Home » date » 2008 » Dec » 17 »

acf hypothecair krediet

*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 08:13:05 -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/t1229527366y45kb9on1cbr8wo.htm/, Retrieved Wed, 17 Dec 2008 16:22:48 +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/t1229527366y45kb9on1cbr8wo.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:

in samenwerking met stéphanie claes, kevin engels en katrien bourdiaudhy

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

2400 4700 3700 2900 2800 3000 3100 3700 3000 2000 1900 1900 1800 3400 3800 2800 3100 2100 2000 2500 2400 2500 3300 3100 3700 5600 3700 2900 4000 2900 2400 3300 3800 4400 4000 3100 2700 5200 4600 3700 3200 2400 2200 3200 3100 2300 2500 2900 2700 5000 3500 3000 3800 2800 2400 2700 2800 2700 2600 3100

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	0.617493	4.2781	4.5e-05
2	0.198577	1.3758	0.087638
3	0.080809	0.5599	0.289089
4	0.176548	1.2232	0.11362
5	0.234167	1.6224	0.055639
6	0.109134	0.7561	0.226642
7	-0.028175	-0.1952	0.423029
8	0.060341	0.4181	0.338886
9	0.167918	1.1634	0.125216
10	0.111632	0.7734	0.221537
11	-0.182775	-1.2663	0.105758
12	-0.45263	-3.1359	0.001462
13	-0.320127	-2.2179	0.015664
14	-0.156851	-1.0867	0.141299
15	-0.184744	-1.2799	0.103358
16	-0.228754	-1.5849	0.059783
17	-0.209424	-1.4509	0.076651
18	-0.165251	-1.1449	0.128966
19	-0.135837	-0.9411	0.175682
20	-0.259638	-1.7988	0.039168
21	-0.288199	-1.9967	0.025773
22	-0.206656	-1.4318	0.079347
23	-0.090144	-0.6245	0.267616
24	-0.019582	-0.1357	0.446324
25	-0.033697	-0.2335	0.408199
26	-0.023907	-0.1656	0.43457
27	0.090204	0.6249	0.267482
28	0.113751	0.7881	0.21726
29	0.068613	0.4754	0.318341
30	0.042912	0.2973	0.383758
31	0.06504	0.4506	0.32715
32	0.131969	0.9143	0.182562
33	0.102239	0.7083	0.241082
34	0.017978	0.1246	0.450697
35	0.001881	0.013	0.494829
36	0.033424	0.2316	0.408929
37	0.064195	0.4448	0.329249
38	0.056134	0.3889	0.349531
39	-0.016936	-0.1173	0.453541
40	-0.036124	-0.2503	0.401722
41	-0.014247	-0.0987	0.460892
42	0.010532	0.073	0.471066
43	0.021533	0.1492	0.441017
44	-0.007029	-0.0487	0.480682
45	-0.00749	-0.0519	0.479416
46	-0.00626	-0.0434	0.482794
47	-0.002545	-0.0176	0.493002
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.617493	4.2781	4.5e-05
2	-0.295329	-2.0461	0.023123
3	0.184757	1.28	0.103343
4	0.149247	1.034	0.153156
5	0.028363	0.1965	0.422522
6	-0.121297	-0.8404	0.202433
7	-0.00703	-0.0487	0.480678
8	0.205913	1.4266	0.080083
9	-0.039982	-0.277	0.391483
10	-0.080845	-0.5601	0.289003
11	-0.333141	-2.3081	0.012674
12	-0.25445	-1.7629	0.042143
13	0.191345	1.3257	0.09561
14	-0.216888	-1.5026	0.069741
15	-0.090352	-0.626	0.267148
16	0.143234	0.9924	0.163001
17	-0.013242	-0.0917	0.463642
18	-0.199013	-1.3788	0.087174
19	-0.004476	-0.031	0.487694
20	-0.083899	-0.5813	0.28189
21	0.109792	0.7607	0.22529
22	-0.054175	-0.3753	0.354533
23	-0.139649	-0.9675	0.169068
24	-0.028739	-0.1991	0.42151
25	0.118881	0.8236	0.20711
26	-0.084272	-0.5839	0.281025
27	-0.001098	-0.0076	0.496981
28	0.100382	0.6955	0.245058
29	0.015245	0.1056	0.458161
30	-0.089445	-0.6197	0.269195
31	-0.028458	-0.1972	0.422267
32	-0.09115	-0.6315	0.265354
33	-0.066851	-0.4632	0.322672
34	-0.057781	-0.4003	0.345349
35	-0.134955	-0.935	0.177236
36	-0.038155	-0.2643	0.396324
37	0.0729	0.5051	0.307913
38	-0.078986	-0.5472	0.293379
39	-0.038531	-0.267	0.395325
40	0.007448	0.0516	0.479531
41	-0.010583	-0.0733	0.470927
42	0.048329	0.3348	0.369606
43	0.06738	0.4668	0.321369
44	-0.098177	-0.6802	0.249825
45	0.019838	0.1374	0.445628
46	-0.090936	-0.63	0.265833
47	0.008739	0.0605	0.475986
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229527366y45kb9on1cbr8wo/1amjo1229526783.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229527366y45kb9on1cbr8wo/1amjo1229526783.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229527366y45kb9on1cbr8wo/2zsf71229526783.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229527366y45kb9on1cbr8wo/2zsf71229526783.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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