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Autocorrelation function: niet-duurzame consumptiegoederen

*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: Fri, 12 Dec 2008 03:53:04 -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/12/t1229079466izl0j8w27h4hohs.htm/, Retrieved Fri, 12 Dec 2008 11:57:46 +0100

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/12/t1229079466izl0j8w27h4hohs.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

99,5 98,2 108,9 100,0 105,0 108,4 96,7 100,5 115,6 114,9 110,7 107,7 113,5 106,9 119,6 109,4 106,9 118,7 108,9 113,1 125,1 126,5 122,7 127,5 107,1 112,0 122,1 111,5 113,2 128,2 115,1 117,4 132,0 130,8 128,0 132,7 117,0 110,9 123,5 117,4 122,7 123,5 111,5 113,8 131,2 127,0 126,2 121,2 118,8 117,9 135,2 120,7 126,4 129,6 113,4 120,5 135,5 137,6 130,6 133,1 121,5 120,5 136,9 123,7 128,5 135,0 120,9 121,1 132,2 134,5 133,6 136,1 124,5 124,6 133,5 132,3 125,3 135,5 121,2 117,5 135,9

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	3 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.570549	5.1349	1e-06
2	0.426609	3.8395	0.000122
3	0.566043	5.0944	1e-06
4	0.348478	3.1363	0.001192
5	0.396038	3.5643	0.000308
6	0.599714	5.3974	0
7	0.319944	2.8795	0.002547
8	0.207294	1.8656	0.032856
9	0.387287	3.4856	0.000398
10	0.229324	2.0639	0.021113
11	0.297892	2.681	0.004445
12	0.540604	4.8654	3e-06
13	0.270297	2.4327	0.008596
14	0.123511	1.1116	0.134799
15	0.266769	2.4009	0.009323
16	0.057107	0.514	0.30434
17	0.094208	0.8479	0.199505
18	0.296444	2.668	0.004607
19	0.055219	0.497	0.310278
20	-0.022053	-0.1985	0.421583
21	0.140481	1.2643	0.104869
22	-0.012213	-0.1099	0.456374
23	0.082159	0.7394	0.230891
24	0.296054	2.6645	0.004651
25	0.05687	0.5118	0.305083
26	-0.059148	-0.5323	0.297977
27	0.081817	0.7364	0.23182
28	-0.105897	-0.9531	0.171693
29	-0.087004	-0.783	0.217945
30	0.101896	0.9171	0.180915
31	-0.078516	-0.7066	0.240909
32	-0.148969	-1.3407	0.091879
33	-0.041862	-0.3768	0.353669
34	-0.116625	-1.0496	0.148507
35	-0.03462	-0.3116	0.378081
36	0.175318	1.5779	0.059247

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.570549	5.1349	1e-06
2	0.149868	1.3488	0.090577
3	0.41499	3.7349	0.000174
4	-0.193683	-1.7432	0.042551
5	0.293062	2.6376	0.005005
6	0.285234	2.5671	0.006047
7	-0.250484	-2.2544	0.013437
8	-0.153359	-1.3802	0.085657
9	0.169167	1.5225	0.065889
10	-0.019818	-0.1784	0.429444
11	0.188583	1.6972	0.046745
12	0.220865	1.9878	0.025107
13	-0.160565	-1.4451	0.076146
14	-0.228146	-2.0533	0.021634
15	-0.054887	-0.494	0.311327
16	-0.209259	-1.8833	0.031622
17	0.065205	0.5868	0.279469
18	0.047565	0.4281	0.334864
19	0.0263	0.2367	0.406743
20	0.051487	0.4634	0.322166
21	0.0321	0.2889	0.386698
22	-0.076567	-0.6891	0.246363
23	0.144339	1.2991	0.098806
24	-0.008934	-0.0804	0.468056
25	-0.053813	-0.4843	0.314734
26	-0.139206	-1.2529	0.106932
27	0.032822	0.2954	0.384224
28	-0.122416	-1.1017	0.136918
29	-0.018894	-0.17	0.4327
30	-0.050816	-0.4573	0.324323
31	0.189408	1.7047	0.046045
32	-0.041395	-0.3726	0.355227
33	-0.115345	-1.0381	0.151155
34	0.121758	1.0958	0.138202
35	0.107126	0.9641	0.168923
36	0.013347	0.1201	0.452341

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079466izl0j8w27h4hohs/1edv31229079173.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079466izl0j8w27h4hohs/1edv31229079173.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079466izl0j8w27h4hohs/23r671229079173.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079466izl0j8w27h4hohs/23r671229079173.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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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