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ACF Uitvoer Zonder LT-trend

*The author of this computation has been verified*

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 09:35:25 -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/t1229963805p5vjl0exn16dsde.htm/, Retrieved Mon, 22 Dec 2008 17:36:47 +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/t1229963805p5vjl0exn16dsde.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 «

15916.4 16535.9 15796 14418.6 15044.5 14944.2 16754.8 14254 15454.9 15644.8 14568.3 12520.2 14803 15873.2 14755.3 12875.1 14291.1 14205.3 15859.4 15258.9 15498.6 15106.5 15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22238.5 20682.2 17818.6 21872.1 22117 21865.9 23451.3 20953.7 22497.3

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	-0.357213	-3.4448	0.000429
2	-0.289499	-2.7918	0.003181
3	0.082559	0.7962	0.213981
4	0.139349	1.3438	0.091136
5	-0.173215	-1.6704	0.049099
6	0.245666	2.3691	0.009949
7	-0.225741	-2.177	0.016007
8	0.194843	1.879	0.031688
9	0.020441	0.1971	0.422078
10	-0.28062	-2.7062	0.004048
11	-0.160836	-1.551	0.062144
12	0.667971	6.4417	0
13	-0.229212	-2.2104	0.014764
14	-0.200428	-1.9329	0.028148
15	0.008899	0.0858	0.465899
16	0.087869	0.8474	0.199479
17	-0.058781	-0.5669	0.286086
18	0.137937	1.3302	0.09335
19	-0.171932	-1.6581	0.050338
20	0.188706	1.8198	0.036002
21	-0.007652	-0.0738	0.470667
22	-0.289296	-2.7899	0.003198
23	0.024704	0.2382	0.406112
24	0.384215	3.7052	0.000179
25	-0.128534	-1.2395	0.109132
26	-0.109446	-1.0555	0.146976
27	-0.065289	-0.6296	0.265244
28	0.093153	0.8983	0.185662
29	-0.009207	-0.0888	0.464719
30	0.04293	0.414	0.339913
31	-0.096768	-0.9332	0.176568
32	0.161836	1.5607	0.060996
33	-0.037559	-0.3622	0.359009
34	-0.211242	-2.0371	0.022239
35	-0.000471	-0.0045	0.498193
36	0.314488	3.0328	0.00157
37	-0.077869	-0.7509	0.227293
38	-0.112728	-1.0871	0.139899
39	-0.08928	-0.861	0.195731
40	0.145289	1.4011	0.082254
41	-0.039439	-0.3803	0.352283
42	0.021596	0.2083	0.41774
43	-0.081321	-0.7842	0.217448
44	0.171875	1.6575	0.050394
45	-0.087101	-0.84	0.201538
46	-0.093743	-0.904	0.18416
47	-0.05876	-0.5667	0.286156
48	0.249695	2.408	0.009007
49	-0.02553	-0.2462	0.403035
50	-0.104972	-1.0123	0.157007
51	-0.094136	-0.9078	0.183162
52	0.162398	1.5661	0.06036
53	-0.077459	-0.747	0.228477
54	0.053694	0.5178	0.302912
55	-0.085479	-0.8243	0.205931
56	0.113658	1.0961	0.137937
57	-0.027209	-0.2624	0.396801
58	-0.081098	-0.7821	0.218076
59	-0.074308	-0.7166	0.237708
60	0.229755	2.2157	0.014577

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.357213	-3.4448	0.000429
2	-0.478107	-4.6107	6e-06
3	-0.358232	-3.4547	0.000416
4	-0.211475	-2.0394	0.022124
5	-0.39355	-3.7953	0.000131
6	0.032406	0.3125	0.377675
7	-0.280869	-2.7086	0.004021
8	0.241186	2.3259	0.011098
9	0.364033	3.5106	0.000346
10	0.051704	0.4986	0.309615
11	-0.452933	-4.3679	1.6e-05
12	0.059185	0.5708	0.284768
13	0.130145	1.2551	0.106299
14	0.216456	2.0874	0.019792
15	0.144296	1.3915	0.08369
16	0.018617	0.1795	0.428952
17	0.021357	0.206	0.418638
18	-0.106882	-1.0307	0.152671
19	-0.084497	-0.8149	0.208618
20	-0.07145	-0.689	0.246257
21	0.014723	0.142	0.443702
22	-0.088145	-0.85	0.198742
23	0.127816	1.2326	0.110413
24	-0.004729	-0.0456	0.481861
25	0.030505	0.2942	0.384639
26	0.054024	0.521	0.301807
27	-0.036541	-0.3524	0.362672
28	0.160595	1.5487	0.062423
29	0.017479	0.1686	0.433253
30	0.085018	0.8199	0.207188
31	-0.047416	-0.4573	0.324274
32	-0.078958	-0.7614	0.22416
33	-0.057308	-0.5527	0.290912
34	0.002767	0.0267	0.489385
35	-0.135513	-1.3068	0.097245
36	0.006991	0.0674	0.473195
37	0.044631	0.4304	0.333949
38	0.013526	0.1304	0.44825
39	-0.069597	-0.6712	0.251889
40	-0.020495	-0.1976	0.421877
41	-0.038615	-0.3724	0.355224
42	0.026392	0.2545	0.399828
43	-0.029967	-0.289	0.386617
44	0.032517	0.3136	0.377271
45	-0.026026	-0.251	0.401189
46	0.065847	0.635	0.263493
47	0.111699	1.0772	0.142093
48	0.024348	0.2348	0.40744
49	0.018648	0.1798	0.428835
50	-0.028792	-0.2777	0.390945
51	0.00725	0.0699	0.472205
52	-0.000803	-0.0077	0.496921
53	-0.074583	-0.7192	0.236895
54	0.01468	0.1416	0.443863
55	-0.001636	-0.0158	0.493722
56	-0.086241	-0.8317	0.20386
57	0.002463	0.0237	0.490552
58	-0.076402	-0.7368	0.23155
59	-0.033089	-0.3191	0.375184
60	0.050829	0.4902	0.312582

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963805p5vjl0exn16dsde/1f8931229963723.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963805p5vjl0exn16dsde/1f8931229963723.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963805p5vjl0exn16dsde/2l2521229963723.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229963805p5vjl0exn16dsde/2l2521229963723.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')

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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