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Paper statistiek_Autocorrelation function (d=1, D=0)_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 07:08:10 -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/t12297821678ejbwj6ubndk76p.htm/, Retrieved Sat, 20 Dec 2008 15:09:27 +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/t12297821678ejbwj6ubndk76p.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.393245	-3.7719	0.000143
2	-0.312077	-2.9933	0.001772
3	0.458436	4.3972	1.5e-05
4	-0.325491	-3.122	0.0012
5	-0.11936	-1.1449	0.127618
6	0.445568	4.2737	2.3e-05
7	-0.251994	-2.417	0.00881
8	-0.188738	-1.8103	0.036756
9	0.415617	3.9865	6.7e-05
10	-0.36467	-3.4978	0.000362
11	-0.15548	-1.4913	0.06965
12	0.602725	5.7811	0
13	-0.245238	-2.3522	0.010396
14	-0.208393	-1.9988	0.024288
15	0.358943	3.4429	0.000434
16	-0.311057	-2.9836	0.001824
17	-0.044831	-0.43	0.3341
18	0.354968	3.4047	0.000491
19	-0.239259	-2.2949	0.012007
20	-0.097444	-0.9347	0.176208
21	0.276784	2.6548	0.004675
22	-0.298072	-2.859	0.002629
23	-0.030598	-0.2935	0.384905
24	0.349681	3.354	0.000579
25	-0.113012	-1.084	0.140605
26	-0.144276	-1.3838	0.084877
27	0.249461	2.3927	0.009378
28	-0.237199	-2.2751	0.01261
29	-0.060498	-0.5803	0.281575
30	0.273475	2.6231	0.0051
31	-0.15267	-1.4644	0.073252
32	-0.044959	-0.4312	0.333654
33	0.147353	1.4134	0.080462
34	-0.190854	-1.8306	0.035199
35	-0.06945	-0.6661	0.253494
36	0.308598	2.96	0.001956
37	-0.083573	-0.8016	0.212423
38	-0.11312	-1.085	0.140376
39	0.160069	1.5353	0.064067
40	-0.129137	-1.2386	0.109315
41	-0.065477	-0.628	0.26577
42	0.178077	1.7081	0.045499
43	-0.061043	-0.5855	0.279822
44	-0.061615	-0.591	0.277987
45	0.080315	0.7704	0.221532
46	-0.104346	-1.0009	0.159761
47	-0.091239	-0.8751	0.191891
48	0.262609	2.5189	0.00675
49	-0.069235	-0.6641	0.25415
50	-0.10149	-0.9735	0.166438
51	0.101415	0.9727	0.166616
52	-0.057239	-0.549	0.292161
53	-0.036702	-0.352	0.36281
54	0.095043	0.9116	0.182175
55	-0.013556	-0.13	0.448415
56	-0.072248	-0.693	0.245035
57	0.105394	1.0109	0.157357
58	-0.124913	-1.1981	0.116973
59	-0.070109	-0.6725	0.251487
60	0.212627	2.0394	0.022137

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.393245	-3.7719	0.000143
2	-0.552095	-5.2955	0
3	0.086527	0.8299	0.204362
4	-0.324663	-3.1141	0.00123
5	-0.283249	-2.7168	0.003937
6	0.0347	0.3328	0.370011
7	-0.015036	-0.1442	0.442821
8	-0.204946	-1.9658	0.02617
9	0.073821	0.7081	0.240347
10	-0.28134	-2.6985	0.004143
11	-0.443151	-4.2506	2.6e-05
12	0.000311	0.003	0.498814
13	0.177054	1.6982	0.046421
14	0.054791	0.5255	0.300236
15	0.053378	0.512	0.304946
16	-0.014084	-0.1351	0.446417
17	0.046223	0.4434	0.329276
18	-0.075268	-0.7219	0.236079
19	0.020243	0.1942	0.423237
20	-0.022968	-0.2203	0.413064
21	-0.080969	-0.7766	0.219686
22	-0.1509	-1.4474	0.075595
23	-0.025649	-0.246	0.40311
24	-0.163021	-1.5636	0.060667
25	0.099624	0.9556	0.1709
26	-0.039408	-0.378	0.353154
27	0.142266	1.3646	0.087859
28	-0.014315	-0.1373	0.445543
29	0.005029	0.0482	0.480815
30	-0.155814	-1.4945	0.069232
31	0.004625	0.0444	0.482355
32	-0.019259	-0.1847	0.426924
33	0.04322	0.4146	0.339717
34	-0.037653	-0.3612	0.359405
35	-0.073064	-0.7008	0.242595
36	-0.014977	-0.1437	0.443043
37	0.058058	0.5569	0.289483
38	-0.02736	-0.2624	0.396788
39	-0.029463	-0.2826	0.389061
40	-0.016906	-0.1622	0.435767
41	0.10697	1.026	0.153785
42	-0.049068	-0.4706	0.319504
43	0.080661	0.7737	0.220553
44	0.003926	0.0377	0.48502
45	-0.002668	-0.0256	0.48982
46	-0.049617	-0.4759	0.317633
47	0.011673	0.112	0.455548
48	0.031472	0.3019	0.381717
49	-0.056895	-0.5457	0.293291
50	-0.099231	-0.9518	0.171849
51	-0.127425	-1.2222	0.112374
52	-0.106464	-1.0212	0.154927
53	0.031813	0.3051	0.380473
54	-0.033895	-0.3251	0.372919
55	-0.00015	-0.0014	0.499429
56	-0.06871	-0.659	0.255756
57	0.105959	1.0163	0.156071
58	-0.070707	-0.6782	0.249675
59	-0.05672	-0.544	0.293866
60	-0.0293	-0.281	0.389656

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297821678ejbwj6ubndk76p/1t2i81229782082.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297821678ejbwj6ubndk76p/1t2i81229782082.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297821678ejbwj6ubndk76p/23ccn1229782082.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t12297821678ejbwj6ubndk76p/23ccn1229782082.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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