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pafc boven de 25 jaar

*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 07:52:48 -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/t1229093609odxoqq5ncyg8fpj.htm/, Retrieved Fri, 12 Dec 2008 15:53:31 +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/t1229093609odxoqq5ncyg8fpj.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 «

7,0 6,9 6,7 6,6 6,5 6,4 6,5 6,5 6,6 6,7 6,8 7,2 7,6 7,6 7,3 6,4 6,1 6,3 7,1 7,5 7,4 7,1 6,8 6,9 7,2 7,4 7,3 6,9 6,9 6,8 7,1 7,2 7,1 7,0 6,9 7,0 7,4 7,5 7,5 7,4 7,3 7,0 6,7 6,5 6,5 6,5 6,6 6,8 6,9 6,9 6,8 6,8 6,5 6,1 6,0 5,9 5,8 5,9 5,9 6,2 6,3 6,2 6,0 5,8 5,5 5,5 5,7 5,8

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.502234	4.111	5.5e-05
2	-0.118078	-0.9665	0.168633
3	-0.562876	-4.6073	9e-06
4	-0.488637	-3.9997	8e-05
5	-0.067217	-0.5502	0.292007
6	0.215756	1.766	0.040972
7	0.173608	1.421	0.079971
8	-0.069959	-0.5726	0.284404
9	-0.251898	-2.0619	0.021551
10	-0.067357	-0.5513	0.291617
11	0.200424	1.6405	0.05279
12	0.381568	3.1233	0.001321
13	0.184362	1.5091	0.067991
14	-0.041511	-0.3398	0.367541
15	-0.225839	-1.8486	0.034466
16	-0.220731	-1.8068	0.037645
17	-0.071651	-0.5865	0.279758
18	0.087694	0.7178	0.237687
19	0.118334	0.9686	0.168113
20	0.010714	0.0877	0.465191
21	-0.068949	-0.5644	0.287194
22	-0.065632	-0.5372	0.296447
23	-0.03865	-0.3164	0.376355
24	0.007444	0.0609	0.475798
25	0.019868	0.1626	0.43565
26	0.066596	0.5451	0.293742
27	0.067151	0.5497	0.292192
28	0.035006	0.2865	0.387675
29	0.040824	0.3342	0.369652
30	0.004387	0.0359	0.485731
31	-0.059113	-0.4839	0.315032
32	-0.130563	-1.0687	0.14452
33	-0.125641	-1.0284	0.153726
34	-0.112321	-0.9194	0.180596
35	-0.014865	-0.1217	0.451761
36	0.058739	0.4808	0.316112
37	0.090275	0.7389	0.231263
38	0.073846	0.6045	0.273792
39	0.034646	0.2836	0.388798
40	0.045018	0.3685	0.356836
41	0.070582	0.5777	0.28269
42	0.012271	0.1004	0.460148
43	-0.072841	-0.5962	0.276515
44	-0.201813	-1.6519	0.051616
45	-0.169829	-1.3901	0.084548
46	-0.066475	-0.5441	0.294082
47	0.093952	0.769	0.222288
48	0.191409	1.5667	0.060943
49	0.139518	1.142	0.128759
50	0.013757	0.1126	0.455341
51	-0.054745	-0.4481	0.327762
52	-0.079648	-0.6519	0.258334
53	-0.03389	-0.2774	0.391163
54	0.005336	0.0437	0.482647
55	0.005703	0.0467	0.481452
56	-0.005724	-0.0469	0.481383
57	-0.008044	-0.0658	0.473848
58	-0.00107	-0.0088	0.49652
59	0.019567	0.1602	0.436618
60	0.026093	0.2136	0.41576

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.502234	4.111	5.5e-05
2	-0.495234	-4.0537	6.7e-05
3	-0.399529	-3.2703	0.000849
4	0.000623	0.0051	0.497973
5	0.096634	0.791	0.215871
6	-0.197378	-1.6156	0.055439
7	-0.238561	-1.9527	0.027517
8	-0.130937	-1.0718	0.143835
9	-0.140105	-1.1468	0.127771
10	0.14806	1.2119	0.114899
11	-0.001644	-0.0135	0.494652
12	0.086055	0.7044	0.241816
13	-0.107087	-0.8765	0.191933
14	0.277599	2.2722	0.013143
15	0.037782	0.3093	0.379044
16	-0.070685	-0.5786	0.282407
17	0.013127	0.1075	0.457376
18	0.169342	1.3861	0.085153
19	0.051407	0.4208	0.337631
20	-0.126442	-1.035	0.152201
21	0.096638	0.791	0.215863
22	-0.06748	-0.5523	0.291273
23	-0.117832	-0.9645	0.169133
24	-0.155148	-1.2699	0.104249
25	-0.009618	-0.0787	0.468743
26	-0.034704	-0.2841	0.388617
27	-0.005296	-0.0434	0.482775
28	-0.033013	-0.2702	0.393909
29	0.098927	0.8097	0.210476
30	0.035256	0.2886	0.386896
31	-0.046659	-0.3819	0.351864
32	-0.067998	-0.5566	0.289832
33	-0.032326	-0.2646	0.396064
34	-0.12071	-0.9881	0.16334
35	0.056823	0.4651	0.321678
36	-0.085898	-0.7031	0.242214
37	-0.166406	-1.3621	0.088865
38	-0.045522	-0.3726	0.355305
39	0.033112	0.271	0.393598
40	-0.004991	-0.0409	0.483768
41	-0.086777	-0.7103	0.239992
42	0.015444	0.1264	0.44989
43	0.020393	0.1669	0.433968
44	-0.122109	-0.9995	0.160573
45	0.016719	0.1368	0.445781
46	0.066372	0.5433	0.294371
47	-0.058031	-0.475	0.318165
48	0.035627	0.2916	0.38574
49	0.084931	0.6952	0.24467
50	0.000697	0.0057	0.497733
51	0.024208	0.1981	0.421765
52	-0.05132	-0.4201	0.33789
53	-0.06367	-0.5212	0.301987
54	0.010998	0.09	0.46427
55	-0.032449	-0.2656	0.395679
56	0.037223	0.3047	0.380776
57	-0.044342	-0.363	0.358891
58	-0.002699	-0.0221	0.491221
59	-0.017441	-0.1428	0.443454
60	0.055099	0.451	0.326721

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093609odxoqq5ncyg8fpj/1krhp1229093566.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093609odxoqq5ncyg8fpj/1krhp1229093566.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093609odxoqq5ncyg8fpj/2q7rv1229093566.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093609odxoqq5ncyg8fpj/2q7rv1229093566.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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