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Autocorrelatie Bruin brood

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 08 Dec 2009 00:20:15 -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/08/t12602568831ht68q89r5u6o8u.htm/, Retrieved Tue, 08 Dec 2009 08:21:25 +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/08/t12602568831ht68q89r5u6o8u.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:

KDGP2W22

Dataseries X:

» Textbox « » Textfile « » CSV «

1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,38 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,43 1,44 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,48 1,57 1,58 1,58 1,58 1,58 1,59 1,6 1,6 1,61 1,61 1,61 1,62 1,63 1,63 1,64 1,64 1,64 1,64 1,64 1,65 1,65 1,65 1,65 1,65 1,66 1,66 1,67 1,68 1,68 1,68 1,68 1,69 1,7 1,7 1,71 1,72 1,73 1,74 1,74 1,75 1,75 1,75 1,76 1,79 1,83 1,84 1,85 1,87 1,87 1,87 1,88 1,88 1,88 1,88 1,89 1,89 1,89 1,9 1,89

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	0.976241	11.2162	0
2	0.950271	10.9178	0
3	0.924689	10.6239	0
4	0.898389	10.3217	0
5	0.871582	10.0137	0
6	0.844983	9.7081	0
7	0.817696	9.3946	0
8	0.789752	9.0736	0
9	0.760971	8.7429	0
10	0.732787	8.4191	0
11	0.704005	8.0884	0
12	0.674506	7.7495	0
13	0.646232	7.4246	0
14	0.618405	7.1049	0
15	0.591176	6.7921	0
16	0.567652	6.5218	0
17	0.546817	6.2825	0
18	0.52667	6.051	0
19	0.506103	5.8147	0
20	0.484849	5.5705	0
21	0.463565	5.326	0
22	0.442071	5.079	1e-06
23	0.421415	4.8417	2e-06
24	0.404137	4.6432	4e-06
25	0.387398	4.4509	9e-06
26	0.371345	4.2664	1.9e-05
27	0.354815	4.0765	3.9e-05
28	0.338881	3.8935	7.8e-05
29	0.323725	3.7193	0.000147
30	0.308389	3.5431	0.000274
31	0.291678	3.3511	0.000525
32	0.27401	3.1481	0.001016
33	0.256791	2.9503	0.001879
34	0.240258	2.7604	0.003298
35	0.223337	2.5659	0.005703
36	0.206774	2.3757	0.009478
37	0.189524	2.1775	0.015612
38	0.171825	1.9741	0.025228
39	0.153678	1.7656	0.039886
40	0.135022	1.5513	0.061613
41	0.117263	1.3473	0.090104
42	0.099265	1.1405	0.128078
43	0.081178	0.9327	0.176349
44	0.064228	0.7379	0.230936
45	0.046053	0.5291	0.298811
46	0.028475	0.3271	0.372037
47	0.010538	0.1211	0.451909
48	-0.006921	-0.0795	0.468373

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.976241	11.2162	0
2	-0.059126	-0.6793	0.249065
3	-0.002876	-0.033	0.486845
4	-0.029486	-0.3388	0.367663
5	-0.023191	-0.2664	0.395154
6	-0.009238	-0.1061	0.457818
7	-0.02954	-0.3394	0.367427
8	-0.027353	-0.3143	0.37691
9	-0.03273	-0.376	0.353747
10	-0.00194	-0.0223	0.491126
11	-0.030033	-0.345	0.365304
12	-0.030267	-0.3477	0.364296
13	0.009664	0.111	0.455879
14	-0.010016	-0.1151	0.45428
15	-0.003096	-0.0356	0.48584
16	0.060978	0.7006	0.242396
17	0.035571	0.4087	0.341719
18	-0.00193	-0.0222	0.49117
19	-0.024541	-0.2819	0.389212
20	-0.031277	-0.3593	0.359957
21	-0.016686	-0.1917	0.424131
22	-0.021112	-0.2426	0.40436
23	-0.000344	-0.004	0.498426
24	0.051525	0.592	0.277439
25	-0.007059	-0.0811	0.46774
26	0.001636	0.0188	0.492518
27	-0.028874	-0.3317	0.370306
28	0.001565	0.018	0.492842
29	0.004963	0.057	0.477308
30	-0.016401	-0.1884	0.425413
31	-0.037674	-0.4328	0.332919
32	-0.028789	-0.3308	0.370676
33	0.00096	0.011	0.49561
34	-0.003636	-0.0418	0.48337
35	-0.027774	-0.3191	0.375078
36	-0.006676	-0.0767	0.469491
37	-0.030799	-0.3539	0.362006
38	-0.018012	-0.2069	0.418188
39	-0.013778	-0.1583	0.437234
40	-0.018447	-0.2119	0.416242
41	0.009405	0.1081	0.45706
42	-0.023893	-0.2745	0.392062
43	-0.018799	-0.216	0.414668
44	0.007922	0.091	0.46381
45	-0.044396	-0.5101	0.305425
46	-0.002649	-0.0304	0.487884
47	-0.029996	-0.3446	0.365461
48	-0.005034	-0.0578	0.476981

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602568831ht68q89r5u6o8u/1y76o1260256813.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602568831ht68q89r5u6o8u/1y76o1260256813.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602568831ht68q89r5u6o8u/2d8kh1260256813.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602568831ht68q89r5u6o8u/2d8kh1260256813.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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