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(partial) autocorrelation function olieprijzen d=1

*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: Wed, 17 Dec 2008 04:01:55 -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/17/t1229511781xf0f7v7z7ht9d5c.htm/, Retrieved Wed, 17 Dec 2008 12:03:06 +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/17/t1229511781xf0f7v7z7ht9d5c.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 «

87 96.3 107.1 115.2 106.1 89.5 91.3 97.6 100.7 104.6 94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147 145.8 164.4 149.8 137.7 151.7 156.8 180 180.4 170.4 191.6 199.5 218.2 217.5 205 194 199.3 219.3 211.1 215.2 240.2 242.2 240.7 255.4 253 218.2 203.7 205.6 215.6

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	0.085127	0.5959	0.276996
2	-0.232085	-1.6246	0.055332
3	-0.078582	-0.5501	0.292383
4	-0.152467	-1.0673	0.145541
5	0.119685	0.8378	0.203107
6	-0.081473	-0.5703	0.285537
7	0.002088	0.0146	0.494199
8	-0.151776	-1.0624	0.146625
9	-0.131553	-0.9209	0.180816
10	0.294664	2.0626	0.022234
11	0.14315	1.0021	0.160621
12	0.089906	0.6293	0.266025
13	-0.115357	-0.8075	0.21164
14	-0.129435	-0.906	0.184673
15	0.026637	0.1865	0.426427
16	-0.073123	-0.5119	0.305524
17	0.019924	0.1395	0.444826
18	-0.114892	-0.8042	0.212571
19	-0.103875	-0.7271	0.235305
20	0.097744	0.6842	0.248534
21	0.084342	0.5904	0.27882
22	0.049592	0.3471	0.364984
23	-0.115378	-0.8076	0.211599
24	-0.034986	-0.2449	0.403778
25	0.005312	0.0372	0.485244
26	-0.000658	-0.0046	0.498173
27	-0.014564	-0.1019	0.459608
28	-0.118418	-0.8289	0.205582
29	-0.015509	-0.1086	0.456995
30	0.075077	0.5255	0.30079
31	0.07068	0.4948	0.311491
32	-0.000185	-0.0013	0.499485
33	-0.068725	-0.4811	0.316302
34	-0.037333	-0.2613	0.397467
35	0.009523	0.0667	0.473561
36	0.004928	0.0345	0.486312
37	-0.003028	-0.0212	0.491587
38	0.018559	0.1299	0.448583
39	-0.034608	-0.2423	0.404797
40	0.008101	0.0567	0.477504
41	0.124009	0.8681	0.194797
42	0.126696	0.8869	0.189739
43	0.006526	0.0457	0.481874
44	-0.085518	-0.5986	0.27609
45	-0.072492	-0.5074	0.307059
46	-0.012053	-0.0844	0.466552
47	0.008372	0.0586	0.476754
48	0.007432	0.052	0.479362

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.085127	0.5959	0.276996
2	-0.241079	-1.6876	0.048927
3	-0.03587	-0.2511	0.401398
4	-0.210806	-1.4756	0.073218
5	0.140203	0.9814	0.165603
6	-0.229772	-1.6084	0.057086
7	0.114749	0.8032	0.212857
8	-0.347617	-2.4333	0.009328
9	0.051168	0.3582	0.360876
10	0.090022	0.6302	0.265762
11	0.145413	1.0179	0.156865
12	0.062481	0.4374	0.331883
13	-0.050679	-0.3548	0.362149
14	0.013539	0.0948	0.462442
15	-0.057376	-0.4016	0.34485
16	-0.027492	-0.1924	0.424095
17	-0.08093	-0.5665	0.286816
18	-0.065589	-0.4591	0.324088
19	-0.063904	-0.4473	0.328306
20	0.032419	0.2269	0.410709
21	-0.018066	-0.1265	0.449943
22	-0.094733	-0.6631	0.255177
23	-0.111819	-0.7827	0.218776
24	-0.005045	-0.0353	0.485986
25	-0.068525	-0.4797	0.316796
26	0.035931	0.2515	0.401233
27	-0.151678	-1.0617	0.146777
28	-0.013106	-0.0917	0.463639
29	-0.059086	-0.4136	0.340485
30	0.097465	0.6823	0.249144
31	-0.098753	-0.6913	0.24633
32	-0.033096	-0.2317	0.408879
33	-0.073402	-0.5138	0.304847
34	-0.024627	-0.1724	0.431922
35	-0.007509	-0.0526	0.479147
36	-0.128802	-0.9016	0.185836
37	-0.004221	-0.0295	0.488275
38	-0.003214	-0.0225	0.491071
39	-0.00121	-0.0085	0.496638
40	-0.053501	-0.3745	0.354822
41	0.048054	0.3364	0.369011
42	0.083633	0.5854	0.280471
43	0.043477	0.3043	0.381078
44	0.0065	0.0455	0.481948
45	-0.084678	-0.5927	0.278038
46	0.001863	0.013	0.494825
47	-0.039785	-0.2785	0.390903
48	0.00264	0.0185	0.492665

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229511781xf0f7v7z7ht9d5c/1yeej1229511713.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229511781xf0f7v7z7ht9d5c/1yeej1229511713.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229511781xf0f7v7z7ht9d5c/26wch1229511713.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229511781xf0f7v7z7ht9d5c/26wch1229511713.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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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