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Autocorrelatie functie olie d=2 D=0

*Unverified author*

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 07:46:38 -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/t12296983359crq2i61uz4vvd5.htm/, Retrieved Fri, 19 Dec 2008 15:52:17 +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/t12296983359crq2i61uz4vvd5.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 «

29.59 30.7 30.52 32.67 33.19 37.13 35.54 37.75 41.84 42.94 49.14 44.61 40.22 44.23 45.85 53.38 53.26 51.8 55.3 57.81 63.96 63.77 59.15 56.12 57.42 63.52 61.71 63.01 68.18 72.03 69.75 74.41 74.33 64.24 60.03 59.44 62.5 55.04 58.34 61.92 67.65 67.68 70.3 75.26 71.44 76.36 81.71 92.6 90.6 92.23 94.09 102.79 109.65 124.05 132.69 135.81 116.07 101.42 75.73 55.48

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	0.519832	3.9929	9.2e-05
2	0.273123	2.0979	0.020103
3	0.002689	0.0207	0.491794
4	-0.129668	-0.996	0.161659
5	-0.222124	-1.7062	0.046618
6	-0.187115	-1.4373	0.077964
7	-0.048768	-0.3746	0.354652
8	-0.053156	-0.4083	0.342267
9	-0.105705	-0.8119	0.210046
10	-0.036573	-0.2809	0.389876
11	-0.001475	-0.0113	0.495498
12	-0.097347	-0.7477	0.228794
13	-0.10729	-0.8241	0.206597
14	-0.04549	-0.3494	0.364011
15	0.029587	0.2273	0.410501
16	-0.103435	-0.7945	0.215045
17	-0.118167	-0.9077	0.183876
18	-0.109122	-0.8382	0.202657
19	-0.086355	-0.6633	0.25486
20	-0.078396	-0.6022	0.274683
21	0.047444	0.3644	0.358421
22	0.120605	0.9264	0.179011
23	0.097143	0.7462	0.229263
24	0.101589	0.7803	0.21916
25	0.12628	0.97	0.168009
26	0.125517	0.9641	0.169462
27	-0.017231	-0.1324	0.447578
28	-0.040705	-0.3127	0.37782
29	-0.060447	-0.4643	0.32207
30	-0.06983	-0.5364	0.296859
31	-0.073147	-0.5619	0.288173
32	0.009431	0.0724	0.471249
33	0.035384	0.2718	0.393367
34	0.020114	0.1545	0.438871
35	0.075459	0.5796	0.282191
36	0.04738	0.3639	0.358606
37	0.042199	0.3241	0.373491
38	-0.02513	-0.193	0.423801
39	-0.032223	-0.2475	0.402686
40	-0.015713	-0.1207	0.452171
41	-0.060689	-0.4662	0.321407
42	-0.024186	-0.1858	0.426629
43	-0.070298	-0.54	0.295624
44	-0.011477	-0.0882	0.465026
45	0.040549	0.3115	0.378273
46	0.031889	0.2449	0.403676
47	0.050418	0.3873	0.349976
48	-0.02707	-0.2079	0.418
49	-0.066494	-0.5108	0.305716
50	-0.020129	-0.1546	0.438827
51	-0.051528	-0.3958	0.346843
52	-0.009909	-0.0761	0.469794
53	-0.027612	-0.2121	0.416382
54	-0.029197	-0.2243	0.411662
55	-0.01716	-0.1318	0.447792
56	-0.009958	-0.0765	0.469646
57	-0.001606	-0.0123	0.4951
58	-0.004709	-0.0362	0.485633
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.519832	3.9929	9.2e-05
2	0.003971	0.0305	0.487885
3	-0.192925	-1.4819	0.071847
4	-0.084175	-0.6466	0.260213
5	-0.104307	-0.8012	0.213115
6	-0.002375	-0.0182	0.492754
7	0.111123	0.8536	0.198403
8	-0.121183	-0.9308	0.177868
9	-0.157891	-1.2128	0.115023
10	0.093952	0.7217	0.236676
11	0.025403	0.1951	0.422982
12	-0.192819	-1.4811	0.071954
13	-0.034772	-0.2671	0.395167
14	0.050257	0.386	0.35043
15	0.053442	0.4105	0.341465
16	-0.230013	-1.7668	0.04122
17	-0.112462	-0.8638	0.195587
18	-0.01175	-0.0903	0.464196
19	0.040168	0.3085	0.37938
20	-0.051077	-0.3923	0.348113
21	-7e-06	-1e-04	0.499977
22	-0.006649	-0.0511	0.479721
23	0.016342	0.1255	0.450268
24	0.067771	0.5206	0.302312
25	-0.014037	-0.1078	0.457252
26	0.013663	0.105	0.458385
27	-0.076532	-0.5879	0.279436
28	-0.001052	-0.0081	0.496789
29	-0.041207	-0.3165	0.376365
30	-0.032811	-0.252	0.400949
31	0.01479	0.1136	0.454968
32	0.039405	0.3027	0.3816
33	-0.030717	-0.2359	0.407148
34	-0.018014	-0.1384	0.445211
35	0.125066	0.9606	0.170325
36	-0.101664	-0.7809	0.218993
37	0.019827	0.1523	0.439736
38	0.032493	0.2496	0.401887
39	-0.025581	-0.1965	0.42245
40	0.023595	0.1812	0.428403
41	-0.058576	-0.4499	0.327205
42	0.063512	0.4878	0.313735
43	-0.111695	-0.8579	0.197196
44	0.102075	0.7841	0.218072
45	0.080482	0.6182	0.269413
46	-0.111597	-0.8572	0.197404
47	-0.025023	-0.1922	0.42412
48	-0.041769	-0.3208	0.374735
49	-0.013749	-0.1056	0.458124
50	0.073771	0.5666	0.286552
51	-0.060741	-0.4666	0.321267
52	-0.035986	-0.2764	0.391599
53	0.01396	0.1072	0.457485
54	-0.01665	-0.1279	0.449335
55	-0.002412	-0.0185	0.49264
56	-0.020903	-0.1606	0.436493
57	-0.070093	-0.5384	0.296165
58	0.040611	0.3119	0.378093
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/19/t12296983359crq2i61uz4vvd5/1aqm81229697996.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296983359crq2i61uz4vvd5/1aqm81229697996.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296983359crq2i61uz4vvd5/2pjir1229697996.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296983359crq2i61uz4vvd5/2pjir1229697996.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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