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ACF suiker met d=1

*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: Tue, 09 Dec 2008 09:13:46 -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/09/t1228839301uwkr6h4umweapwj.htm/, Retrieved Tue, 09 Dec 2008 16:15:01 +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/09/t1228839301uwkr6h4umweapwj.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 «

101.02 100.67 100.47 100.38 100.33 100.34 100.37 100.39 100.21 100.21 100.22 100.28 100.25 100.25 100.21 100.16 100.18 100.1 99.96 99.88 99.88 99.86 99.84 99.8 99.82 99.81 99.92 100.03 99.99 100.02 100.01 100.13 100.33 100.13 99.96 100.05 99.83 99.8 100.01 100.1 100.13 100.16 100.41 101.34 101.65 101.85 102.07 102.12 102.14 102.21 102.28 102.19 102.33 102.54 102.44 102.78 102.9 103.08 102.77 102.65 102.71 103.29 102.86 103.45 103.72 103.65 103.83 104.45 105.14 105.07 105.31 105.19 105.3 105.02 105.17 105.28 105.45 105.38 105.8 105.96 105.08 105.11 105.61 105.5

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.072545	0.6609	0.255247
2	-0.044992	-0.4099	0.341468
3	0.136506	1.2436	0.108569
4	0.161182	1.4684	0.072882
5	-0.100938	-0.9196	0.180225
6	0.015012	0.1368	0.445772
7	0.121832	1.1099	0.135115
8	0.021391	0.1949	0.422981
9	-0.071302	-0.6496	0.258876
10	-0.087296	-0.7953	0.214353
11	0.222776	2.0296	0.022801
12	-0.021897	-0.1995	0.421182
13	-0.069339	-0.6317	0.264657
14	0.069832	0.6362	0.2632
15	0.159631	1.4543	0.074816
16	-0.134931	-1.2293	0.11122
17	-0.02104	-0.1917	0.424228
18	0.227115	2.0691	0.020823
19	-0.097752	-0.8906	0.187869
20	-0.038243	-0.3484	0.364206
21	0.162786	1.483	0.070925
22	0.094569	0.8616	0.195705
23	0.045337	0.413	0.340321
24	0.045811	0.4174	0.338746
25	0.081294	0.7406	0.230505
26	0.052708	0.4802	0.316176
27	-0.103778	-0.9455	0.173582
28	-0.089397	-0.8144	0.208861
29	0.068648	0.6254	0.266708
30	-0.111233	-1.0134	0.156912
31	-0.076021	-0.6926	0.245253
32	0.051187	0.4663	0.321099
33	0.002034	0.0185	0.492631
34	-0.101496	-0.9247	0.178909
35	-0.006881	-0.0627	0.475084
36	-0.003805	-0.0347	0.486216
37	-0.156183	-1.4229	0.079257
38	-0.077493	-0.706	0.241085
39	0.039339	0.3584	0.36048
40	-0.033249	-0.3029	0.381356
41	-0.083513	-0.7608	0.224454
42	-0.172645	-1.5729	0.059777
43	-0.029959	-0.2729	0.392791
44	0.018183	0.1657	0.434416
45	-0.093681	-0.8535	0.197926
46	-0.013156	-0.1199	0.452443
47	0.03219	0.2933	0.385027
48	-0.079724	-0.7263	0.234844
49	-0.085183	-0.7761	0.21996
50	0.015205	0.1385	0.44508
51	-0.035506	-0.3235	0.373574
52	-0.015653	-0.1426	0.443472
53	-0.061184	-0.5574	0.289374
54	-0.040086	-0.3652	0.357946
55	-0.019006	-0.1732	0.431477
56	-0.004782	-0.0436	0.482678
57	0.028308	0.2579	0.398561
58	-0.004795	-0.0437	0.482629
59	-0.054001	-0.492	0.31202
60	-0.078284	-0.7132	0.238862

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.072545	0.6609	0.255247
2	-0.050521	-0.4603	0.323263
3	0.144729	1.3185	0.095475
4	0.140529	1.2803	0.102006
5	-0.113536	-1.0344	0.151986
6	0.028343	0.2582	0.398439
7	0.073356	0.6683	0.252898
8	0.012858	0.1171	0.453515
9	-0.041815	-0.381	0.352106
10	-0.126804	-1.1552	0.125654
11	0.225183	2.0515	0.021685
12	-0.042405	-0.3863	0.350122
13	-0.015764	-0.1436	0.443077
14	0.038391	0.3498	0.363703
15	0.082206	0.7489	0.228009
16	-0.08392	-0.7645	0.223355
17	-0.000551	-0.005	0.498004
18	0.163975	1.4939	0.069499
19	-0.162152	-1.4773	0.071693
20	0.069278	0.6311	0.264839
21	0.154012	1.4031	0.082156
22	-0.039143	-0.3566	0.361144
23	0.158221	1.4415	0.076609
24	-0.015024	-0.1369	0.445731
25	0.030254	0.2756	0.391759
26	-0.01782	-0.1624	0.435712
27	-0.101168	-0.9217	0.179681
28	-0.047707	-0.4346	0.332478
29	-0.085468	-0.7787	0.2192
30	-0.043502	-0.3963	0.346443
31	0.039357	0.3586	0.360416
32	-0.027072	-0.2466	0.402899
33	-0.013029	-0.1187	0.452901
34	-0.013803	-0.1258	0.450116
35	-0.014667	-0.1336	0.447012
36	-0.122054	-1.112	0.134683
37	-0.106659	-0.9717	0.16701
38	-0.060534	-0.5515	0.29139
39	0.02242	0.2043	0.419325
40	-0.00287	-0.0261	0.489603
41	-0.042863	-0.3905	0.348582
42	-0.185619	-1.6911	0.047288
43	-0.023005	-0.2096	0.417254
44	0.011004	0.1003	0.460192
45	-0.028198	-0.2569	0.398948
46	-0.02452	-0.2234	0.411893
47	-0.071333	-0.6499	0.258784
48	0.039965	0.3641	0.358356
49	-0.023815	-0.217	0.414383
50	-0.004634	-0.0422	0.483212
51	0.040557	0.3695	0.35635
52	0.022704	0.2068	0.418319
53	0.016558	0.1509	0.440229
54	-0.042516	-0.3873	0.349747
55	0.031435	0.2864	0.387648
56	0.024583	0.224	0.411668
57	0.085713	0.7809	0.218547
58	0.041496	0.378	0.35318
59	-0.054087	-0.4928	0.311743
60	0.046567	0.4242	0.336244

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839301uwkr6h4umweapwj/1fgfg1228839220.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839301uwkr6h4umweapwj/1fgfg1228839220.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839301uwkr6h4umweapwj/2ydcd1228839220.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839301uwkr6h4umweapwj/2ydcd1228839220.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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