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Paper statistiek_Autocorrelation function_NDC(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: Sat, 20 Dec 2008 07:04:23 -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/t1229781948i47crad30wgp0vr.htm/, Retrieved Sat, 20 Dec 2008 15:05:50 +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/t1229781948i47crad30wgp0vr.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 «

98.6 98 106.8 96.7 100.2 107.7 92 98.4 107.4 117.7 105.7 97.5 99.9 98.2 104.5 100.8 101.5 103.9 99.6 98.4 112.7 118.4 108.1 105.4 114.6 106.9 115.9 109.8 101.8 114.2 110.8 108.4 127.5 128.6 116.6 127.4 105 108.3 125 111.6 106.5 130.3 115 116.1 134 126.5 125.8 136.4 114.9 110.9 125.5 116.8 116.8 125.5 104.2 115.1 132.8 123.3 124.8 122 117.4 117.9 137.4 114.6 124.7 129.6 109.4 120.9 134.9 136.3 133.2 127.2 122.7 120.5 137.8 119.1 124.3 134.4 121.1 122.2 127.7 137.4 132.2 129.2 124.9 124.8 128.2 134.4 118.6 132.6 123.2 112.8 138.3

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
1	0.562459	5.4242	0
2	0.484055	4.6681	5e-06
3	0.655293	6.3194	0
4	0.422989	4.0792	4.8e-05
5	0.482103	4.6492	5e-06
6	0.623168	6.0096	0
7	0.387833	3.7401	0.000159
8	0.371117	3.5789	0.000275
9	0.519869	5.0134	1e-06
10	0.33703	3.2502	0.000803
11	0.428961	4.1367	3.9e-05
12	0.626588	6.0426	0
13	0.350592	3.381	0.000529
14	0.279745	2.6978	0.004145
15	0.388459	3.7462	0.000156
16	0.177382	1.7106	0.045243
17	0.23564	2.2724	0.012682
18	0.3412	3.2904	0.000707
19	0.12071	1.1641	0.123684
20	0.119691	1.1543	0.125676
21	0.213894	2.0627	0.020964
22	0.082846	0.7989	0.213181
23	0.169833	1.6378	0.05242
24	0.271821	2.6213	0.005116
25	0.102871	0.9921	0.161873
26	0.036486	0.3519	0.362871
27	0.118071	1.1386	0.128891
28	-0.044813	-0.4322	0.333311
29	-0.01897	-0.1829	0.427623
30	0.088842	0.8568	0.196889
31	-0.067972	-0.6555	0.256881
32	-0.073847	-0.7122	0.239077
33	-0.015876	-0.1531	0.439324
34	-0.083912	-0.8092	0.210226
35	-0.018242	-0.1759	0.43037
36	0.12103	1.1672	0.123063
37	-0.038595	-0.3722	0.355296
38	-0.098483	-0.9497	0.172354
39	-0.025734	-0.2482	0.402274
40	-0.136464	-1.316	0.095703
41	-0.136285	-1.3143	0.095992
42	-0.049811	-0.4804	0.31605
43	-0.144283	-1.3914	0.08371
44	-0.164997	-1.5912	0.057482
45	-0.116903	-1.1274	0.131243
46	-0.179368	-1.7298	0.043495
47	-0.141781	-1.3673	0.087416
48	-0.016549	-0.1596	0.436774
49	-0.148236	-1.4295	0.078101
50	-0.201816	-1.9462	0.027322
51	-0.151036	-1.4565	0.074306
52	-0.220144	-2.123	0.018205
53	-0.205641	-1.9831	0.025151
54	-0.157436	-1.5183	0.066171
55	-0.238731	-2.3022	0.011776
56	-0.268162	-2.5861	0.00563
57	-0.208826	-2.0138	0.023458
58	-0.284657	-2.7451	0.00363
59	-0.240208	-2.3165	0.011364
60	-0.16239	-1.566	0.060368

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.562459	5.4242	0
2	0.245296	2.3656	0.01004
3	0.485361	4.6807	5e-06
4	-0.140815	-1.358	0.088879
5	0.245295	2.3655	0.01004
6	0.216003	2.0831	0.019995
7	-0.105917	-1.0214	0.154852
8	-0.094534	-0.9116	0.182155
9	0.154689	1.4918	0.069572
10	-0.061242	-0.5906	0.278112
11	0.190992	1.8419	0.034341
12	0.292633	2.822	0.002917
13	-0.139546	-1.3457	0.09083
14	-0.303274	-2.9247	0.002166
15	-0.136314	-1.3146	0.095944
16	-0.182864	-1.7635	0.040553
17	-0.03468	-0.3344	0.369399
18	-0.005292	-0.051	0.479705
19	0.056957	0.5493	0.292067
20	-0.029819	-0.2876	0.387161
21	-0.002611	-0.0252	0.489983
22	0.022957	0.2214	0.412639
23	0.035882	0.346	0.365049
24	-0.034754	-0.3352	0.36913
25	0.104815	1.0108	0.157367
26	-0.126268	-1.2177	0.113211
27	0.051119	0.493	0.311596
28	-0.137057	-1.3217	0.09475
29	-0.02275	-0.2194	0.413411
30	-0.025452	-0.2455	0.403323
31	0.12477	1.2032	0.115969
32	0.001941	0.0187	0.492553
33	-0.018913	-0.1824	0.427837
34	0.008172	0.0788	0.468678
35	0.026815	0.2586	0.39826
36	0.146869	1.4164	0.080006
37	-0.036354	-0.3506	0.363344
38	-0.081511	-0.7861	0.216914
39	-0.061054	-0.5888	0.278718
40	-0.029739	-0.2868	0.387455
41	-0.074207	-0.7156	0.238008
42	-0.089134	-0.8596	0.196116
43	0.085207	0.8217	0.206674
44	0.046913	0.4524	0.326012
45	-0.044825	-0.4323	0.333271
46	-0.061473	-0.5928	0.27737
47	-0.111292	-1.0733	0.142965
48	-0.036643	-0.3534	0.362304
49	-0.090993	-0.8775	0.191237
50	0.037356	0.3603	0.359738
51	-0.019756	-0.1905	0.42466
52	0.094709	0.9133	0.181713
53	0.060495	0.5834	0.280519
54	-0.055863	-0.5387	0.295681
55	-0.082507	-0.7957	0.214125
56	-0.067406	-0.65	0.258635
57	-0.01777	-0.1714	0.432153
58	-0.087544	-0.8442	0.200351
59	-0.00158	-0.0152	0.493939
60	0.005668	0.0547	0.478264

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229781948i47crad30wgp0vr/1nbi11229781861.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229781948i47crad30wgp0vr/1nbi11229781861.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229781948i47crad30wgp0vr/2ielj1229781861.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229781948i47crad30wgp0vr/2ielj1229781861.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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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