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Acf suiker met d=1 en 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 09:15:48 -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/t1228839395g6ja378booc3bf7.htm/, Retrieved Tue, 09 Dec 2008 16:16:35 +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/t1228839395g6ja378booc3bf7.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 «

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

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.001627	0.0137	0.49455
2	0.031432	0.2649	0.395946
3	0.058212	0.4905	0.312645
4	0.222161	1.872	0.032665
5	-0.085167	-0.7176	0.237671
6	-0.124306	-1.0474	0.14923
7	0.180381	1.5199	0.066486
8	-0.062395	-0.5258	0.30035
9	-0.222814	-1.8775	0.032281
10	-0.206709	-1.7418	0.042941
11	0.107046	0.902	0.185057
12	-0.396845	-3.3439	0.000661
13	-0.126139	-1.0629	0.145721
14	-0.025099	-0.2115	0.416555
15	0.10157	0.8558	0.197483
16	-0.129362	-1.09	0.139695
17	-0.01646	-0.1387	0.445043
18	0.254941	2.1482	0.017556
19	-0.07901	-0.6657	0.253864
20	-0.002618	-0.0221	0.491233
21	0.165583	1.3952	0.083648
22	0.17431	1.4688	0.073157
23	0.00613	0.0517	0.479474
24	0.044034	0.371	0.355856
25	0.178606	1.505	0.068385
26	0.06594	0.5556	0.290109
27	-0.138857	-1.17	0.12295
28	-0.032103	-0.2705	0.393778
29	0.06854	0.5775	0.282706
30	-0.065396	-0.551	0.291669
31	-0.020655	-0.174	0.431165
32	-0.025401	-0.214	0.415568
33	-0.001312	-0.0111	0.495605
34	-0.098372	-0.8289	0.204971
35	-0.061123	-0.515	0.304065
36	-0.000613	-0.0052	0.497947
37	-0.095269	-0.8027	0.2124
38	-0.065659	-0.5533	0.290914
39	0.088651	0.747	0.22877
40	0.020094	0.1693	0.433014
41	-0.010397	-0.0876	0.465217
42	-0.057039	-0.4806	0.316132
43	0.015779	0.133	0.447304
44	0.018082	0.1524	0.439667
45	-0.064655	-0.5448	0.293803
46	0.005033	0.0424	0.483146
47	0.041295	0.348	0.364452
48	-0.027156	-0.2288	0.409833
49	-0.090618	-0.7636	0.22383
50	0.019345	0.163	0.43549
51	-0.014821	-0.1249	0.450483
52	0.010147	0.0855	0.466053
53	-0.039844	-0.3357	0.369032
54	0.023758	0.2002	0.420952
55	0.025662	0.2162	0.414714
56	0.004155	0.035	0.486085
57	0.042381	0.3571	0.361035
58	0.024227	0.2041	0.419412
59	-0.022505	-0.1896	0.425069
60	-0.056855	-0.4791	0.31668

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.001627	0.0137	0.49455
2	0.03143	0.2648	0.395954
3	0.058169	0.4901	0.312773
4	0.222067	1.8712	0.032721
5	-0.090701	-0.7643	0.223622
6	-0.14979	-1.2622	0.105513
7	0.17371	1.4637	0.073843
8	-0.101919	-0.8588	0.196675
9	-0.209933	-1.7689	0.0406
10	-0.178264	-1.5021	0.068756
11	0.052189	0.4398	0.330725
12	-0.382465	-3.2227	0.000959
13	-0.011088	-0.0934	0.462914
14	0.018106	0.1526	0.439587
15	0.040969	0.3452	0.365478
16	0.052271	0.4404	0.330476
17	0.054783	0.4616	0.322886
18	0.126938	1.0696	0.144211
19	-0.089452	-0.7537	0.226749
20	-0.009432	-0.0795	0.46844
21	0.088657	0.747	0.228753
22	-0.134693	-1.1349	0.130108
23	0.10082	0.8495	0.199222
24	-0.045335	-0.382	0.351802
25	0.043274	0.3646	0.358234
26	0.07687	0.6477	0.259629
27	-0.017623	-0.1485	0.441186
28	-0.064526	-0.5437	0.294174
29	-0.006001	-0.0506	0.479906
30	0.133389	1.124	0.132408
31	0.041664	0.3511	0.363289
32	-0.050415	-0.4248	0.336133
33	0.081591	0.6875	0.247004
34	-0.011264	-0.0949	0.462326
35	0.030666	0.2584	0.398425
36	-0.079106	-0.6666	0.253607
37	-0.056895	-0.4794	0.316563
38	-0.072612	-0.6118	0.271298
39	0.071305	0.6008	0.274936
40	0.000879	0.0074	0.497056
41	-0.020706	-0.1745	0.430996
42	-0.028331	-0.2387	0.406005
43	-0.014082	-0.1187	0.452941
44	-0.026581	-0.224	0.411708
45	-0.03157	-0.266	0.395499
46	-0.110138	-0.928	0.178265
47	-0.015938	-0.1343	0.446773
48	-0.098071	-0.8264	0.205684
49	-0.113598	-0.9572	0.170859
50	-0.004597	-0.0387	0.484605
51	-0.02463	-0.2075	0.418093
52	0.030817	0.2597	0.397934
53	0.054326	0.4578	0.324261
54	-0.071539	-0.6028	0.274283
55	0.0071	0.0598	0.476233
56	0.001344	0.0113	0.495499
57	0.010501	0.0885	0.46487
58	-0.007252	-0.0611	0.475721
59	-0.089955	-0.758	0.225489
60	-0.095869	-0.8078	0.210951

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839395g6ja378booc3bf7/12qsk1228839344.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839395g6ja378booc3bf7/12qsk1228839344.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839395g6ja378booc3bf7/2jzry1228839344.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228839395g6ja378booc3bf7/2jzry1228839344.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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