.224598
19	-0.041973	-0.3224	0.374146
20	-0.1026	-0.7881	0.216902
21	0.027853	0.2139	0.415664
22	-0.08838	-0.6789	0.249941
23	-0.015054	-0.1156	0.454167
24	-0.062122	-0.4772	0.317502
25	0.031049	0.2385	0.406164
26	-0.055858	-0.4291	0.334723
27	-0.031553	-0.2424	0.40467
28	-0.061374	-0.4714	0.319539
29	-0.054623	-0.4196	0.338164
30	-0.01576	-0.1211	0.452028
31	-0.141296	-1.0853	0.141098
32	0.04757	0.3654	0.358062
33	-0.029298	-0.225	0.411362
34	-0.106356	-0.8169	0.208626
35	-0.017662	-0.1357	0.446275
36	0.216856	1.6657	0.050537
37	-0.068852	-0.5289	0.299444
38	-0.012731	-0.0978	0.461215
39	0.033336	0.2561	0.399399
40	-0.007594	-0.0583	0.476842
41	-0.015521	-0.1192	0.452754
42	0.004346	0.0334	0.486742
43	-0.035628	-0.2737	0.39265
44	-0.045759	-0.3515	0.36324
45	-0.016366	-0.1257	0.450195
46	-0.053835	-0.4135	0.340363
47	0.056188	0.4316	0.333808
48	0.011692	0.0898	0.464372
49	-0.031525	-0.2421	0.404752
50	0.011051	0.0849	0.466319
51	0.021099	0.1621	0.435903
52	-0.024075	-0.1849	0.426961
53	0.038908	0.2989	0.383049
54	-0.029735	-0.2284	0.410062
55	0.020535	0.1577	0.437603
56	-0.019359	-0.1487	0.44115
57	-0.002576	-0.0198	0.492139
58	0.005882	0.0452	0.482058
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.2137	-1.6415	0.053011
2	0.047155	0.3622	0.359247
3	0.168909	1.2974	0.09977
4	0.228206	1.7529	0.042408
5	-0.053442	-0.4105	0.341466
6	0.085499	0.6567	0.256955
7	-0.028007	-0.2151	0.415206
8	-0.057111	-0.4387	0.331249
9	-0.056219	-0.4318	0.333722
10	-0.076413	-0.5869	0.279743
11	0.185979	1.4285	0.079206
12	0.126597	0.9724	0.167408
13	-0.032279	-0.2479	0.40252
14	-0.075219	-0.5778	0.28281
15	-0.021006	-0.1614	0.436183
16	-0.155589	-1.1951	0.118414
17	0.013406	0.103	0.459167
18	-0.07985	-0.6133	0.271004
19	-0.013302	-0.1022	0.459483
20	-0.043625	-0.3351	0.369371
21	-0.008591	-0.066	0.473806
22	-0.018508	-0.1422	0.443718
23	-0.064226	-0.4933	0.311804
24	-0.031803	-0.2443	0.40393
25	0.044328	0.3405	0.367348
26	-0.001097	-0.0084	0.496654
27	-0.008014	-0.0616	0.475563
28	-0.087812	-0.6745	0.251315
29	-0.108468	-0.8332	0.204057
30	0.011908	0.0915	0.463717
31	-0.113806	-0.8742	0.192788
32	0.034898	0.2681	0.394794
33	0.078018	0.5993	0.275645
34	-0.070776	-0.5436	0.29437
35	-0.013576	-0.1043	0.458651
36	0.180795	1.3887	0.08507
37	0.089543	0.6878	0.24714
38	-0.048139	-0.3698	0.356442
39	-0.09479	-0.7281	0.234718
40	-0.083886	-0.6443	0.260925
41	0.011984	0.0921	0.463484
42	-0.04034	-0.3099	0.378881
43	-0.037587	-0.2887	0.386906
44	-0.065172	-0.5006	0.309259
45	0.022875	0.1757	0.430564
46	-0.007113	-0.0546	0.478305
47	-0.083421	-0.6408	0.262078
48	-0.001355	-0.0104	0.495866
49	-0.008652	-0.0665	0.473621
50	-0.009054	-0.0695	0.472394
51	-0.007634	-0.0586	0.476719
52	-0.002816	-0.0216	0.491409
53	-0.009315	-0.0715	0.471601
54	-0.021289	-0.1635	0.435332
55	0.048537	0.3728	0.355308
56	0.027906	0.2144	0.415505
57	-0.02173	-0.1669	0.434004
58	-0.012641	-0.0971	0.461489
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/08/t1228761426k54v5vaurbgkk0n/1lust1228761297.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228761426k54v5vaurbgkk0n/1lust1228761297.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228761426k54v5vaurbgkk0n/20s4n1228761297.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228761426k54v5vaurbgkk0n/20s4n1228761297.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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')

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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