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gedif getrans tijdreeks

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 13 Dec 2008 02:26:38 -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/13/t1229160471y66xicwkd26n9m0.htm/, Retrieved Sat, 13 Dec 2008 10:27:53 +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/13/t1229160471y66xicwkd26n9m0.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 «

104.7 115.1 102.5 75.3 96.7 94.6 98.6 99.5 92 93.6 89.3 66.9 108.8 113.2 105.5 77.8 102.1 97 95.5 99.3 86.4 92.4 85.7 61.9 104.9 107.9 95.6 79.8 94.8 93.7 108.1 96.9 88.8 106.7 86.8 69.8 110.9 105.4 99.2 84.4 87.2 91.9 97.9 94.5 85 100.3 78.7 65.8 104.8 96 103.3 82.9 91.4 94.5 109.3 92.1 99.3 109.6 87.5 73.1 110.7 111.6 110.7 84 101.6 102.1 113.9 99 100.4 109.5 93.1 77 108 119.9 105.9 78.2 100.3 102.2 97 101.3 89.2 93.3 88.5 61.5 95

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	0.383047	3.2728	0.000814
2	0.472704	4.0388	6.6e-05
3	0.60019	5.128	1e-06
4	0.259403	2.2163	0.014892
5	0.219242	1.8732	0.032522
6	0.308025	2.6318	0.005179
7	-0.048128	-0.4112	0.341064
8	-0.019353	-0.1654	0.434561
9	0.000722	0.0062	0.497547
10	-0.263192	-2.2487	0.013774
11	-0.172441	-1.4733	0.07248
12	-0.219869	-1.8786	0.032149
13	-0.280185	-2.3939	0.00962
14	-0.227431	-1.9432	0.027926
15	-0.188672	-1.612	0.055637
16	-0.285934	-2.443	0.008492
17	-0.177112	-1.5132	0.067267
18	-0.149778	-1.2797	0.102351
19	-0.211255	-1.805	0.037602
20	-0.11802	-1.0084	0.158306
21	-0.068959	-0.5892	0.278777
22	-0.18926	-1.617	0.055092
23	0.002844	0.0243	0.490341
24	-0.137457	-1.1744	0.12202
25	-0.114481	-0.9781	0.165622
26	-0.015666	-0.1338	0.446945
27	-0.073061	-0.6242	0.26721
28	-0.077373	-0.6611	0.255323
29	0.055251	0.4721	0.319144
30	-0.094837	-0.8103	0.210203
31	0.011383	0.0973	0.461393
32	0.07093	0.606	0.27319
33	-0.034539	-0.2951	0.384377
34	0.074349	0.6352	0.26363
35	0.096087	0.821	0.207169
36	0.015931	0.1361	0.446053
37	0.055585	0.4749	0.31813
38	0.090301	0.7715	0.221441
39	-0.04472	-0.3821	0.351754
40	0.057914	0.4948	0.311106
41	0.022567	0.1928	0.42382
42	-0.067159	-0.5738	0.283932
43	-0.010635	-0.0909	0.463923
44	-0.029419	-0.2514	0.401121
45	-0.170465	-1.4565	0.074778
46	-0.025257	-0.2158	0.414874
47	-0.066737	-0.5702	0.285145
48	-0.169781	-1.4506	0.075586

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.383047	3.2728	0.000814
2	0.382033	3.2641	0.000836
3	0.469248	4.0093	7.3e-05
4	-0.14588	-1.2464	0.108302
5	-0.305049	-2.6063	0.005544
6	-0.007962	-0.068	0.472975
7	-0.223357	-1.9084	0.030138
8	-0.125597	-1.0731	0.14338
9	0.000282	0.0024	0.499043
10	-0.07906	-0.6755	0.250749
11	0.026899	0.2298	0.409436
12	-0.086311	-0.7374	0.231608
13	0.103713	0.8861	0.189229
14	0.028646	0.2447	0.403669
15	0.039057	0.3337	0.36978
16	-0.117003	-0.9997	0.160385
17	-0.116808	-0.998	0.160786
18	0.008408	0.0718	0.471462
19	-0.076671	-0.6551	0.257238
20	-0.040107	-0.3427	0.366413
21	0.052175	0.4458	0.328537
22	-0.137286	-1.173	0.122311
23	0.115023	0.9828	0.164487
24	-0.237838	-2.0321	0.022892
25	0.009822	0.0839	0.466676
26	0.005752	0.0491	0.480468
27	0.045334	0.3873	0.349817
28	0.041985	0.3587	0.360421
29	-0.007387	-0.0631	0.474925
30	-0.095485	-0.8158	0.208627
31	0.005171	0.0442	0.482439
32	-0.026862	-0.2295	0.409558
33	0.051438	0.4395	0.330805
34	-0.055741	-0.4762	0.31766
35	0.042551	0.3636	0.358621
36	-0.102061	-0.872	0.19303
37	-0.098704	-0.8433	0.2009
38	-0.016047	-0.1371	0.445664
39	-0.070875	-0.6056	0.273343
40	0.047409	0.4051	0.343307
41	-0.014364	-0.1227	0.451332
42	-0.080084	-0.6842	0.247995
43	0.01035	0.0884	0.464888
44	-0.112768	-0.9635	0.169241
45	-0.069898	-0.5972	0.276108
46	-0.016804	-0.1436	0.443117
47	0.105019	0.8973	0.186259
48	-0.066906	-0.5716	0.28466

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160471y66xicwkd26n9m0/1e1dk1229160396.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160471y66xicwkd26n9m0/1e1dk1229160396.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160471y66xicwkd26n9m0/2ggf11229160396.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160471y66xicwkd26n9m0/2ggf11229160396.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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