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Step 2 ACF zonder differentiatie

*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 17:24:04 -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/10/t1228868738v7l6mq5dkjc0d7l.htm/, Retrieved Wed, 10 Dec 2008 00:25:38 +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/10/t1228868738v7l6mq5dkjc0d7l.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 «

1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227 1.4684 1.457 1.4718 1.4748 1.5527 1.575 1.5557 1.5553 1.577

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	0.907439	7.0873	0
2	0.803836	6.2782	0
3	0.705115	5.5071	0
4	0.610085	4.7649	6e-06
5	0.510752	3.9891	9e-05
6	0.44418	3.4692	0.000482
7	0.389871	3.045	0.001716
8	0.345827	2.701	0.004469
9	0.288482	2.2531	0.013929
10	0.237836	1.8576	0.03403
11	0.194868	1.522	0.066593
12	0.157289	1.2285	0.111995
13	0.116801	0.9122	0.182615
14	0.085124	0.6648	0.25433
15	0.044956	0.3511	0.363355
16	0.00499	0.039	0.484521
17	-0.015333	-0.1198	0.452535
18	-0.019251	-0.1504	0.440491
19	-0.025645	-0.2003	0.420959
20	-0.044654	-0.3488	0.364236
21	-0.051337	-0.401	0.344928
22	-0.0493	-0.385	0.350771
23	-0.057546	-0.4494	0.327351
24	-0.081604	-0.6374	0.263141
25	-0.102811	-0.803	0.212553
26	-0.112765	-0.8807	0.190962
27	-0.128865	-1.0065	0.159083
28	-0.136047	-1.0626	0.146084
29	-0.138195	-1.0793	0.142344
30	-0.133802	-1.045	0.150068
31	-0.131237	-1.025	0.154708
32	-0.129092	-1.0082	0.158661
33	-0.11938	-0.9324	0.177407
34	-0.102599	-0.8013	0.213027
35	-0.08559	-0.6685	0.253176
36	-0.078056	-0.6096	0.272182
37	-0.064329	-0.5024	0.308588
38	-0.052234	-0.408	0.342365
39	-0.061457	-0.48	0.316474
40	-0.085564	-0.6683	0.25324
41	-0.122629	-0.9578	0.170981
42	-0.150683	-1.1769	0.121909
43	-0.185624	-1.4498	0.076122
44	-0.227686	-1.7783	0.04017
45	-0.251457	-1.9639	0.027049
46	-0.259926	-2.0301	0.023358
47	-0.262787	-2.0524	0.022213
48	-0.266282	-2.0797	0.02088
49	-0.265118	-2.0706	0.021316
50	-0.265033	-2.07	0.021348
51	-0.258213	-2.0167	0.024067
52	-0.249234	-1.9466	0.028097
53	-0.241445	-1.8857	0.032046
54	-0.252382	-1.9712	0.026623
55	-0.262074	-2.0469	0.022493
56	-0.258023	-2.0152	0.024147
57	-0.21691	-1.6941	0.047672
58	-0.172823	-1.3498	0.091035
59	-0.116246	-0.9079	0.18375
60	-0.056182	-0.4388	0.331181

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.907439	7.0873	0
2	-0.111071	-0.8675	0.194536
3	-0.026074	-0.2036	0.419656
4	-0.040047	-0.3128	0.377758
5	-0.085287	-0.6661	0.253926
6	0.127798	0.9981	0.161078
7	-0.00164	-0.0128	0.49491
8	0.017023	0.133	0.447335
9	-0.114826	-0.8968	0.186671
10	-0.006913	-0.054	0.478559
11	0.020014	0.1563	0.438151
12	-0.002302	-0.018	0.492859
13	-0.029477	-0.2302	0.409346
14	-0.009827	-0.0767	0.469537
15	-0.089267	-0.6972	0.244163
16	-0.024488	-0.1913	0.42448
17	0.096726	0.7555	0.226443
18	0.04847	0.3786	0.353163
19	-0.031671	-0.2474	0.40273
20	-0.115491	-0.902	0.1853
21	0.04957	0.3872	0.349996
22	0.046289	0.3615	0.359477
23	-0.031021	-0.2423	0.404686
24	-0.092804	-0.7248	0.235666
25	-0.056306	-0.4398	0.330831
26	0.037871	0.2958	0.3842
27	-0.026207	-0.2047	0.419251
28	0.065095	0.5084	0.306501
29	-0.039741	-0.3104	0.378663
30	-0.011951	-0.0933	0.46297
31	-0.018756	-0.1465	0.442009
32	-0.003809	-0.0297	0.488182
33	0.070382	0.5497	0.292267
34	0.036645	0.2862	0.387845
35	-0.00045	-0.0035	0.498604
36	-0.103321	-0.807	0.211411
37	0.050968	0.3981	0.345983
38	0.039786	0.3107	0.37853
39	-0.093966	-0.7339	0.232911
40	-0.134029	-1.0468	0.149661
41	-0.149021	-1.1639	0.1245
42	0.068671	0.5363	0.296837
43	-0.038695	-0.3022	0.381757
44	-0.092401	-0.7217	0.236627
45	0.007955	0.0621	0.475331
46	0.005412	0.0423	0.483211
47	0.02948	0.2302	0.409335
48	-0.028856	-0.2254	0.411222
49	-0.006512	-0.0509	0.479801
50	-0.024163	-0.1887	0.425471
51	0.023955	0.1871	0.426104
52	-0.018065	-0.1411	0.444131
53	-0.011617	-0.0907	0.464001
54	-0.124215	-0.9702	0.167901
55	-0.016215	-0.1266	0.449821
56	0.006331	0.0494	0.480362
57	0.202991	1.5854	0.059022
58	0.075317	0.5882	0.27927
59	0.032345	0.2526	0.400704
60	-0.036995	-0.2889	0.386804

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228868738v7l6mq5dkjc0d7l/1d9si1228868639.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228868738v7l6mq5dkjc0d7l/1d9si1228868639.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228868738v7l6mq5dkjc0d7l/20hm01228868639.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228868738v7l6mq5dkjc0d7l/20hm01228868639.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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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