Autocorrelatie BEL-20 d=0,D=0

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 22 Dec 2008 02:13:46 -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/t1229937361irum2gp7y0izeg6.htm/, Retrieved Mon, 22 Dec 2008 10:16:03 +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/t1229937361irum2gp7y0izeg6.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 «

2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45

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 0.915126 7.0885 0 2 0.828072 6.4142 0 3 0.775195 6.0046 0 4 0.711849 5.514 0 5 0.639654 4.9547 3e-06 6 0.573464 4.442 1.9e-05 7 0.51783 4.0111 8.5e-05 8 0.461518 3.5749 0.00035 9 0.389535 3.0173 0.001869 10 0.31853 2.4673 0.008242 11 0.254159 1.9687 0.026806 12 0.190903 1.4787 0.072222 13 0.127596 0.9884 0.163473 14 0.083122 0.6439 0.261059 15 0.025617 0.1984 0.421691 16 -0.037916 -0.2937 0.385003 17 -0.086808 -0.6724 0.251951 18 -0.131328 -1.0173 0.156557 19 -0.162026 -1.2551 0.107163 20 -0.196008 -1.5183 0.067099 21 -0.234715 -1.8181 0.037021 22 -0.260058 -2.0144 0.024228 23 -0.280793 -2.175 0.016791 24 -0.299885 -2.3229 0.011797 25 -0.312512 -2.4207 0.009267 26 -0.322828 -2.5006 0.007573 27 -0.33304 -2.5797 0.006178 28 -0.34151 -2.6453 0.005202 29 -0.359652 -2.7858 0.003568 30 -0.385332 -2.9848 0.002051 31 -0.407014 -3.1527 0.001263 32 -0.414959 -3.2143 0.001053 33 -0.411585 -3.1881 0.001138 34 -0.402052 -3.1143 0.001413 35 -0.386412 -2.9931 0.002003 36 -0.368772 -2.8565 0.002939 37 -0.351141 -2.7199 0.004264 38 -0.328609 -2.5454 0.006752 39 -0.300146 -2.3249 0.011739 40 -0.276143 -2.139 0.018258 41 -0.243102 -1.8831 0.032271 42 -0.206444 -1.5991 0.057525 43 -0.172485 -1.3361 0.093288 44 -0.133269 -1.0323 0.153038 45 -0.10527 -0.8154 0.209028 46 -0.068806 -0.533 0.298013 47 -0.025262 -0.1957 0.422762 48 0.007362 0.057 0.477357 49 0.042237 0.3272 0.372339 50 0.067767 0.5249 0.300786 51 0.084787 0.6568 0.256924 52 0.093586 0.7249 0.235662 53 0.108838 0.8431 0.201273 54 0.123825 0.9591 0.170667 55 0.128432 0.9948 0.161908 56 0.117313 0.9087 0.183572 57 0.106263 0.8231 0.206853 58 0.09752 0.7554 0.226486 59 0.055782 0.4321 0.333615 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.915126 7.0885 0 2 -0.057728 -0.4472 0.328186 3 0.163496 1.2664 0.105126 4 -0.105211 -0.815 0.209158 5 -0.048481 -0.3755 0.354293 6 -0.029967 -0.2321 0.408615 7 0.015485 0.1199 0.452463 8 -0.032648 -0.2529 0.400608 9 -0.119151 -0.9229 0.179868 10 -0.0465 -0.3602 0.359986 11 -0.047282 -0.3662 0.357735 12 -0.031332 -0.2427 0.404533 13 -0.039622 -0.3069 0.379987 14 0.065656 0.5086 0.30646 15 -0.147862 -1.1453 0.128309 16 -0.045955 -0.356 0.361558 17 -0.006611 -0.0512 0.479665 18 -0.03069 -0.2377 0.406452 19 0.072188 0.5592 0.289066 20 -0.074561 -0.5775 0.282866 21 -0.054658 -0.4234 0.336767 22 -0.00888 -0.0688 0.472695 23 -0.009889 -0.0766 0.469599 24 0.004959 0.0384 0.484744 25 -0.001026 -0.0079 0.496844 26 -0.039658 -0.3072 0.379881 27 -0.038667 -0.2995 0.382791 28 -0.041562 -0.3219 0.374309 29 -0.098615 -0.7639 0.223969 30 -0.079302 -0.6143 0.27068 31 -0.073459 -0.569 0.285737 32 0.032142 0.249 0.402116 33 0.005769 0.0447 0.482253 34 0.019986 0.1548 0.438745 35 0.040052 0.3102 0.378725 36 -0.027791 -0.2153 0.415144 37 -0.000791 -0.0061 0.497567 38 0.020513 0.1589 0.437144 39 0.018618 0.1442 0.442908 40 -0.035066 -0.2716 0.393425 41 0.055667 0.4312 0.333936 42 -0.026488 -0.2052 0.419066 43 0.008425 0.0653 0.474092 44 0.045257 0.3506 0.363574 45 -0.075314 -0.5834 0.280913 46 0.072019 0.5579 0.289509 47 -0.007711 -0.0597 0.476285 48 -0.021307 -0.165 0.434731 49 0.031026 0.2403 0.40545 50 -0.071527 -0.554 0.290802 51 -0.026067 -0.2019 0.420335 52 -0.082191 -0.6367 0.263387 53 0.043249 0.335 0.369395 54 -0.00775 -0.06 0.476166 55 -0.036274 -0.281 0.389848 56 -0.107039 -0.8291 0.205161 57 0.003252 0.0252 0.489993 58 -0.046749 -0.3621 0.359268 59 -0.186111 -1.4416 0.077306 60 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937361irum2gp7y0izeg6/1hfee1229937225.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937361irum2gp7y0izeg6/1hfee1229937225.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937361irum2gp7y0izeg6/23glg1229937225.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937361irum2gp7y0izeg6/23glg1229937225.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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