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WS 9: Correlatie D=1

*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: Fri, 04 Dec 2009 07:08:03 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935730sgvs1fumqvvr9bh.htm/, Retrieved Fri, 04 Dec 2009 15:08:53 +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/2009/Dec/04/t1259935730sgvs1fumqvvr9bh.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

79.8 83.4 113.6 112.9 104 109.9 99 106.3 128.9 111.1 102.9 130 87 87.5 117.6 103.4 110.8 112.6 102.5 112.4 135.6 105.1 127.7 137 91 90.5 122.4 123.3 124.3 120 118.1 119 142.7 123.6 129.6 151.6 110.4 99.2 130.5 136.2 129.7 128 121.6 135.8 143.8 147.5 136.2 156.6 123.3 104.5 139.8 136.5 112.1 118.5 94.4 102.3 111.4 99.2 87.8 115.8

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.734832	5.0911	3e-06
2	0.657096	4.5525	1.8e-05
3	0.535022	3.7067	0.000272
4	0.379564	2.6297	0.005725
5	0.297389	2.0604	0.022403
6	0.188056	1.3029	0.099414
7	0.054822	0.3798	0.352877
8	0.030177	0.2091	0.417637
9	-0.045495	-0.3152	0.376988
10	-0.018268	-0.1266	0.449907
11	-0.053161	-0.3683	0.35713
12	-0.078105	-0.5411	0.295462
13	-0.063014	-0.4366	0.33219
14	-0.077092	-0.5341	0.297865
15	-0.042264	-0.2928	0.385464
16	-0.078956	-0.547	0.293449
17	-0.052059	-0.3607	0.359963
18	-0.095582	-0.6622	0.2555
19	-0.127988	-0.8867	0.189824
20	-0.137458	-0.9523	0.172849
21	-0.132158	-0.9156	0.182223
22	-0.185652	-1.2862	0.102265
23	-0.117128	-0.8115	0.210546
24	-0.167214	-1.1585	0.126198
25	-0.149716	-1.0373	0.152405
26	-0.14921	-1.0338	0.153214
27	-0.15102	-1.0463	0.150331
28	-0.162729	-1.1274	0.132584
29	-0.156536	-1.0845	0.141777
30	-0.183668	-1.2725	0.104664
31	-0.131674	-0.9123	0.183095
32	-0.134222	-0.9299	0.178534
33	-0.088125	-0.6105	0.27219
34	-0.084442	-0.585	0.280633
35	-0.12093	-0.8378	0.203139
36	-0.103003	-0.7136	0.239458

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.734832	5.0911	3e-06
2	0.254593	1.7639	0.042059
3	-0.027858	-0.193	0.423886
4	-0.172462	-1.1949	0.119008
5	0.00359	0.0249	0.490131
6	-0.046517	-0.3223	0.374321
7	-0.159573	-1.1056	0.137215
8	0.081246	0.5629	0.288066
9	-0.021193	-0.1468	0.441941
10	0.132552	0.9183	0.181515
11	-0.081656	-0.5657	0.287106
12	-0.059393	-0.4115	0.341274
13	0.021323	0.1477	0.441588
14	-0.02172	-0.1505	0.440507
15	0.070933	0.4914	0.312678
16	-0.151778	-1.0515	0.149137
17	0.111189	0.7703	0.222436
18	-0.148044	-1.0257	0.155091
19	-0.0575	-0.3984	0.346062
20	-0.03069	-0.2126	0.416259
21	0.069143	0.479	0.317045
22	-0.096766	-0.6704	0.252904
23	0.106516	0.738	0.232064
24	-0.076217	-0.528	0.299951
25	-0.06647	-0.4605	0.323612
26	-0.018907	-0.131	0.448164
27	-0.034636	-0.24	0.40569
28	-0.055622	-0.3854	0.350838
29	-0.021435	-0.1485	0.441283
30	-0.028729	-0.199	0.421535
31	0.068611	0.4754	0.318345
32	-0.020945	-0.1451	0.442615
33	0.051011	0.3534	0.362664
34	-0.100245	-0.6945	0.245353
35	-0.116622	-0.808	0.211544
36	-0.009054	-0.0627	0.475121

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935730sgvs1fumqvvr9bh/10wrn1259935682.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935730sgvs1fumqvvr9bh/10wrn1259935682.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935730sgvs1fumqvvr9bh/2p77f1259935682.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935730sgvs1fumqvvr9bh/2p77f1259935682.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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