ACF werkloosheid

*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 17:51:17 -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/22/t1229907120k5rqmqx0wa5dcsh.htm/, Retrieved Mon, 22 Dec 2008 01:52:02 +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/22/t1229907120k5rqmqx0wa5dcsh.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 «

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

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 1 0.919829 7.125 0 2 0.80622 6.245 0 3 0.697914 5.406 1e-06 4 0.619298 4.7971 6e-06 5 0.577837 4.4759 1.7e-05 6 0.532888 4.1277 5.7e-05 7 0.507349 3.9299 0.000111 8 0.486863 3.7712 0.000187 9 0.495614 3.839 0.00015 10 0.521632 4.0405 7.7e-05 11 0.544684 4.2191 4.2e-05 12 0.53874 4.1731 4.9e-05 13 0.448798 3.4764 0.000476 14 0.340167 2.6349 0.005346 15 0.236621 1.8329 0.035893 16 0.155392 1.2037 0.116723 17 0.101419 0.7856 0.217599 18 0.050038 0.3876 0.349845 19 0.023176 0.1795 0.429066 20 -0.002345 -0.0182 0.492783 21 -0.006909 -0.0535 0.47875 22 0.005833 0.0452 0.482055 23 0.022416 0.1736 0.431368 24 0.016404 0.1271 0.449658 25 -0.050333 -0.3899 0.349005 26 -0.12868 -0.9967 0.161445 27 -0.205115 -1.5888 0.058679 28 -0.265381 -2.0556 0.022089 29 -0.305776 -2.3685 0.010548 30 -0.343799 -2.6631 0.004963 31 -0.345714 -2.6779 0.004772 32 -0.342766 -2.6551 0.00507 33 -0.328327 -2.5432 0.00679 34 -0.303503 -2.3509 0.011015 35 -0.282205 -2.186 0.016366 36 -0.273006 -2.1147 0.019309 37 -0.299954 -2.3234 0.011781 38 -0.335586 -2.5994 0.005868 39 -0.373257 -2.8912 0.002668 40 -0.402425 -3.1172 0.001401 41 -0.419245 -3.2475 0.000954 42 -0.431099 -3.3393 0.000724 43 -0.405891 -3.144 0.001295 44 -0.374574 -2.9014 0.002593 45 -0.334008 -2.5872 0.006058 46 -0.289497 -2.2424 0.01432 47 -0.252432 -1.9553 0.027603 48 -0.227414 -1.7615 0.041621 49 -0.223178 -1.7287 0.0445 50 -0.221765 -1.7178 0.045496 51 -0.228779 -1.7721 0.040727 52 -0.234641 -1.8175 0.037066 53 -0.233784 -1.8109 0.037583 54 -0.222418 -1.7228 0.045034 55 -0.17437 -1.3507 0.090938 56 -0.126558 -0.9803 0.165433 57 -0.083204 -0.6445 0.260856 58 -0.048017 -0.3719 0.355623 59 -0.023177 -0.1795 0.429065 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.919829 7.125 0 2 -0.259014 -2.0063 0.024668 3 0.017385 0.1347 0.446663 4 0.118292 0.9163 0.181592 5 0.133893 1.0371 0.151919 6 -0.133065 -1.0307 0.153406 7 0.173739 1.3458 0.09172 8 0.005289 0.041 0.483729 9 0.217448 1.6843 0.048655 10 0.048682 0.3771 0.353719 11 0.064485 0.4995 0.309627 12 -0.161085 -1.2478 0.108484 13 -0.431227 -3.3403 0.000722 14 0.003662 0.0284 0.488733 15 -0.051591 -0.3996 0.345428 16 -0.083192 -0.6444 0.260885 17 -0.035716 -0.2767 0.391497 18 -0.003308 -0.0256 0.489821 19 0.045157 0.3498 0.363863 20 -0.118174 -0.9154 0.181831 21 0.022284 0.1726 0.43177 22 0.049263 0.3816 0.352058 23 0.067979 0.5266 0.300218 24 -0.088746 -0.6874 0.247233 25 -0.092049 -0.713 0.239303 26 0.025613 0.1984 0.421701 27 -0.04875 -0.3776 0.353525 28 -0.086355 -0.6689 0.253062 29 -0.019816 -0.1535 0.439262 30 -0.036795 -0.285 0.388307 31 0.131858 1.0214 0.155591 32 -0.070399 -0.5453 0.293782 33 -0.036982 -0.2865 0.387757 34 -0.004422 -0.0343 0.486393 35 -0.007602 -0.0589 0.47662 36 -0.014653 -0.1135 0.455005 37 0.035292 0.2734 0.392755 38 -0.027572 -0.2136 0.415803 39 0.000356 0.0028 0.498905 40 -0.031673 -0.2453 0.403517 41 -0.019355 -0.1499 0.440665 42 -0.045295 -0.3509 0.363463 43 0.082238 0.637 0.263271 44 -0.013932 -0.1079 0.45721 45 0.035992 0.2788 0.390681 46 -0.030658 -0.2375 0.40655 47 0.01929 0.1494 0.440862 48 -0.058773 -0.4553 0.325284 49 0.096237 0.7454 0.229456 50 -0.021062 -0.1631 0.435475 51 -0.017465 -0.1353 0.44642 52 -0.008782 -0.068 0.472995 53 0.064104 0.4966 0.31066 54 -0.009235 -0.0715 0.471606 55 0.056195 0.4353 0.332459 56 -0.070351 -0.5449 0.293909 57 -0.01342 -0.1039 0.458778 58 -0.064239 -0.4976 0.310296 59 0.019728 0.1528 0.43953 60 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229907120k5rqmqx0wa5dcsh/1xai91229907076.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229907120k5rqmqx0wa5dcsh/1xai91229907076.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229907120k5rqmqx0wa5dcsh/2brvt1229907076.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229907120k5rqmqx0wa5dcsh/2brvt1229907076.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')

Copyright

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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