Home » date » 2008 » Dec » 17 »

correlatie met juiste lambda

*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 10:55:25 -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/t1229536577fv7gi5ohygubjn5.htm/, Retrieved Wed, 17 Dec 2008 18:56:19 +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/t1229536577fv7gi5ohygubjn5.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 «

9.0 9.1 8.7 8.2 7.9 7.9 9.1 9.4 9.5 9.1 9.0 9.3 9.9 9.8 9.4 8.3 8.0 8.5 10.4 11.1 10.9 9.9 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9.0 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9.0 9.0 9.0 9.8 10.0 9.9 9.3 9.0 9.0 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.8 7.9 7.9 8.0 7.9 7.5 7.2 6.9 6.6 6.7 7.3 7.5

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	0.175961	1.293	0.100751
2	-0.104937	-0.7711	0.221997
3	-0.473814	-3.4818	0.000497
4	-0.355385	-2.6115	0.005823
5	-0.123876	-0.9103	0.183355
6	0.108581	0.7979	0.214211
7	0.212318	1.5602	0.062275
8	0.217295	1.5968	0.058075
9	0.109739	0.8064	0.211771
10	-0.067482	-0.4959	0.310994
11	-0.03154	-0.2318	0.408797
12	-0.203844	-1.4979	0.069986
13	-0.091481	-0.6722	0.252147
14	0.092099	0.6768	0.250715
15	0.006825	0.0502	0.480092
16	0.075802	0.557	0.289904
17	0.01307	0.096	0.461922
18	0.037338	0.2744	0.39242
19	-0.039109	-0.2874	0.387457
20	-0.100433	-0.738	0.231847
21	-0.032749	-0.2407	0.405366
22	0.00118	0.0087	0.496557
23	0.0611	0.449	0.327616
24	0.090774	0.6671	0.25379
25	0.091352	0.6713	0.252446
26	0.029424	0.2162	0.414814
27	-0.151304	-1.1119	0.135564
28	-0.161249	-1.1849	0.120616
29	-0.137785	-1.0125	0.157904
30	0.089468	0.6575	0.256842
31	0.063249	0.4648	0.321977
32	0.276874	2.0346	0.023407
33	0.098101	0.7209	0.237042
34	0.013632	0.1002	0.460287
35	-0.198291	-1.4571	0.075435
36	-0.274738	-2.0189	0.024237
37	-0.05795	-0.4258	0.335956
38	0.036127	0.2655	0.395827
39	0.182732	1.3428	0.092477
40	0.14093	1.0356	0.152497
41	0.068336	0.5022	0.308796
42	-0.112737	-0.8284	0.205532
43	-0.005578	-0.041	0.483727
44	-0.106263	-0.7809	0.219145
45	-0.064571	-0.4745	0.31853
46	0.014182	0.1042	0.458692
47	0.033132	0.2435	0.404283
48	0.091845	0.6749	0.251304

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.175961	1.293	0.100751
2	-0.140241	-1.0306	0.153671
3	-0.450623	-3.3114	0.00083
4	-0.285572	-2.0985	0.020276
5	-0.207145	-1.5222	0.066897
6	-0.218244	-1.6038	0.057301
7	-0.191991	-1.4108	0.082013
8	-0.096606	-0.7099	0.240408
9	-0.047559	-0.3495	0.364041
10	-0.093843	-0.6896	0.246698
11	0.137165	1.008	0.158987
12	-0.075664	-0.556	0.290248
13	-0.015356	-0.1128	0.455286
14	0.237657	1.7464	0.043213
15	-0.087508	-0.643	0.261457
16	0.002676	0.0197	0.492191
17	0.06152	0.4521	0.326511
18	0.025584	0.188	0.425789
19	-0.074608	-0.5483	0.292888
20	-0.140893	-1.0353	0.15256
21	-0.016462	-0.121	0.452081
22	-0.164826	-1.2112	0.115543
23	-0.080495	-0.5915	0.278322
24	0.024367	0.1791	0.42928
25	-0.018844	-0.1385	0.44519
26	0.198545	1.459	0.075179
27	-0.035284	-0.2593	0.3982
28	-0.028136	-0.2068	0.418488
29	-0.026526	-0.1949	0.423091
30	0.023907	0.1757	0.430603
31	-0.195651	-1.4377	0.07814
32	0.04083	0.3	0.382651
33	0.068401	0.5026	0.30863
34	0.016831	0.1237	0.451012
35	-0.031481	-0.2313	0.408965
36	-0.075735	-0.5565	0.290073
37	0.079332	0.583	0.281171
38	-0.004694	-0.0345	0.486304
39	-0.032603	-0.2396	0.405782
40	-0.042624	-0.3132	0.377659
41	-0.014574	-0.1071	0.457553
42	-0.09314	-0.6844	0.248314
43	0.04067	0.2989	0.383096
44	-0.095025	-0.6983	0.243998
45	-0.057555	-0.4229	0.337009
46	0.016279	0.1196	0.452612
47	-0.019812	-0.1456	0.442394
48	-0.081235	-0.597	0.276517

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536577fv7gi5ohygubjn5/1bcr71229536523.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536577fv7gi5ohygubjn5/1bcr71229536523.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536577fv7gi5ohygubjn5/2gyhz1229536523.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536577fv7gi5ohygubjn5/2gyhz1229536523.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 2 ; 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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