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correlatie d=1,D=0

*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: Wed, 09 Dec 2009 06:56:17 -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/09/t126036707960po91dorpb0q87.htm/, Retrieved Wed, 09 Dec 2009 14:58:01 +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/09/t126036707960po91dorpb0q87.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:

sdws paper

Dataseries X:

» Textbox « » Textfile « » CSV «

518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141 528222 532638 536322 536535 523597 536214 586570 596594 580523 564478

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	0.260482	2.3874	0.009607
2	-0.229611	-2.1044	0.019166
3	-0.302246	-2.7701	0.003448
4	-0.233045	-2.1359	0.0178
5	0.080542	0.7382	0.231231
6	0.215448	1.9746	0.025799
7	0.082242	0.7538	0.22655
8	-0.233003	-2.1355	0.017816
9	-0.289564	-2.6539	0.004757
10	-0.204628	-1.8754	0.032103
11	0.248351	2.2762	0.01269
12	0.776255	7.1145	0
13	0.176134	1.6143	0.055107
14	-0.206424	-1.8919	0.030975
15	-0.277393	-2.5423	0.006423
16	-0.216839	-1.9874	0.02507
17	0.043412	0.3979	0.345864
18	0.137812	1.2631	0.10503
19	0.05438	0.4984	0.309752
20	-0.228703	-2.0961	0.019541
21	-0.25227	-2.3121	0.01161
22	-0.143031	-1.3109	0.096732
23	0.215545	1.9755	0.025747
24	0.607037	5.5636	0
25	0.098917	0.9066	0.18361
26	-0.221099	-2.0264	0.022948
27	-0.27789	-2.5469	0.006346
28	-0.172302	-1.5792	0.059027
29	0.033336	0.3055	0.380358
30	0.112472	1.0308	0.152792
31	0.029545	0.2708	0.393611
32	-0.222693	-2.041	0.022194
33	-0.193969	-1.7778	0.039532
34	-0.082503	-0.7562	0.225836
35	0.172912	1.5848	0.058389
36	0.475385	4.357	1.9e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.260482	2.3874	0.009607
2	-0.319114	-2.9247	0.002216
3	-0.16749	-1.5351	0.064262
4	-0.198805	-1.8221	0.036001
5	0.092379	0.8467	0.199792
6	0.029652	0.2718	0.393233
7	-0.030695	-0.2813	0.389575
8	-0.253587	-2.3242	0.011266
9	-0.126996	-1.1639	0.123873
10	-0.236235	-2.1651	0.016607
11	0.236572	2.1682	0.016485
12	0.649297	5.9509	0
13	-0.185687	-1.7019	0.046241
14	0.106146	0.9728	0.166712
15	-0.003311	-0.0303	0.487931
16	-0.017365	-0.1592	0.436964
17	-0.110289	-1.0108	0.157503
18	-0.168178	-1.5414	0.063492
19	-0.019513	-0.1788	0.429246
20	-0.089589	-0.8211	0.206957
21	0.00797	0.0731	0.47097
22	0.025479	0.2335	0.407963
23	-0.069744	-0.6392	0.26221
24	0.05623	0.5154	0.303827
25	-0.097174	-0.8906	0.187841
26	-0.104797	-0.9605	0.169784
27	-0.1064	-0.9752	0.166137
28	0.002765	0.0253	0.48992
29	-0.059302	-0.5435	0.294109
30	0.017425	0.1597	0.436749
31	-0.060622	-0.5556	0.289976
32	0.00846	0.0775	0.469191
33	0.020874	0.1913	0.42437
34	-0.032515	-0.298	0.383217
35	-0.125644	-1.1515	0.126387
36	-0.036525	-0.3348	0.36932

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t126036707960po91dorpb0q87/1otw91260366975.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t126036707960po91dorpb0q87/1otw91260366975.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t126036707960po91dorpb0q87/2hfgl1260366975.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t126036707960po91dorpb0q87/2hfgl1260366975.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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