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Autocorrelatie seizoenaal en niet-seizoenaal gedifferentieerd

*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 06:08:41 -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/t1229864975bafpa37ahk02yb8.htm/, Retrieved Sun, 21 Dec 2008 14:09:37 +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/t1229864975bafpa37ahk02yb8.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	8.8882	0
1	0.013013	0.1157	0.454107
2	-0.107516	-0.9556	0.828911
3	-0.18027	-1.6023	0.943457
4	0.049894	0.4435	0.329318
5	0.177782	1.5802	0.059033
6	0.048203	0.4284	0.33475
7	0.012861	0.1143	0.454641
8	0.0886	0.7875	0.216675
9	0.301993	2.6842	0.004428
10	-0.059459	-0.5285	0.700678
11	-0.173339	-1.5407	0.936303
12	-0.262842	-2.3362	0.988991
13	0.180495	1.6043	0.056322
14	0.305461	2.715	0.004068
15	0.007271	0.0646	0.474319
16	-0.016357	-0.1454	0.557611
17	-0.078968	-0.7019	0.757591
18	0.091989	0.8176	0.208017
19	-0.023914	-0.2125	0.583887
20	0.028578	0.254	0.400075
21	0.0676	0.6008	0.274832
22	0.04756	0.4227	0.336824
23	0.229934	2.0437	0.022158
24	-0.071587	-0.6363	0.736784
25	-0.167801	-1.4915	0.930087
26	-0.183737	-1.6331	0.946785
27	0.177812	1.5804	0.059002
28	-0.045066	-0.4006	0.655087
29	0.102861	0.9142	0.181685
30	-0.102074	-0.9073	0.816484
31	-0.092587	-0.8229	0.793487
32	0.048365	0.4299	0.334229
33	-0.127748	-1.1355	0.87019
34	-0.087615	-0.7787	0.78077
35	-0.103203	-0.9173	0.819108
36	0.06656	0.5916	0.277906
37	0.055301	0.4915	0.312209
38	0.020256	0.18	0.428791
39	-0.145623	-1.2943	0.900338
40	-0.112371	-0.9988	0.839524
41	0.059483	0.5287	0.299248
42	0.010998	0.0977	0.46119
43	0.022331	0.1985	0.421589
44	-0.104461	-0.9285	0.822003
45	-0.060566	-0.5383	0.704067
46	-0.00785	-0.0698	0.527724
47	-0.020386	-0.1812	0.571662
48	-0.054164	-0.4814	0.684227
49	-0.087859	-0.7809	0.781405
50	0.086978	0.7731	0.220891
51	-0.081953	-0.7284	0.765742
52	0.022322	0.1984	0.42162
53	-0.119442	-1.0616	0.854178
54	-0.041006	-0.3645	0.641759
55	4.7e-05	4e-04	0.499834
56	-0.000631	-0.0056	0.502229
57	-0.042745	-0.3799	0.647491
58	-0.022749	-0.2022	0.579861
59	0.016273	0.1446	0.442684

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.013013	0.1157	0.454107
1	-0.107704	-0.9573	0.82933
2	-0.17943	-1.5948	0.942626
3	0.041867	0.3721	0.355399
4	0.146303	1.3004	0.098627
5	0.02724	0.2421	0.40466
6	0.061998	0.551	0.291578
7	0.159641	1.4189	0.079928
8	0.341156	3.0323	0.001641
9	-0.034645	-0.3079	0.620527
10	-0.11562	-1.0277	0.846375
11	-0.251591	-2.2362	0.98592
12	0.054411	0.4836	0.314997
13	0.149496	1.3287	0.093878
14	-0.067921	-0.6037	0.726111
15	0.088194	0.7839	0.217724
16	0.037535	0.3336	0.369777
17	0.042229	0.3753	0.354207
18	-0.023752	-0.2111	0.583328
19	0.123695	1.0994	0.137461
20	0.207289	1.8424	0.034582
21	-0.140002	-1.2444	0.891478
22	0.088964	0.7907	0.215736
23	-0.045861	-0.4076	0.657673
24	-0.141218	-1.2552	0.893442
25	-0.201932	-1.7948	0.961745
26	0.028357	0.252	0.400831
27	-0.205907	-1.8301	0.9645
28	-0.010561	-0.0939	0.537275
29	-0.122339	-1.0874	0.859912
30	-0.05867	-0.5215	0.698252
31	0.073182	0.6505	0.258644
32	-0.001942	-0.0173	0.506865
33	-0.091353	-0.812	0.790372
34	0.004946	0.044	0.482525
35	-0.071849	-0.6386	0.737539
36	-0.094761	-0.8423	0.798906
37	-0.006628	-0.0589	0.523413
38	0.057544	0.5115	0.305227
39	-0.127787	-1.1358	0.870261
40	0.035518	0.3157	0.376534
41	0.098826	0.8784	0.1912
42	0.015677	0.1393	0.444767
43	-0.017829	-0.1585	0.562754
44	-0.035717	-0.3175	0.624135
45	-0.018769	-0.1668	0.566032
46	-0.020557	-0.1827	0.572256
47	0.019707	0.1752	0.4307
48	0.071538	0.6358	0.263358
49	0.060085	0.534	0.297404
50	-0.040512	-0.3601	0.640126
51	0.00571	0.0508	0.479825
52	0.080223	0.713	0.238963
53	0.076396	0.679	0.249555
54	-0.008221	-0.0731	0.529031
55	-0.098318	-0.8739	0.80758
56	-0.009776	-0.0869	0.534513
57	-0.032443	-0.2884	0.613087
58	-0.123536	-1.098	0.862233
59	0.030308	0.2694	0.394169

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864975bafpa37ahk02yb8/1dx0n1229864920.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864975bafpa37ahk02yb8/1dx0n1229864920.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864975bafpa37ahk02yb8/290iw1229864920.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229864975bafpa37ahk02yb8/290iw1229864920.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 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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