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Autocorrelatie zonder differentiatie

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 21 Dec 2008 06:03:53 -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/21/t1229864671z6r5smwwevmmw0s.htm/, Retrieved Sun, 21 Dec 2008 14:04:33 +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/21/t1229864671z6r5smwwevmmw0s.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:

steven coomans

Dataseries X:

» Textbox « » Textfile « » CSV «

527 516 503 489 479 475 524 552 532 511 492 492 493 481 462 457 442 439 488 521 501 485 464 460 467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626

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
0	1	9.5917	0
1	0.920601	8.8301	0
2	0.806633	7.7369	0
3	0.731445	7.0158	0
4	0.695904	6.6749	0
5	0.697965	6.6946	0
6	0.694523	6.6616	0
7	0.668123	6.4084	0
8	0.636395	6.1041	0
9	0.636928	6.1092	0
10	0.671022	6.4362	0
11	0.720556	6.9113	0
12	0.731278	7.0142	0
13	0.639256	6.1315	0
14	0.519424	4.9821	1e-06
15	0.433756	4.1604	3.6e-05
16	0.383578	3.6792	0.000197
17	0.367021	3.5203	0.000336
18	0.345728	3.3161	0.000654
19	0.305938	2.9345	0.002109
20	0.262198	2.5149	0.006821
21	0.246088	2.3604	0.010184
22	0.258665	2.481	0.007459
23	0.284259	2.7265	0.003832
24	0.277625	2.6629	0.004573
25	0.18745	1.798	0.037732
26	0.081446	0.7812	0.218343
27	0.005744	0.0551	0.47809
28	-0.039274	-0.3767	0.64637
29	-0.055267	-0.5301	0.701342
30	-0.076399	-0.7328	0.767225
31	-0.112649	-1.0805	0.858627
32	-0.151339	-1.4516	0.924992
33	-0.162378	-1.5575	0.938604
34	-0.143408	-1.3755	0.913845
35	-0.114659	-1.0998	0.86285
36	-0.11874	-1.1389	0.871152
37	-0.192117	-1.8427	0.965705
38	-0.274928	-2.637	0.995091
39	-0.324284	-3.1104	0.998756
40	-0.348686	-3.3445	0.999403
41	-0.353166	-3.3875	0.99948
42	-0.358629	-3.4399	0.999562
43	-0.376169	-3.6081	0.999749
44	-0.394657	-3.7854	0.999863
45	-0.389127	-3.7324	0.999836
46	-0.360763	-3.4603	0.99959
47	-0.3229	-3.0971	0.998705
48	-0.311411	-2.9869	0.998194
49	-0.354623	-3.4014	0.999503
50	-0.405831	-3.8926	0.999906
51	-0.426962	-4.0953	0.999955
52	-0.42747	-4.1002	0.999956
53	-0.412682	-3.9583	0.999926
54	-0.400181	-3.8384	0.999886
55	-0.395673	-3.7952	0.999868
56	-0.392352	-3.7633	0.999853
57	-0.370879	-3.5573	0.999703
58	-0.332242	-3.1868	0.999017
59	-0.295129	-2.8308	0.997149

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.920601	8.8301	0
1	-0.268035	-2.5709	0.994126
2	0.258389	2.4784	0.007511
3	0.098643	0.9462	0.173274
4	0.228405	2.1908	0.015497
5	-0.067139	-0.644	0.739403
6	0.017636	0.1692	0.433021
7	0.040779	0.3911	0.348301
8	0.251422	2.4116	0.008935
9	0.131912	1.2653	0.104488
10	0.196021	1.8802	0.031624
11	-0.163048	-1.5639	0.939363
12	-0.522404	-5.0107	0.999999
13	-0.08441	-0.8096	0.78988
14	-0.131475	-1.2611	0.894763
15	-0.12732	-1.2212	0.887436
16	-0.054512	-0.5229	0.698837
17	-0.087076	-0.8352	0.797116
18	-0.01365	-0.1309	0.551941
19	-0.073032	-0.7005	0.757308
20	0.009444	0.0906	0.464011
21	-0.022432	-0.2152	0.58494
22	0.126321	1.2116	0.114378
23	0.029397	0.282	0.389302
24	-0.11523	-1.1052	0.864032
25	0.099337	0.9528	0.171593
26	-0.053218	-0.5105	0.694521
27	-0.003872	-0.0371	0.514774
28	-0.041482	-0.3979	0.65418
29	-0.036418	-0.3493	0.636172
30	-0.016727	-0.1604	0.563557
31	-0.055351	-0.5309	0.70162
32	0.028059	0.2691	0.394216
33	0.019264	0.1848	0.426908
34	0.057428	0.5508	0.291543
35	-0.039226	-0.3762	0.646199
36	-0.035045	-0.3361	0.631234
37	0.03009	0.2886	0.386762
38	0.044645	0.4282	0.334746
39	-0.036491	-0.35	0.636434
40	-0.042124	-0.404	0.656438
41	0.059879	0.5743	0.28357
42	-0.016434	-0.1576	0.562454
43	-0.010692	-0.1026	0.540729
44	-0.035054	-0.3362	0.631266
45	-0.04692	-0.45	0.673129
46	0.060995	0.585	0.279975
47	0.00123	0.0118	0.495306
48	0.034772	0.3335	0.36975
49	-0.022586	-0.2166	0.585516
50	0.072122	0.6918	0.245412
51	-0.02281	-0.2188	0.586348
52	0.022203	0.213	0.415913
53	-0.013606	-0.1305	0.551774
54	0.047559	0.4562	0.32467
55	-0.005291	-0.0507	0.520181
56	-0.018282	-0.1754	0.569408
57	-0.038606	-0.3703	0.643995
58	-0.118362	-1.1353	0.870398
59	-0.035583	-0.3413	0.633172

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864671z6r5smwwevmmw0s/1esa81229864631.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864671z6r5smwwevmmw0s/1esa81229864631.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864671z6r5smwwevmmw0s/2zash1229864631.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864671z6r5smwwevmmw0s/2zash1229864631.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 1:par1) {

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(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-1,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(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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