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autocorrelation stationnair maken

*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 13:50:31 -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/t12287694695006wrgzbe2014s.htm/, Retrieved Mon, 08 Dec 2008 20:51:11 +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/t12287694695006wrgzbe2014s.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 «

565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.096503	-0.6616	0.255732
2	0.0197	0.1351	0.446572
3	0.200989	1.3779	0.087378
4	0.085621	0.587	0.280011
5	-0.053357	-0.3658	0.358079
6	0.090025	0.6172	0.270047
7	-0.024438	-0.1675	0.433833
8	0.10113	0.6933	0.245763
9	-0.074102	-0.508	0.306909
10	-0.120641	-0.8271	0.206188
11	0.225632	1.5469	0.064303
12	-0.228569	-1.567	0.061913
13	-0.179478	-1.2304	0.112328
14	0.115013	0.7885	0.217184
15	-0.091179	-0.6251	0.267466
16	-0.169356	-1.161	0.125743
17	0.012979	0.089	0.464738
18	-0.013391	-0.0918	0.463622
19	0.032396	0.2221	0.4126
20	0.010007	0.0686	0.472797
21	-0.014767	-0.1012	0.459895
22	0.04657	0.3193	0.375469
23	0.028615	0.1962	0.42266
24	-0.09622	-0.6597	0.256349
25	0.017388	0.1192	0.45281
26	-0.028143	-0.1929	0.42392
27	-0.030881	-0.2117	0.416625
28	-0.025579	-0.1754	0.430775
29	0.102243	0.7009	0.243396
30	-0.082853	-0.568	0.286365
31	-0.004882	-0.0335	0.48672
32	-0.020356	-0.1396	0.444804
33	0.009025	0.0619	0.475464
34	-0.097066	-0.6655	0.254507
35	-0.041436	-0.2841	0.388802
36	-0.0412	-0.2825	0.389419
37	0.007095	0.0486	0.480706
38	0.002241	0.0154	0.493904
39	-0.017751	-0.1217	0.45183
40	0.030661	0.2102	0.41721
41	-0.064913	-0.445	0.329174
42	-0.026195	-0.1796	0.429125
43	0.04186	0.287	0.387695
44	-0.028836	-0.1977	0.422071
45	-0.015714	-0.1077	0.457335
46	0.008615	0.0591	0.476576
47	NA	NA	NA
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	-0.096503	-0.6616	0.255732
2	0.010485	0.0719	0.471501
3	0.205821	1.411	0.082409
4	0.131261	0.8999	0.186387
5	-0.042461	-0.2911	0.386127
6	0.032117	0.2202	0.413342
7	-0.055508	-0.3805	0.352627
8	0.104918	0.7193	0.237764
9	-0.070179	-0.4811	0.31633
10	-0.155835	-1.0683	0.14541
11	0.192163	1.3174	0.097045
12	-0.204659	-1.4031	0.083584
13	-0.170219	-1.167	0.124556
14	0.040329	0.2765	0.391694
15	-0.038603	-0.2646	0.396218
16	-0.058591	-0.4017	0.344871
17	-0.047181	-0.3235	0.373892
18	0.051695	0.3544	0.362311
19	0.081981	0.562	0.288383
20	0.078608	0.5389	0.296246
21	0.045539	0.3122	0.378135
22	-0.095978	-0.658	0.256876
23	0.088379	0.6059	0.273749
24	-0.061607	-0.4224	0.337344
25	-0.16412	-1.1252	0.133119
26	-0.057215	-0.3922	0.348326
27	0.007478	0.0513	0.479665
28	-0.064479	-0.442	0.330242
29	0.087975	0.6031	0.274663
30	-0.050678	-0.3474	0.36491
31	-0.008088	-0.0554	0.478008
32	0.011075	0.0759	0.4699
33	0.043643	0.2992	0.383053
34	-0.124925	-0.8564	0.19805
35	-0.023725	-0.1626	0.435746
36	0.015485	0.1062	0.457954
37	-0.063327	-0.4341	0.333083
38	0.031054	0.2129	0.416163
39	0.026514	0.1818	0.428272
40	-0.068303	-0.4683	0.320881
41	-0.059092	-0.4051	0.343616
42	-0.0311	-0.2132	0.416041
43	0.002409	0.0165	0.493447
44	-0.018715	-0.1283	0.449229
45	0.090972	0.6237	0.267929
46	-0.062377	-0.4276	0.335436
47	NA	NA	NA
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/08/t12287694695006wrgzbe2014s/16gm51228769429.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287694695006wrgzbe2014s/16gm51228769429.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287694695006wrgzbe2014s/2cxkg1228769429.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287694695006wrgzbe2014s/2cxkg1228769429.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.5 ; 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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