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Paper statistiek_Autocorrelation function (d=1, D=1)_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 07:10:57 -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/t1229782318vxn7omctlgckwd8.htm/, Retrieved Sat, 20 Dec 2008 15:12:00 +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/t1229782318vxn7omctlgckwd8.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	-0.511736	-4.5771	9e-06
2	-0.034809	-0.3113	0.378176
3	0.174794	1.5634	0.060953
4	-0.197904	-1.7701	0.040259
5	0.059469	0.5319	0.298131
6	0.188979	1.6903	0.047434
7	-0.278463	-2.4906	0.007411
8	0.034223	0.3061	0.380162
9	0.271812	2.4312	0.008643
10	-0.245085	-2.1921	0.015639
11	0.095168	0.8512	0.198597
12	0.000363	0.0032	0.498708
13	-0.197268	-1.7644	0.040739
14	0.202654	1.8126	0.036823
15	-0.001378	-0.0123	0.495098
16	-0.212654	-1.902	0.030383
17	0.278637	2.4922	0.007381
18	-0.060063	-0.5372	0.296304
19	-0.153201	-1.3703	0.087217
20	0.11322	1.0127	0.157135
21	0.001656	0.0148	0.494108
22	-0.164886	-1.4748	0.072098
23	0.375456	3.3582	0.000602
24	-0.334768	-2.9943	0.00183
25	0.046872	0.4192	0.338083
26	0.074822	0.6692	0.252638
27	0.021502	0.1923	0.423988
28	-0.085196	-0.762	0.224145
29	0.070811	0.6334	0.264156
30	-0.090215	-0.8069	0.211056
31	0.025716	0.23	0.409334
32	0.184626	1.6513	0.051294
33	-0.209077	-1.87	0.032568
34	0.021556	0.1928	0.423799
35	0.066303	0.593	0.277415
36	-0.096728	-0.8652	0.194768
37	0.137956	1.2339	0.110424
38	0.011814	0.1057	0.458056
39	-0.160337	-1.4341	0.077721
40	0.127118	1.137	0.12947
41	-0.025899	-0.2317	0.408701
42	-0.080609	-0.721	0.236508
43	0.059725	0.5342	0.297345
44	0.064436	0.5763	0.283005
45	-0.182217	-1.6298	0.053538
46	0.227352	2.0335	0.022659
47	-0.087854	-0.7858	0.217156
48	-0.083764	-0.7492	0.227966
49	0.109534	0.9797	0.165092
50	-0.042651	-0.3815	0.351929
51	-0.125301	-1.1207	0.132878
52	0.211455	1.8913	0.031101
53	-0.122466	-1.0954	0.138322
54	0.006632	0.0593	0.476424
55	0.140658	1.2581	0.106011
56	-0.19408	-1.7359	0.043215
57	0.04847	0.4335	0.332897
58	0.053983	0.4828	0.315265
59	-0.082876	-0.7413	0.230351
60	0.053345	0.4771	0.317283

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.511736	-4.5771	9e-06
2	-0.40194	-3.5951	0.00028
3	-0.090271	-0.8074	0.210914
4	-0.209505	-1.8739	0.0323
5	-0.188481	-1.6858	0.047863
6	0.122723	1.0977	0.137821
7	-0.086977	-0.7779	0.219448
8	-0.240523	-2.1513	0.017235
9	0.141344	1.2642	0.104912
10	0.103783	0.9283	0.178031
11	0.055013	0.4921	0.312015
12	-0.014635	-0.1309	0.448093
13	-0.157186	-1.4059	0.081811
14	-0.099135	-0.8867	0.188952
15	-0.079382	-0.71	0.239879
16	-0.214925	-1.9223	0.029061
17	0.048595	0.4346	0.332495
18	0.147573	1.3199	0.095311
19	-0.018345	-0.1641	0.43504
20	-0.191908	-1.7165	0.044972
21	0.036947	0.3305	0.370956
22	-0.075278	-0.6733	0.251346
23	0.223288	1.9971	0.024605
24	-0.015586	-0.1394	0.444742
25	-0.000409	-0.0037	0.498544
26	-0.2805	-2.5089	0.007066
27	-0.016161	-0.1445	0.442717
28	-0.056224	-0.5029	0.308215
29	-0.006467	-0.0578	0.477008
30	0.037595	0.3363	0.368777
31	0.004158	0.0372	0.485212
32	-0.014846	-0.1328	0.447349
33	0.019755	0.1767	0.430097
34	-0.05178	-0.4631	0.322262
35	0.04172	0.3732	0.355011
36	-0.044427	-0.3974	0.346078
37	0.087256	0.7804	0.218718
38	0.07045	0.6301	0.265204
39	0.054727	0.4895	0.312917
40	-0.084236	-0.7534	0.226701
41	-0.083783	-0.7494	0.227914
42	-0.068247	-0.6104	0.271658
43	-0.008143	-0.0728	0.471059
44	0.049519	0.4429	0.329513
45	-0.026131	-0.2337	0.407897
46	-0.031428	-0.2811	0.389679
47	0.121817	1.0896	0.139588
48	-0.047909	-0.4285	0.334715
49	0.016683	0.1492	0.440879
50	-0.004187	-0.0375	0.48511
51	-0.017563	-0.1571	0.437785
52	0.014936	0.1336	0.447029
53	-0.054771	-0.4899	0.312777
54	-0.074735	-0.6684	0.252886
55	-0.025952	-0.2321	0.408517
56	-0.008692	-0.0777	0.469115
57	0.038874	0.3477	0.36449
58	-0.077802	-0.6959	0.244259
59	-0.023654	-0.2116	0.41649
60	-0.071341	-0.6381	0.262617

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229782318vxn7omctlgckwd8/174zh1229782255.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229782318vxn7omctlgckwd8/174zh1229782255.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229782318vxn7omctlgckwd8/24rih1229782255.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229782318vxn7omctlgckwd8/24rih1229782255.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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