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eigen tijdreeks pa d=0 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 11:18:10 -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/t1228847673dzwm122lcoo4zh7.htm/, Retrieved Tue, 09 Dec 2008 18:34:33 +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/t1228847673dzwm122lcoo4zh7.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:
jenske_cole@hotmail.com
 
Dataseries X:
» Textbox « » Textfile « » CSV «
98.6 98 106.8 96.6 100.1 107.7 91.5 97.8 107.4 117.5 105.6 97.4 99.5 98 104.3 100.6 101.1 103.9 96.9 95.5 108.4 117 103.8 100.8 110.6 104 112.6 107.3 98.9 109.8 104.9 102.2 123.9 124.9 112.7 121.9 100.6 104.3 120.4 107.5 102.9 125.6 107.5 108.8 128.4 121.1 119.5 128.7 108.7 105.5 119.8 111.3 110.6 120.1 97.5 107.7 127.3 117.2 119.8 116.2 111 112.4 130.6 109.1 118.8 123.9 101.6 112.8 128 129.6 125.8 119.5
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.1431891.10910.135898
20.0855760.66290.254975
30.2633372.03980.02289
4-0.023449-0.18160.42824
50.0870770.67450.251293
60.1913571.48220.071754
7-0.135291-1.0480.149429
80.1152820.8930.18772
90.2021631.56590.06131
10-0.207435-1.60680.056676
11-0.057854-0.44810.327834
12-0.204951-1.58750.058823
13-0.253044-1.96010.027318
140.0924820.71640.238274
15-0.135341-1.04830.149343
16-0.184691-1.43060.078864
170.1533941.18820.119722
18-0.1473-1.1410.129206
19-0.180209-1.39590.083945
20-0.041983-0.32520.373081
21-0.135291-1.0480.149431
22-0.138711-1.07450.143461
230.0793040.61430.270673
24-0.257669-1.99590.025245
25-0.172125-1.33330.093741
26-0.043582-0.33760.368428
27-0.113466-0.87890.19148
28-0.057185-0.4430.329696
29-0.027684-0.21440.415465
30-0.080209-0.62130.268378
310.0250730.19420.423331
320.0507280.39290.34788
33-0.099155-0.76810.222734
340.0553680.42890.334773
350.0657130.5090.306305
360.0666640.51640.303744
370.1865271.44480.076854
380.1178560.91290.182471
390.0458870.35540.361752
400.1281620.99270.162413
410.0236280.1830.427699
420.0701810.54360.29436
430.0568990.44070.330493
440.0289790.22450.411577
450.0368460.28540.388156
460.0553220.42850.334903
47-0.018067-0.13990.444584
48-0.054813-0.42460.336332


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.1431891.10910.135898
20.0664350.51460.304359
30.2485561.92530.029467
4-0.101358-0.78510.217737
50.0806270.62450.267321
60.1210720.93780.176049
7-0.171394-1.32760.094667
80.1209670.9370.176256
90.1357091.05120.148691
10-0.224446-1.73860.043622
11-0.111703-0.86520.195175
12-0.264648-2.050.022373
13-0.065311-0.50590.307392
140.1416951.09760.13839
15-0.083251-0.64490.260738
16-0.010799-0.08360.466808
170.138271.0710.144221
18-0.105701-0.81880.208083
19-0.090348-0.69980.243368
20-0.090579-0.70160.242814
210.1301131.00790.158787
22-0.190988-1.47940.072134
23-0.044852-0.34740.364744
24-0.222295-1.72190.045121
25-0.205028-1.58810.058756
26-0.096324-0.74610.229254
270.1121320.86860.194272
28-0.001264-0.00980.49611
290.0596670.46220.322812
30-0.02665-0.20640.418576
31-0.086981-0.67380.251529
32-0.010783-0.08350.466855
330.0055510.0430.482924
34-0.013722-0.10630.457855
35-0.02502-0.19380.423493
36-0.037177-0.2880.387181
37-0.047558-0.36840.356941
38-0.038757-0.30020.382526
390.0711880.55140.291696
40-0.035686-0.27640.391586
41-0.012905-0.10.460353
420.1140210.88320.190326
43-0.13032-1.00950.158404
44-0.13969-1.0820.141784
45-0.014353-0.11120.455924
46-0.077105-0.59730.276292
470.0075410.05840.476807
48-0.135134-1.04670.149709
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847673dzwm122lcoo4zh7/1w4du1228846683.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847673dzwm122lcoo4zh7/1w4du1228846683.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847673dzwm122lcoo4zh7/2u1dw1228846683.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847673dzwm122lcoo4zh7/2u1dw1228846683.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; 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')
 




Copyright

Creative Commons License

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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