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autocorrelatie bel20

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 10 Dec 2008 11:48:27 -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/t122893495671lpdin9hfn9g3x.htm/, Retrieved Wed, 10 Dec 2008 18:49:16 +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/t122893495671lpdin9hfn9g3x.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 «

3230.66 3361.13 3484.74 3411.13 3288.18 3280.37 3173.95 3165.26 3092.71 3053.05 3181.96 2999.93 3249.57 3210.52 3030.29 2803.47 2767.63 2882.6 2863.36 2897.06 3012.61 3142.95 3032.93 3045.78 3110.52 3013.24 2987.1 2995.55 2833.18 2848.96 2794.83 2845.26 2915.02 2892.63 2604.42 2641.65 2659.81 2638.53 2720.25 2745.88 2735.7 2811.7 2799.43 2555.28 2304.98 2214.95 2065.81 1940.49 2042 1995.37 1946.81 1765.9 1635.25 1833.42 1910.43 1959.67 1969.6 2061.41 2093.48 2120.88 2174.56 2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45

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	0.970235	10.6726	0
2	0.933019	10.2632	0
3	0.90673	9.974	0
4	0.874903	9.6239	0
5	0.838079	9.2189	0
6	0.803038	8.8334	0
7	0.771493	8.4864	0
8	0.73873	8.126	0
9	0.697469	7.6722	0
10	0.65242	7.1766	0
11	0.607955	6.6875	0
12	0.560999	6.171	0
13	0.51133	5.6246	0
14	0.470649	5.1771	0
15	0.423537	4.6589	4e-06
16	0.373071	4.1038	3.7e-05
17	0.32809	3.609	0.000224
18	0.284762	3.1324	0.001088
19	0.246674	2.7134	0.003816
20	0.205266	2.2579	0.012871
21	0.161164	1.7728	0.039388
22	0.121577	1.3373	0.091809
23	0.084286	0.9272	0.177847
24	0.048399	0.5324	0.297718
25	0.014952	0.1645	0.434815
26	-0.018611	-0.2047	0.419068
27	-0.052374	-0.5761	0.282805
28	-0.085078	-0.9359	0.175604
29	-0.120338	-1.3237	0.094047
30	-0.157433	-1.7318	0.042932
31	-0.189771	-2.0875	0.019472
32	-0.218066	-2.3987	0.00899
33	-0.244023	-2.6843	0.004144
34	-0.268123	-2.9494	0.001912
35	-0.289628	-3.1859	0.000918
36	-0.309493	-3.4044	0.00045
37	-0.331217	-3.6434	0.000199
38	-0.352203	-3.8742	8.7e-05
39	-0.371737	-4.0891	3.9e-05
40	-0.391064	-4.3017	1.7e-05
41	-0.41059	-4.5165	7e-06
42	-0.429949	-4.7294	3e-06
43	-0.446001	-4.906	1e-06
44	-0.455991	-5.0159	1e-06
45	-0.463364	-5.097	1e-06
46	-0.467422	-5.1416	1e-06
47	-0.468985	-5.1588	0
48	-0.467735	-5.1451	1e-06
49	-0.464781	-5.1126	1e-06
50	-0.457712	-5.0348	1e-06
51	-0.448268	-4.9309	1e-06
52	-0.43721	-4.8093	2e-06
53	-0.422872	-4.6516	4e-06
54	-0.408481	-4.4933	8e-06
55	-0.392358	-4.3159	1.6e-05
56	-0.372298	-4.0953	3.8e-05
57	-0.351146	-3.8626	9.1e-05
58	-0.326615	-3.5928	0.000237
59	-0.30124	-3.3136	0.000608
60	-0.276965	-3.0466	0.001421

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.970235	10.6726	0
2	-0.142189	-1.5641	0.060206
3	0.186615	2.0528	0.021126
4	-0.170045	-1.8705	0.031916
5	-0.025424	-0.2797	0.390106
6	-0.022491	-0.2474	0.40251
7	0.033518	0.3687	0.356498
8	-0.040291	-0.4432	0.329206
9	-0.148793	-1.6367	0.052144
10	-0.068881	-0.7577	0.225055
11	-0.057066	-0.6277	0.265681
12	-0.059611	-0.6557	0.256624
13	-0.04748	-0.5223	0.301215
14	0.131412	1.4455	0.075447
15	-0.230128	-2.5314	0.006321
16	0.04125	0.4538	0.32541
17	-0.024581	-0.2704	0.39366
18	0.012975	0.1427	0.443371
19	0.113236	1.2456	0.107659
20	-0.139409	-1.5335	0.063881
21	-0.007348	-0.0808	0.467857
22	-0.048002	-0.528	0.299225
23	0.031763	0.3494	0.363702
24	0.033665	0.3703	0.355897
25	-0.000742	-0.0082	0.496752
26	-0.088777	-0.9766	0.16537
27	-0.01512	-0.1663	0.43409
28	-0.093045	-1.0235	0.154058
29	-0.0436	-0.4796	0.31619
30	-0.030615	-0.3368	0.368441
31	-0.017043	-0.1875	0.425804
32	0.058538	0.6439	0.260425
33	-0.084489	-0.9294	0.177272
34	0.033893	0.3728	0.354966
35	0.016896	0.1859	0.426435
36	-0.028495	-0.3134	0.377243
37	-0.028143	-0.3096	0.378711
38	-0.024345	-0.2678	0.394656
39	-0.066053	-0.7266	0.234441
40	-0.001417	-0.0156	0.493793
41	-0.0556	-0.6116	0.270977
42	-0.059387	-0.6533	0.257416
43	0.017811	0.1959	0.422499
44	0.031707	0.3488	0.363933
45	0.025944	0.2854	0.387917
46	0.021528	0.2368	0.406604
47	-0.020558	-0.2261	0.410739
48	0.054648	0.6011	0.274439
49	-0.007445	-0.0819	0.467434
50	0.080076	0.8808	0.190077
51	1e-05	1e-04	0.499957
52	-0.012029	-0.1323	0.447476
53	0.033863	0.3725	0.35509
54	-0.06834	-0.7517	0.226835
55	0.037352	0.4109	0.340945
56	0.049295	0.5422	0.294322
57	0.000855	0.0094	0.496255
58	0.032062	0.3527	0.362471
59	-0.038184	-0.42	0.337605
60	-0.057531	-0.6328	0.264016

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122893495671lpdin9hfn9g3x/1hhfz1228934902.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122893495671lpdin9hfn9g3x/1hhfz1228934902.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122893495671lpdin9hfn9g3x/2cboy1228934902.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122893495671lpdin9hfn9g3x/2cboy1228934902.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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