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ACF investeringsgoederen (D=1 en d=0)

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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 10:48:15 -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/t1228844945sjih1ikjk5wsqfd.htm/, Retrieved Tue, 09 Dec 2008 17:49:05 +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/t1228844945sjih1ikjk5wsqfd.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 «

93.4 101.5 110.4 105.9 108.4 113.9 86.1 69.4 101.2 100.5 98.0 106.6 90.1 96.9 125.9 112.0 100.0 123.9 79.8 83.4 113.6 112.9 104.0 109.9 99.0 106.3 128.9 111.1 102.9 130.0 87.0 87.5 117.6 103.4 110.8 112.6 102.5 112.4 135.6 105.1 127.7 137.0 91.0 90.5 122.4 123.3 124.3 120.0 118.1 119.0 142.7 123.6 129.6 151.6 110.4 99.2 130.5 136.2 129.7 128.0 121.6 135.8 143.8 147.5 136.2 156.6 123.3 104.5 143.6

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	-0.106834	-0.8066	0.21163
2	0.094579	0.7141	0.239054
3	0.155102	1.171	0.123236
4	0.004258	0.0321	0.487233
5	0.223633	1.6884	0.0484
6	0.208123	1.5713	0.060825
7	-0.085613	-0.6464	0.260319
8	0.04878	0.3683	0.357015
9	0.038841	0.2932	0.385201
10	0.150841	1.1388	0.12977
11	0.080546	0.6081	0.272765
12	-0.110446	-0.8338	0.203924
13	-0.02029	-0.1532	0.439397
14	-0.040849	-0.3084	0.379449
15	0.112544	0.8497	0.199527
16	0.037709	0.2847	0.388454
17	0.0993	0.7497	0.228259
18	-0.097022	-0.7325	0.233434
19	-0.049532	-0.374	0.354911
20	0.014486	0.1094	0.456648
21	0.142093	1.0728	0.143945
22	-0.229588	-1.7333	0.04422
23	0.201702	1.5228	0.066666
24	-0.19016	-1.4357	0.07828
25	-0.041479	-0.3132	0.377652
26	0.157103	1.1861	0.120251
27	-0.100801	-0.761	0.224888
28	-0.125948	-0.9509	0.172838
29	-0.035896	-0.271	0.393681
30	-0.149963	-1.1322	0.131146
31	0.040153	0.3031	0.38144
32	-0.048298	-0.3646	0.358364
33	-0.1375	-1.0381	0.151803
34	0.055671	0.4203	0.33792
35	-0.160055	-1.2084	0.115943
36	-0.071698	-0.5413	0.295202

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.106834	-0.8066	0.21163
2	0.084125	0.6351	0.263942
3	0.176595	1.3333	0.093875
4	0.032613	0.2462	0.403197
5	0.205646	1.5526	0.063028
6	0.250172	1.8888	0.032008
7	-0.072673	-0.5487	0.292687
8	-0.086442	-0.6526	0.258312
9	-0.033118	-0.25	0.401728
10	0.135256	1.0212	0.155746
11	0.035058	0.2647	0.396105
12	-0.161175	-1.2168	0.114339
13	-0.079458	-0.5999	0.275478
14	-0.066176	-0.4996	0.309635
15	0.084083	0.6348	0.264045
16	0.017552	0.1325	0.447521
17	0.203294	1.5348	0.065178
18	0.012837	0.0969	0.461566
19	-0.117136	-0.8844	0.19011
20	-0.130146	-0.9826	0.164983
21	0.123048	0.929	0.178406
22	-0.213827	-1.6144	0.055986
23	0.180169	1.3602	0.089554
24	-0.091049	-0.6874	0.247308
25	-0.064482	-0.4868	0.314122
26	0.011412	0.0862	0.465822
27	-0.012091	-0.0913	0.463792
28	-0.09793	-0.7394	0.231363
29	-0.046545	-0.3514	0.363289
30	-0.047849	-0.3613	0.359623
31	-0.00892	-0.0673	0.473272
32	-0.074632	-0.5635	0.287667
33	-0.062362	-0.4708	0.319781
34	0.133491	1.0078	0.158897
35	0.019847	0.1498	0.44071
36	-0.176779	-1.3347	0.093649

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844945sjih1ikjk5wsqfd/1pp621228844890.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844945sjih1ikjk5wsqfd/1pp621228844890.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844945sjih1ikjk5wsqfd/2n7bt1228844890.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228844945sjih1ikjk5wsqfd/2n7bt1228844890.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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