Home » date » 2008 » Dec » 13 »

Uitvoer vanuit Belgie - d=1, D=0

*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 09:33:20 -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/t1229186034wasssssyw4wi2bk.htm/, Retrieved Sat, 13 Dec 2008 17:33:55 +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/t1229186034wasssssyw4wi2bk.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 «

14291.1 14205.3 15859.4 15258.9 15498.6 15106.5 15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.330438	-2.7843	0.003435
2	-0.305837	-2.577	0.006022
3	0.075118	0.633	0.264397
4	0.126722	1.0678	0.144619
5	-0.201235	-1.6956	0.047168
6	0.320418	2.6999	0.004332
7	-0.259194	-2.184	0.016133
8	0.16089	1.3557	0.089748
9	0.089289	0.7524	0.227161
10	-0.34626	-2.9176	0.00236
11	-0.164738	-1.3881	0.084723
12	0.704884	5.9395	0
13	-0.265967	-2.2411	0.014075
14	-0.150796	-1.2706	0.104004
15	0.00444	0.0374	0.48513
16	0.018665	0.1573	0.437737
17	-0.050171	-0.4228	0.336878
18	0.219833	1.8523	0.034066
19	-0.214231	-1.8051	0.037646
20	0.154621	1.3029	0.098416
21	0.068141	0.5742	0.283834
22	-0.353354	-2.9774	0.001987
23	0.027386	0.2308	0.409083
24	0.422307	3.5584	0.000335
25	-0.191055	-1.6099	0.055933
26	-0.055984	-0.4717	0.319282
27	-0.039711	-0.3346	0.369453
28	-0.001106	-0.0093	0.496294
29	-0.000949	-0.008	0.49682
30	0.120385	1.0144	0.156923
31	-0.148847	-1.2542	0.106939
32	0.195583	1.648	0.051884
33	-0.044231	-0.3727	0.355242
34	-0.237462	-2.0009	0.024614
35	0.025605	0.2158	0.4149
36	0.296987	2.5025	0.007319

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.330438	-2.7843	0.003435
2	-0.465898	-3.9257	9.9e-05
3	-0.325437	-2.7422	0.003859
4	-0.198432	-1.672	0.049461
5	-0.434069	-3.6575	0.000243
6	0.088048	0.7419	0.230295
7	-0.334932	-2.8222	0.003091
8	0.242522	2.0435	0.022356
9	0.348171	2.9337	0.002253
10	-0.185728	-1.565	0.061018
11	-0.41432	-3.4911	0.000416
12	0.123455	1.0403	0.150877
13	-0.010717	-0.0903	0.464151
14	0.182965	1.5417	0.063797
15	0.003623	0.0305	0.487866
16	-0.05837	-0.4918	0.312178
17	-0.004731	-0.0399	0.484157
18	-0.146416	-1.2337	0.110687
19	0.089131	0.751	0.227558
20	-0.055289	-0.4659	0.321366
21	0.051288	0.4322	0.333467
22	-0.101607	-0.8562	0.197396
23	0.109921	0.9262	0.178738
24	0.032911	0.2773	0.391174
25	-0.006875	-0.0579	0.476984
26	0.037295	0.3143	0.377125
27	-0.149045	-1.2559	0.106639
28	0.147035	1.2389	0.109724
29	-0.133806	-1.1275	0.131669
30	-0.011566	-0.0975	0.461319
31	-0.085816	-0.7231	0.235998
32	-0.006238	-0.0526	0.479113
33	0.015095	0.1272	0.449572
34	0.113763	0.9586	0.17051
35	-0.09732	-0.82	0.20747
36	0.045926	0.387	0.349964

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229186034wasssssyw4wi2bk/1m9tu1229185998.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229186034wasssssyw4wi2bk/1m9tu1229185998.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229186034wasssssyw4wi2bk/22nmq1229185998.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229186034wasssssyw4wi2bk/22nmq1229185998.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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