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autocorrelation d=2 D=1 vrouwen

*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: Thu, 18 Dec 2008 06:42:39 -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/18/t1229607812s43s0ey4bkkz508.htm/, Retrieved Thu, 18 Dec 2008 14:43:33 +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/18/t1229607812s43s0ey4bkkz508.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 «

9.4 9.5 9.1 9 9.3 9.9 9.8 9.4 8.3 8 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 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9 9 9 9.8 10 9.9 9.3 9 9 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.8 7.9 7.9 8 7.9 7.5 7.2 6.9 6.6 6.7 7.3

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6.7823	0
1	0.174534	1.1838	0.121297
2	-0.085887	-0.5825	0.718467
3	-0.463822	-3.1458	0.998549
4	-0.387261	-2.6265	0.994161
5	-0.143792	-0.9752	0.83273
6	0.151242	1.0258	0.155182
7	0.305512	2.0721	0.021945
8	0.211004	1.4311	0.079581
9	-0.066968	-0.4542	0.674088
10	-0.146368	-0.9927	0.83698
11	0.001388	0.0094	0.496264
12	0.022947	0.1556	0.438502
13	-0.041256	-0.2798	0.609562
14	0.082799	0.5616	0.288567
15	-0.170204	-1.1544	0.872847
16	-0.002454	-0.0166	0.506605
17	0.058908	0.3995	0.345674
18	0.115024	0.7801	0.219654
19	0.018616	0.1263	0.450038
20	-0.111174	-0.754	0.772659
21	-0.143171	-0.971	0.831694
22	-0.054487	-0.3696	0.643294
23	0.083861	0.5688	0.286138
24	0.218048	1.4789	0.072995
25	0.154841	1.0502	0.149561
26	0.008405	0.057	0.477393
27	-0.277436	-1.8817	0.966891
28	-0.172017	-1.1667	0.875323
29	-0.192887	-1.3082	0.901352
30	0.153531	1.0413	0.15159
31	0.138179	0.9372	0.176781
32	0.222249	1.5074	0.069277
33	0.06541	0.4436	0.329694
34	-0.030003	-0.2035	0.580175
35	-0.160335	-1.0874	0.858748

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.174534	1.1838	0.121297
1	-0.120005	-0.8139	0.790055
2	-0.445897	-3.0242	0.997966
3	-0.321857	-2.1829	0.982909
4	-0.207967	-1.4105	0.91744
5	-0.135291	-0.9176	0.81819
6	-0.056932	-0.3861	0.649411
7	-0.074936	-0.5082	0.693143
8	-0.206416	-1.4	0.915886
9	-0.083182	-0.5642	0.71231
10	0.202426	1.3729	0.088217
11	0.094165	0.6387	0.263106
12	-0.121145	-0.8216	0.792242
13	0.186141	1.2625	0.106571
14	-0.1378	-0.9346	0.822563
15	0.046542	0.3157	0.376843
16	0.189683	1.2865	0.102354
17	-0.02803	-0.1901	0.574971
18	-0.159206	-1.0798	0.857066
19	-0.091273	-0.619	0.730529
20	-0.116669	-0.7913	0.783582
21	-0.166755	-1.131	0.868038
22	-0.021883	-0.1484	0.558668
23	0.048243	0.3272	0.372501
24	-0.092336	-0.6263	0.732878
25	0.168525	1.143	0.129477
26	-0.01142	-0.0775	0.5307
27	-0.045085	-0.3058	0.619424
28	-0.078162	-0.5301	0.70071
29	0.046759	0.3171	0.376289
30	-0.211111	-1.4318	0.920523
31	-0.014226	-0.0965	0.538222
32	0.06384	0.433	0.333525
33	-0.052847	-0.3584	0.639168
34	-0.091429	-0.6201	0.730874
35	-0.121059	-0.8211	0.792076

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229607812s43s0ey4bkkz508/1gx0w1229607758.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229607812s43s0ey4bkkz508/1gx0w1229607758.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229607812s43s0ey4bkkz508/2t6ob1229607758.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229607812s43s0ey4bkkz508/2t6ob1229607758.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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 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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