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(P)ACF omzet met differentiatie

*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 16:32:33 -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/20/t1229729608irsrqagbomig0hi.htm/, Retrieved Sat, 20 Dec 2008 00:33:30 +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/20/t1229729608irsrqagbomig0hi.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 «

124.1 110.7 128.1 108.9 111.2 131.9 120.5 115.4 130.8 112.6 111.1 129.5 131.8 127.7 142.6 115.8 119.5 139.8 130.6 126.2 141.7 118.9 120.3 141.2 138.9 141.3 153.7 131 136.5 160.1 139.8 143.8 155.8 131 131.8 151.7 153.8 152.9 156.1 147.2 145.7 165.3 147.4 154.4 165.3 145.2 139.7 158.4 169.1 162.1 166.2 157.2 161.4 169 171.8 161.4 175.7 164.7 146.1 173

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	-0.2377	-1.6468	0.053062
2	0.121738	0.8434	0.201587
3	0.270934	1.8771	0.033296
4	-0.0593	-0.4108	0.341508
5	0.074585	0.5167	0.303855
6	0.066965	0.4639	0.322392
7	-0.165952	-1.1497	0.127972
8	-0.091395	-0.6332	0.264804
9	0.096039	0.6654	0.254497
10	-0.305408	-2.1159	0.019782
11	-0.101475	-0.703	0.242714
12	-0.067884	-0.4703	0.32013
13	-0.232592	-1.6114	0.05682
14	-0.08295	-0.5747	0.284092
15	0.020911	0.1449	0.442707
16	-0.165903	-1.1494	0.128042
17	0.025522	0.1768	0.430196
18	0.061107	0.4234	0.33696
19	-0.139258	-0.9648	0.169738
20	0.106514	0.738	0.232068
21	0.019178	0.1329	0.447426
22	-0.043187	-0.2992	0.383036
23	0.24047	1.666	0.051111
24	-0.171852	-1.1906	0.119828
25	0.163439	1.1323	0.131559
26	0.169197	1.1722	0.123444
27	-0.046665	-0.3233	0.373936
28	0.022585	0.1565	0.438159
29	0.084323	0.5842	0.280909
30	-0.024832	-0.172	0.432063
31	0.035697	0.2473	0.402859
32	0.07769	0.5383	0.296445
33	-0.161814	-1.1211	0.133915
34	0.068296	0.4732	0.319118
35	0.002909	0.0202	0.492002
36	-0.057755	-0.4001	0.345415
37	-0.026064	-0.1806	0.428729
38	0.002368	0.0164	0.49349
39	-0.047738	-0.3307	0.371141
40	-0.020499	-0.142	0.44383
41	0.085265	0.5907	0.278735
42	-0.113834	-0.7887	0.217094
43	0.051223	0.3549	0.362115
44	0.020923	0.145	0.442675
45	-0.049903	-0.3457	0.365526
46	0.038685	0.268	0.394918
47	-0.012607	-0.0873	0.465382
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	-0.2377	-1.6468	0.053062
2	0.069143	0.479	0.317043
3	0.334728	2.3191	0.012347
4	0.082815	0.5738	0.284404
5	-0.000805	-0.0056	0.497787
6	-0.01375	-0.0953	0.462251
7	-0.195521	-1.3546	0.090942
8	-0.26229	-1.8172	0.037716
9	0.042043	0.2913	0.386045
10	-0.148554	-1.0292	0.15427
11	-0.186329	-1.2909	0.101457
12	-0.12771	-0.8848	0.190337
13	-0.123617	-0.8564	0.198005
14	-0.13483	-0.9341	0.177456
15	0.058522	0.4055	0.343473
16	0.025247	0.1749	0.43094
17	-0.001671	-0.0116	0.495406
18	-0.015793	-0.1094	0.456664
19	-0.143373	-0.9933	0.162769
20	-0.132526	-0.9182	0.181562
21	-0.141076	-0.9774	0.166634
22	-0.12994	-0.9003	0.18624
23	0.124471	0.8624	0.196389
24	-0.249461	-1.7283	0.04518
25	-0.029273	-0.2028	0.42007
26	0.1257	0.8709	0.194078
27	0.035397	0.2452	0.403658
28	-0.105072	-0.728	0.235087
29	-0.078632	-0.5448	0.294215
30	-0.088977	-0.6164	0.270255
31	-0.095292	-0.6602	0.25614
32	-0.052837	-0.3661	0.357963
33	-0.078609	-0.5446	0.294269
34	-0.112079	-0.7765	0.220629
35	-0.108082	-0.7488	0.228811
36	0.071046	0.4922	0.312404
37	0.030996	0.2147	0.415436
38	-0.050198	-0.3478	0.364763
39	0.078335	0.5427	0.294917
40	-0.083889	-0.5812	0.281913
41	-0.051249	-0.3551	0.362048
42	-0.033721	-0.2336	0.408134
43	-0.070616	-0.4892	0.31345
44	-0.071683	-0.4966	0.310857
45	-0.040814	-0.2828	0.389286
46	-0.022129	-0.1533	0.439397
47	0.024532	0.17	0.432877
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/20/t1229729608irsrqagbomig0hi/1up2f1229729551.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229729608irsrqagbomig0hi/1up2f1229729551.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229729608irsrqagbomig0hi/2zmcq1229729551.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229729608irsrqagbomig0hi/2zmcq1229729551.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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