Autocorrelatie d=1,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 02:17:22 -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/t1229937739kad0auu9wig542e.htm/, Retrieved Mon, 22 Dec 2008 10:22:19 +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/t1229937739kad0auu9wig542e.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 3 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.286694 2.2021 0.015788 2 0.06316 0.4851 0.314687 3 0.229069 1.7595 0.041837 4 0.188414 1.4472 0.076562 5 0.221849 1.7041 0.046817 6 0.082128 0.6308 0.26529 7 0.054037 0.4151 0.3398 8 0.166745 1.2808 0.102639 9 0.122207 0.9387 0.175859 10 0.058436 0.4489 0.327591 11 0.259127 1.9904 0.025594 12 0.043147 0.3314 0.37075 13 -0.027309 -0.2098 0.417289 14 0.188884 1.4508 0.076059 15 0.051164 0.393 0.34787 16 0.037414 0.2874 0.387414 17 -0.067782 -0.5206 0.302281 18 -0.155465 -1.1942 0.118599 19 0.020978 0.1611 0.43627 20 -0.033853 -0.26 0.397874 21 -0.104251 -0.8008 0.21324 22 -0.112353 -0.863 0.195815 23 -0.100273 -0.7702 0.222124 24 -0.094523 -0.726 0.23534 25 0.030407 0.2336 0.408068 26 -0.03385 -0.26 0.397882 27 -0.04351 -0.3342 0.369704 28 0.027571 0.2118 0.416505 29 -0.036199 -0.2781 0.390972 30 -0.046661 -0.3584 0.360657 31 -0.076387 -0.5867 0.279809 32 -0.070781 -0.5437 0.294355 33 -0.116728 -0.8966 0.186786 34 -0.107203 -0.8234 0.206786 35 -0.129985 -0.9984 0.161072 36 -0.041307 -0.3173 0.376074 37 -0.037139 -0.2853 0.388218 38 -0.080303 -0.6168 0.269863 39 -0.039128 -0.3006 0.382407 40 -0.075489 -0.5798 0.282114 41 -0.044453 -0.3414 0.36699 42 -0.035516 -0.2728 0.392979 43 -0.089236 -0.6854 0.247876 44 -0.062326 -0.4787 0.316947 45 -0.106353 -0.8169 0.208633 46 -0.109144 -0.8384 0.202609 47 -0.08409 -0.6459 0.260421 48 -0.090512 -0.6952 0.244819 49 -0.097086 -0.7457 0.229395 50 -0.02465 -0.1893 0.425239 51 -0.006015 -0.0462 0.481653 52 -0.029395 -0.2258 0.411072 53 -0.031441 -0.2415 0.405001 54 -0.060112 -0.4617 0.322987 55 0.00261 0.0201 0.492035 56 -0.043013 -0.3304 0.371138 57 -0.074704 -0.5738 0.284137 58 -0.015512 -0.1191 0.452782 59 NA NA NA 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.286694 2.2021 0.015788 2 -0.020738 -0.1593 0.436991 3 0.236024 1.8129 0.037465 4 0.067255 0.5166 0.303685 5 0.179785 1.381 0.086251 6 -0.072017 -0.5532 0.291117 7 0.020932 0.1608 0.436409 8 0.071113 0.5462 0.293485 9 0.027338 0.21 0.417201 10 -0.009356 -0.0719 0.471475 11 0.24864 1.9098 0.03051 12 -0.170737 -1.3115 0.097392 13 -0.018123 -0.1392 0.444882 14 0.113429 0.8713 0.193571 15 -0.074244 -0.5703 0.285326 16 -0.008498 -0.0653 0.474087 17 -0.13139 -1.0092 0.158494 18 -0.142804 -1.0969 0.138571 19 -0.003341 -0.0257 0.489807 20 -0.046135 -0.3544 0.362162 21 0.00324 0.0249 0.490116 22 -0.147596 -1.1337 0.130751 23 0.018846 0.1448 0.442697 24 -0.052434 -0.4028 0.344291 25 0.079633 0.6117 0.271552 26 0.049184 0.3778 0.353472 27 0.073156 0.5619 0.288148 28 0.056954 0.4375 0.331682 29 0.059974 0.4607 0.323365 30 -0.103001 -0.7912 0.216008 31 0.013629 0.1047 0.458489 32 0.010625 0.0816 0.467616 33 -0.10232 -0.7859 0.217525 34 -0.031992 -0.2457 0.40337 35 -0.123466 -0.9484 0.173406 36 0.029862 0.2294 0.409687 37 -0.026931 -0.2069 0.418417 38 0.020128 0.1546 0.438829 39 -0.071491 -0.5491 0.292493 40 -0.089103 -0.6844 0.248198 41 0.020452 0.1571 0.437852 42 -0.017782 -0.1366 0.445912 43 -0.032994 -0.2534 0.400408 44 0.066034 0.5072 0.306946 45 -0.086826 -0.6669 0.25371 46 0.011125 0.0855 0.466095 47 -0.018271 -0.1403 0.444433 48 -0.02444 -0.1877 0.425869 49 0.040321 0.3097 0.378935 50 0.070001 0.5377 0.296408 51 0.031948 0.2454 0.403499 52 -0.015841 -0.1217 0.451783 53 -0.060713 -0.4663 0.321342 54 0.025188 0.1935 0.423628 55 -0.049049 -0.3767 0.353856 56 -0.029623 -0.2275 0.410394 57 -0.086459 -0.6641 0.254605 58 -0.004647 -0.0357 0.485824 59 NA NA NA 60 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937739kad0auu9wig542e/19w1u1229937436.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937739kad0auu9wig542e/19w1u1229937436.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937739kad0auu9wig542e/2mjau1229937436.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229937739kad0auu9wig542e/2mjau1229937436.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

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