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acf_werkloosheid

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 06 Dec 2009 03:36:21 -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/06/t126009593751w0vdnam98m0v4.htm/, Retrieved Sun, 06 Dec 2009 11:38:59 +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/06/t126009593751w0vdnam98m0v4.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 «

613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.887954	6.9918	0
2	0.726845	5.7232	0
3	0.624016	4.9135	3e-06
4	0.581268	4.5769	1.2e-05
5	0.57844	4.5546	1.3e-05
6	0.558631	4.3987	2.2e-05
7	0.497171	3.9147	0.000114
8	0.424714	3.3442	0.000702
9	0.398799	3.1401	0.001293
10	0.427552	3.3665	0.000656
11	0.474012	3.7324	0.000207
12	0.469086	3.6936	0.000235
13	0.320777	2.5258	0.007056
14	0.152875	1.2037	0.116634
15	0.041508	0.3268	0.372447
16	-0.016086	-0.1267	0.449809
17	-0.035936	-0.283	0.389074
18	-0.065266	-0.5139	0.304574
19	-0.120207	-0.9465	0.173782
20	-0.182669	-1.4383	0.077683
21	-0.202474	-1.5943	0.057979
22	-0.173868	-1.369	0.087963
23	-0.13703	-1.079	0.142389
24	-0.143649	-1.1311	0.131186
25	-0.249866	-1.9674	0.026805
26	-0.354165	-2.7887	0.003509
27	-0.404009	-3.1812	0.001146
28	-0.410495	-3.2322	0.000984
29	-0.397968	-3.1336	0.001319
30	-0.389172	-3.0643	0.001614
31	-0.392401	-3.0898	0.001499
32	-0.400897	-3.1567	0.001232
33	-0.36731	-2.8922	0.002635
34	-0.294798	-2.3212	0.011788
35	-0.239989	-1.8897	0.031739
36	-0.221924	-1.7474	0.042757

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.887954	6.9918	0
2	-0.291278	-2.2935	0.01261
3	0.254453	2.0036	0.024746
4	0.095863	0.7548	0.226606
5	0.150446	1.1846	0.120345
6	-0.081518	-0.6419	0.261661
7	-0.068723	-0.5411	0.29518
8	-0.002256	-0.0178	0.492943
9	0.168932	1.3302	0.094166
10	0.119511	0.941	0.17517
11	0.086304	0.6796	0.249658
12	-0.143921	-1.1332	0.13074
13	-0.586878	-4.6211	1e-05
14	0.062161	0.4895	0.313122
15	-0.213114	-1.6781	0.049185
16	-0.023219	-0.1828	0.427764
17	-0.021683	-0.1707	0.432494
18	0.02941	0.2316	0.408815
19	0.042479	0.3345	0.369573
20	-0.066021	-0.5198	0.302511
21	0.026165	0.206	0.418723
22	-0.009291	-0.0732	0.470957
23	0.07112	0.56	0.288748
24	-0.027086	-0.2133	0.415907
25	-0.047508	-0.3741	0.354811
26	0.080268	0.632	0.264845
27	-0.039409	-0.3103	0.378685
28	0.00303	0.0239	0.490522
29	-0.138108	-1.0875	0.140521
30	0.10238	0.8061	0.211621
31	-0.038838	-0.3058	0.380386
32	0.015098	0.1189	0.452876
33	0.071107	0.5599	0.288784
34	0.013456	0.106	0.457981
35	-0.064539	-0.5082	0.306566
36	0.044173	0.3478	0.364576

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/06/t126009593751w0vdnam98m0v4/14c481260095778.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t126009593751w0vdnam98m0v4/14c481260095778.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t126009593751w0vdnam98m0v4/24b9r1260095778.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t126009593751w0vdnam98m0v4/24b9r1260095778.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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