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Autocorrelatie 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: Thu, 11 Dec 2008 05:47:22 -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/11/t12289996833boog7mpsby8393.htm/, Retrieved Thu, 11 Dec 2008 12:48:05 +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/11/t12289996833boog7mpsby8393.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 «

2648.9 2669.6 3042.3 2604.2 2732.1 2621.7 2483.7 2479.3 2684.6 2834.7 2566.1 2251.2 2350 2299.8 2542.8 2530.2 2508.1 2616.8 2534.1 2181.8 2578.9 2841.9 2529.9 2103.2 2326.2 2452.6 2782.1 2727.3 2648.2 2760.7 2613 2225.4 2713.9 2923.3 2707 2473.9 2521 2531.8 3068.8 2826.9 2674.2 2966.6 2798.8 2629.6 3124.6 3115.7 3083 2863.9 2728.7 2789.4 3225.7 3148.2 2836.5 3153.5 2656.9 2834.7 3172.5 2998.8 3103.1 2735.6 2818.1 2874.4 3438.5 2949.1 3306.8 3530 3003.8 3206.4 3514.6 3522.6 3525.5 2996.2 3231.1 3030 3541.7 3113.2 3390.8 3424.2 3079.8 3123.4 3317.1 3579.9 3317.9 2668.1

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.276828	-2.522	0.006789
2	-0.210699	-1.9196	0.029175
3	-0.047904	-0.4364	0.331831
4	-0.03039	-0.2769	0.391285
5	0.064138	0.5843	0.280293
6	0.118561	1.0801	0.141604
7	0.001924	0.0175	0.493028
8	0.016345	0.1489	0.440994
9	0.001167	0.0106	0.495771
10	-0.316753	-2.8858	0.002487
11	-0.098324	-0.8958	0.186481
12	0.671216	6.1151	0
13	-0.212171	-1.933	0.028325
14	-0.088477	-0.8061	0.211254
15	-0.122735	-1.1182	0.13336
16	-0.054509	-0.4966	0.31039
17	0.112248	1.0226	0.154727
18	0.09545	0.8696	0.193516
19	-0.039567	-0.3605	0.359705
20	0.078266	0.713	0.23891
21	-0.058415	-0.5322	0.298011
22	-0.331598	-3.021	0.001674
23	0.082545	0.752	0.227082
24	0.397142	3.6181	0.000254
25	-0.151535	-1.3805	0.085562
26	0.013935	0.127	0.449643
27	-0.147079	-1.34	0.091958
28	-0.047014	-0.4283	0.334764
29	0.090496	0.8245	0.206021
30	0.074088	0.675	0.250785
31	-0.016334	-0.1488	0.441032
32	0.113414	1.0332	0.152245
33	-0.161369	-1.4701	0.072652
34	-0.184004	-1.6764	0.048716
35	0.071671	0.653	0.257794
36	0.291169	2.6527	0.004783

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.276828	-2.522	0.006789
2	-0.31118	-2.835	0.002877
3	-0.252442	-2.2999	0.011984
4	-0.264208	-2.4071	0.00915
5	-0.174321	-1.5881	0.058028
6	-0.01114	-0.1015	0.459701
7	0.046183	0.4208	0.337512
8	0.159029	1.4488	0.075578
9	0.22574	2.0566	0.021433
10	-0.201858	-1.839	0.034745
11	-0.470742	-4.2887	2.4e-05
12	0.40651	3.7035	0.000191
13	0.077245	0.7037	0.241785
14	0.077939	0.7101	0.239829
15	-0.03882	-0.3537	0.362243
16	-0.056332	-0.5132	0.304585
17	-0.011651	-0.1061	0.45786
18	0.009211	0.0839	0.466663
19	-0.017832	-0.1625	0.435669
20	0.027922	0.2544	0.399913
21	-0.101357	-0.9234	0.179237
22	-0.152133	-1.386	0.084729
23	0.04511	0.411	0.341075
24	-0.028007	-0.2552	0.399618
25	-0.090861	-0.8278	0.205084
26	0.010209	0.093	0.463061
27	0.073654	0.671	0.252034
28	0.080496	0.7334	0.232703
29	-0.029617	-0.2698	0.393982
30	0.010636	0.0969	0.46152
31	0.021836	0.1989	0.4214
32	-0.013439	-0.1224	0.451426
33	-0.126324	-1.1509	0.126546
34	0.11514	1.049	0.148618
35	-0.109259	-0.9954	0.161219
36	0.074437	0.6781	0.249782

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12289996833boog7mpsby8393/1tifc1228999640.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12289996833boog7mpsby8393/1tifc1228999640.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12289996833boog7mpsby8393/2nqze1228999641.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12289996833boog7mpsby8393/2nqze1228999641.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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