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autocorrelation met differentiatie totaal

*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: Tue, 16 Dec 2008 12:19:27 -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/16/t1229455204pphvsjss6t1h4wo.htm/, Retrieved Tue, 16 Dec 2008 20:20:04 +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/16/t1229455204pphvsjss6t1h4wo.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 «

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

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

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6.8557	0
1	0.447173	3.0657	0.001797
2	-0.085344	-0.5851	0.719356
3	-0.406285	-2.7853	0.996158
4	-0.531507	-3.6438	0.999665
5	-0.227784	-1.5616	0.937455
6	0.049897	0.3421	0.36691
7	0.164733	1.1294	0.132241
8	0.206868	1.4182	0.081362
9	0.032426	0.2223	0.412521
10	-0.046139	-0.3163	0.623416
11	0.058451	0.4007	0.345221
12	0.017395	0.1193	0.45279
13	0.025376	0.174	0.431319
14	-0.000798	-0.0055	0.502171
15	-0.093147	-0.6386	0.736903
16	-0.132861	-0.9108	0.816488
17	-0.136102	-0.9331	0.822224
18	0.002154	0.0148	0.49414
19	0.066917	0.4588	0.324261
20	0.147598	1.0119	0.158388
21	0.098492	0.6752	0.25142
22	-0.016545	-0.1134	0.544913
23	-0.042231	-0.2895	0.613273
24	-0.067125	-0.4602	0.676247
25	0.039051	0.2677	0.395044
26	0.113206	0.7761	0.220788
27	-0.02763	-0.1894	0.574711
28	-0.130408	-0.894	0.81207
29	-0.151642	-1.0396	0.848079
30	-0.087916	-0.6027	0.725204
31	0.175432	1.2027	0.117558
32	0.238914	1.6379	0.054059
33	0.135099	0.9262	0.179539
34	0.022929	0.1572	0.437884
35	-0.184082	-1.262	0.893413

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.447173	3.0657	0.001797
1	-0.356618	-2.4449	0.990853
2	-0.279313	-1.9149	0.969197
3	-0.336402	-2.3063	0.987223
4	0.0548	0.3757	0.354418
5	-0.13238	-0.9076	0.815628
6	-0.127066	-0.8711	0.805942
7	-0.034934	-0.2395	0.594118
8	-0.159624	-1.0943	0.860306
9	0.003964	0.0272	0.489219
10	0.146978	1.0076	0.159396
11	-0.078987	-0.5415	0.704641
12	0.029909	0.205	0.419211
13	0.024801	0.17	0.43286
14	0.013995	0.0959	0.461987
15	-0.121225	-0.8311	0.794934
16	-0.079392	-0.5443	0.705592
17	0.066481	0.4558	0.325326
18	-0.175448	-1.2028	0.882463
19	0.105408	0.7226	0.236742
20	-0.119311	-0.818	0.791244
21	-0.060941	-0.4178	0.661
22	0.036591	0.2509	0.401509
23	-0.014576	-0.0999	0.539588
24	0.154151	1.0568	0.148
25	0.011265	0.0772	0.469386
26	-0.080999	-0.5553	0.709338
27	-0.043657	-0.2993	0.616983
28	-0.048031	-0.3293	0.628298
29	0.061681	0.4229	0.337162
30	0.097694	0.6698	0.253144
31	-0.016835	-0.1154	0.545695
32	-0.017196	-0.1179	0.546672
33	0.033801	0.2317	0.408878
34	0.025249	0.1731	0.431659
35	-0.12406	-0.8505	0.800324

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229455204pphvsjss6t1h4wo/115b51229455161.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229455204pphvsjss6t1h4wo/115b51229455161.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229455204pphvsjss6t1h4wo/2bel71229455161.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229455204pphvsjss6t1h4wo/2bel71229455161.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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 1:par1) {

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(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-1,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(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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