VAC (Partiële) autocorrelatie functie voor het prijsindexcijfer

*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: Tue, 23 Dec 2008 08:59:09 -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/23/t1230047983a9xvealmtgzt9dr.htm/, Retrieved Tue, 23 Dec 2008 16:59:43 +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/23/t1230047983a9xvealmtgzt9dr.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 «

124.1 124.4 115.7 108.3 102.3 104.6 104 103.5 96 96.6 95.4 92.1 93 90.4 93.3 97.1 111 114.1 113.3 111 107.2 118.3 134.1 139 116.7 112.5 122.8 130 125.6 123.8 135.8 136.4 135.3 149.5 159.6 161.4 175.2 199.5 245 257.8

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 2 seconds R Server 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.333534 1.9732 0.028205 2 -0.08502 -0.503 0.309062 3 -0.278888 -1.6499 0.053953 4 -0.127885 -0.7566 0.227183 5 0.303981 1.7984 0.040374 6 0.249034 1.4733 0.074803 7 0.023085 0.1366 0.446076 8 -0.201684 -1.1932 0.120412 9 -0.123 -0.7277 0.235825 10 0.132295 0.7827 0.219542 11 0.104005 0.6153 0.271168 12 -0.134185 -0.7938 0.216317 13 -0.287815 -1.7027 0.048742 14 -0.185825 -1.0994 0.139559 15 0.057847 0.3422 0.367114 16 0.179735 1.0633 0.147457 17 0.024975 0.1478 0.441692 18 -0.241096 -1.4263 0.081314 19 -0.187184 -1.1074 0.137838 20 -0.075248 -0.4452 0.329469 21 0.088708 0.5248 0.301513 22 0.104146 0.6161 0.270896 23 0.029445 0.1742 0.431356 24 -0.001533 -0.0091 0.496408 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.333534 1.9732 0.028205 2 -0.220831 -1.3065 0.099959 3 -0.201812 -1.1939 0.120267 4 0.035474 0.2099 0.417495 5 0.350497 2.0736 0.022771 6 -0.054579 -0.3229 0.374347 7 -0.07262 -0.4296 0.33505 8 -0.050344 -0.2978 0.383794 9 0.111464 0.6594 0.256969 10 0.06052 0.358 0.361232 11 -0.152035 -0.8994 0.18728 12 -0.232758 -1.377 0.088626 13 -0.046393 -0.2745 0.39267 14 0.029778 0.1762 0.430589 15 -0.040899 -0.242 0.405112 16 -0.022485 -0.133 0.44747 17 -0.012056 -0.0713 0.471772 18 -0.089581 -0.53 0.29974 19 0.072333 0.4279 0.335664 20 -0.118733 -0.7024 0.243528 21 -0.051231 -0.3031 0.381808 22 0.050962 0.3015 0.382411 23 0.159274 0.9423 0.176255 24 -0.000811 -0.0048 0.4981

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230047983a9xvealmtgzt9dr/1qdsl1230047945.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230047983a9xvealmtgzt9dr/1qdsl1230047945.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230047983a9xvealmtgzt9dr/22xnz1230047945.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230047983a9xvealmtgzt9dr/22xnz1230047945.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = 1.1 ; par3 = 1 ; par4 = 1 ; par5 = 4 ; par6 = 1 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 24 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 4 ; par6 = 1 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

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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