Home » date » 2008 » Dec » 13 »

paper - inflatie energiedragers autocorrelatie (na differentiatie)

*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: Sat, 13 Dec 2008 08:31:10 -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/t1229182324kp1aq2v9zgddx01.htm/, Retrieved Sat, 13 Dec 2008 16:32:06 +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/t1229182324kp1aq2v9zgddx01.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 «

19.2 26.6 26.6 31.4 31.2 26.4 20.7 20.7 15 13.3 8.7 10.2 4.3 -0.1 -4.6 -3.9 -3.5 -3.4 -2.5 -1.1 0.3 -0.9 3.6 2.7 -0.2 -1 5.8 6.4 9.6 13.2 10.6 10.9 12.9 15.9 12.2 9.1 9 17.4 14.7 17 13.7 9.5 14.8 13.6 12.6 8.9 10.2 12.7 16 10.4 9.9 9.5 8.6 10 3.5 -4.2 -4.4 -1.5 -0.1 0.8

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	0.082313	0.6323	0.26483
2	0.013868	0.1065	0.457764
3	-0.088865	-0.6826	0.248771
4	0.095599	0.7343	0.232835
5	0.078118	0.6	0.27539
6	0.115316	0.8858	0.189671
7	-0.14914	-1.1456	0.128299
8	-0.130006	-0.9986	0.161035
9	-0.008755	-0.0673	0.473304
10	0.076652	0.5888	0.27913
11	0.182131	1.399	0.083527
12	-0.34981	-2.6869	0.004677
13	-0.166346	-1.2777	0.103175
14	-0.027569	-0.2118	0.416512
15	0.076528	0.5878	0.279447
16	-0.063791	-0.49	0.312981
17	-0.074141	-0.5695	0.285594
18	-0.153022	-1.1754	0.122282
19	0.000843	0.0065	0.497428
20	0.055902	0.4294	0.334601
21	-0.00102	-0.0078	0.496888
22	-0.007255	-0.0557	0.477875
23	-0.237625	-1.8252	0.036515
24	-0.0218	-0.1674	0.433796
25	0.067382	0.5176	0.303346
26	0.050018	0.3842	0.351108
27	-0.092703	-0.7121	0.239616
28	0.027188	0.2088	0.417649
29	-0.099857	-0.767	0.223065
30	0.068867	0.529	0.299403
31	0.068016	0.5224	0.30166
32	-0.030118	-0.2313	0.408925
33	-0.057262	-0.4398	0.330831
34	-0.075786	-0.5821	0.28135
35	0.044974	0.3455	0.36549
36	0.082051	0.6302	0.265483

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.082313	0.6323	0.26483
2	0.007141	0.0549	0.478221
3	-0.091208	-0.7006	0.243158
4	0.111913	0.8596	0.19674
5	0.064365	0.4944	0.311431
6	0.093979	0.7219	0.236613
7	-0.155753	-1.1964	0.118171
8	-0.111348	-0.8553	0.197929
9	0.023725	0.1822	0.428011
10	0.034709	0.2666	0.395352
11	0.182776	1.4039	0.082791
12	-0.391422	-3.0066	0.001939
13	-0.066173	-0.5083	0.306576
14	0.053719	0.4126	0.340689
15	-0.0302	-0.232	0.408682
16	-0.06734	-0.5172	0.303458
17	-0.079146	-0.6079	0.272782
18	0.034763	0.267	0.395193
19	-0.030741	-0.2361	0.407076
20	-0.051252	-0.3937	0.347621
21	-0.067543	-0.5188	0.302918
22	0.040886	0.3141	0.377295
23	-0.10288	-0.7902	0.216277
24	-0.130085	-0.9992	0.160889
25	-0.019469	-0.1495	0.440819
26	0.008424	0.0647	0.474313
27	-0.029605	-0.2274	0.41045
28	0.006815	0.0523	0.479214
29	-0.143122	-1.0993	0.138042
30	-0.007753	-0.0596	0.476357
31	0.03937	0.3024	0.381701
32	-0.094439	-0.7254	0.235538
33	-0.073942	-0.568	0.286108
34	-0.041971	-0.3224	0.374149
35	-0.031782	-0.2441	0.403992
36	-0.044846	-0.3445	0.36586

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229182324kp1aq2v9zgddx01/1m8r81229182269.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229182324kp1aq2v9zgddx01/1m8r81229182269.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229182324kp1aq2v9zgddx01/27pvg1229182269.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229182324kp1aq2v9zgddx01/27pvg1229182269.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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