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Paper statistiek_Autocorrelation function (d=0, D=1)_DC(goed)

*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: Fri, 19 Dec 2008 03:12:55 -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/19/t1229681644vofvcrqd8n0v3w6.htm/, Retrieved Fri, 19 Dec 2008 11:14:09 +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/19/t1229681644vofvcrqd8n0v3w6.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 «

98.1 101.1 111.1 93.3 100 108 70.4 75.4 105.5 112.3 102.5 93.5 86.7 95.2 103.8 97 95.5 101 67.5 64 106.7 100.6 101.2 93.1 84.2 85.8 91.8 92.4 80.3 79.7 62.5 57.1 100.8 100.7 86.2 83.2 71.7 77.5 89.8 80.3 78.7 93.8 57.6 60.6 91 85.3 77.4 77.3 68.3 69.9 81.7 75.1 69.9 84 54.3 60 89.9 77 85.3 77.6 69.2 75.5 85.7 72.2 79.9 85.3 52.2 61.2 82.4 85.4 78.2 70.2 70.2 69.3 77.5 66.1 69 79.2 56.2 63.3 77.8 92 78.1 65.1 71.1 70.9 72 81.9 70.6 72.5 65.1 54.9 80

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
1	0.097466	0.8772	0.191488
2	0.223904	2.0151	0.023604
3	0.353989	3.1859	0.001025
4	-0.097599	-0.8784	0.191164
5	0.14736	1.3262	0.094244
6	0.121479	1.0933	0.138749
7	0.012591	0.1133	0.455028
8	0.117138	1.0542	0.147453
9	0.096199	0.8658	0.19458
10	-0.002923	-0.0263	0.489539
11	-0.055286	-0.4976	0.310066
12	-0.17793	-1.6014	0.056594
13	-0.11342	-1.0208	0.155199
14	-0.08344	-0.751	0.227426
15	0.033823	0.3044	0.380798
16	-0.029197	-0.2628	0.396695
17	0.127753	1.1498	0.12681
18	0.235558	2.12	0.018532
19	-0.023322	-0.2099	0.417137
20	0.140925	1.2683	0.104158
21	0.205527	1.8497	0.033999
22	-0.086069	-0.7746	0.220409
23	0.31789	2.861	0.002685
24	0.025441	0.229	0.409734
25	0.019676	0.1771	0.429943
26	0.208278	1.8745	0.032233
27	-0.075979	-0.6838	0.248023
28	0.052847	0.4756	0.31781
29	-0.016623	-0.1496	0.440723
30	-0.18732	-1.6859	0.047834
31	-0.008662	-0.078	0.469028
32	-0.036226	-0.326	0.37262
33	-0.239963	-2.1597	0.016878
34	-0.067965	-0.6117	0.271229
35	-0.177828	-1.6005	0.056696
36	-0.112313	-1.0108	0.157557
37	-0.030905	-0.2781	0.390805
38	-0.020081	-0.1807	0.428517
39	-0.050236	-0.4521	0.326195
40	-0.012074	-0.1087	0.456868
41	-0.017241	-0.1552	0.438537
42	-0.072662	-0.654	0.257496
43	-0.107325	-0.9659	0.168478
44	0.035143	0.3163	0.376301
45	-0.052066	-0.4686	0.320309
46	0.070031	0.6303	0.265142
47	0.08584	0.7726	0.221016
48	-0.140271	-1.2624	0.105207
49	0.088143	0.7933	0.214965
50	-0.16065	-1.4458	0.076039
51	-0.105921	-0.9533	0.17164
52	-0.059069	-0.5316	0.298223
53	-0.196034	-1.7643	0.040725
54	-0.004041	-0.0364	0.485538
55	-0.019879	-0.1789	0.429229
56	-0.11938	-1.0744	0.142913
57	0.005096	0.0459	0.481767
58	-0.090969	-0.8187	0.207675
59	-0.11506	-1.0355	0.15175
60	-0.044122	-0.3971	0.346171

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.097466	0.8772	0.191488
2	0.21646	1.9481	0.027431
3	0.334494	3.0104	0.001739
4	-0.207942	-1.8715	0.032445
5	0.022548	0.2029	0.419847
6	0.074331	0.669	0.252705
7	0.08406	0.7565	0.22576
8	-0.009091	-0.0818	0.467497
9	0.050518	0.4547	0.325284
10	-0.044001	-0.396	0.346571
11	-0.150407	-1.3537	0.089804
12	-0.252385	-2.2715	0.012886
13	-0.028003	-0.252	0.400828
14	0.073558	0.662	0.254919
15	0.217012	1.9531	0.02713
16	-0.044272	-0.3985	0.345673
17	0.150818	1.3574	0.089218
18	0.28422	2.558	0.006196
19	-0.007528	-0.0678	0.473075
20	-0.066105	-0.5949	0.276768
21	0.228836	2.0595	0.021328
22	-0.05237	-0.4713	0.319335
23	0.105514	0.9496	0.172563
24	-0.327981	-2.9518	0.002066
25	-0.044377	-0.3994	0.345326
26	-0.052231	-0.4701	0.319782
27	-0.048528	-0.4368	0.331725
28	-0.092729	-0.8346	0.20321
29	0.080046	0.7204	0.236671
30	-0.06878	-0.619	0.268821
31	0.08169	0.7352	0.232168
32	0.040807	0.3673	0.35719
33	-0.047393	-0.4265	0.335423
34	-0.086737	-0.7806	0.218647
35	-0.105096	-0.9459	0.173515
36	-0.026318	-0.2369	0.40668
37	0.099232	0.8931	0.187227
38	-0.021869	-0.1968	0.422229
39	-0.073592	-0.6623	0.25482
40	-0.029012	-0.2611	0.397336
41	-0.136095	-1.2249	0.112089
42	-0.042884	-0.386	0.350271
43	-0.156283	-1.4066	0.081693
44	0.094331	0.849	0.199196
45	0.068365	0.6153	0.270046
46	-0.00598	-0.0538	0.478606
47	0.036331	0.327	0.372262
48	-0.052234	-0.4701	0.319772
49	0.034172	0.3075	0.379608
50	-0.035353	-0.3182	0.375585
51	0.146207	1.3159	0.095967
52	-0.032032	-0.2883	0.386933
53	-0.110654	-0.9959	0.161135
54	-0.064355	-0.5792	0.282034
55	-0.063962	-0.5757	0.283222
56	0.048397	0.4356	0.332152
57	-0.014268	-0.1284	0.44907
58	0.079013	0.7111	0.239527
59	0.010638	0.0957	0.461982
60	-0.033416	-0.3007	0.38219

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229681644vofvcrqd8n0v3w6/13uhd1229681574.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229681644vofvcrqd8n0v3w6/13uhd1229681574.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229681644vofvcrqd8n0v3w6/2s4fy1229681574.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229681644vofvcrqd8n0v3w6/2s4fy1229681574.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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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