Home » date » 2009 » Dec » 12 »

autocorrelatie zonder trend eigen grafiek (Steffi Poppe MAR202b)

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 12 Dec 2009 04:17:29 -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/12/t1260616805rfkjuyweq4ax7r5.htm/, Retrieved Sat, 12 Dec 2009 12:20:07 +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/12/t1260616805rfkjuyweq4ax7r5.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

1.2 1.21 1.21 1.21 1.21 1.21 1.21 1.2 1.21 1.22 1.22 1.23 1.22 1.23 1.23 1.23 1.23 1.23 1.22 1.22 1.23 1.24 1.24 1.25 1.25 1.25 1.26 1.26 1.26 1.26 1.27 1.27 1.29 1.31 1.32 1.32 1.33 1.33 1.32 1.32 1.31 1.3 1.31 1.29 1.3 1.3 1.32 1.31 1.35 1.35 1.36 1.37 1.37 1.37 1.32 1.32 1.31 1.31 1.34 1.31 1.27 1.28 1.27 1.26 1.27 1.27 1.28 1.27 1.26 1.3 1.31 1.28 1.29 1.31 1.29 1.29 1.32 1.3 1.29 1.31 1.29 1.33 1.35 1.32 1.33

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	-0.16777	-1.5376	0.063948
2	-0.155635	-1.4264	0.078727
3	0.280552	2.5713	0.005946
4	-0.136887	-1.2546	0.106554
5	-0.070861	-0.6495	0.258909
6	0.128598	1.1786	0.120939
7	-0.071092	-0.6516	0.258228
8	-0.091281	-0.8366	0.202596
9	0.022712	0.2082	0.417805
10	-0.185145	-1.6969	0.046711
11	0.002408	0.0221	0.491222
12	0.172132	1.5776	0.059206
13	-0.053555	-0.4908	0.312411
14	-0.065576	-0.601	0.274725
15	0.041342	0.3789	0.352855
16	-0.004094	-0.0375	0.485077
17	0.033692	0.3088	0.379123
18	0.104549	0.9582	0.170355
19	-0.092898	-0.8514	0.198476
20	0.023682	0.2171	0.414348
21	0.034724	0.3183	0.375542
22	-0.178712	-1.6379	0.05259
23	0.082057	0.7521	0.227057
24	0.102014	0.935	0.176241
25	-0.017041	-0.1562	0.43813
26	-0.062133	-0.5695	0.285282
27	-0.127643	-1.1699	0.122682
28	-0.016641	-0.1525	0.439573
29	-0.031998	-0.2933	0.385022
30	-0.079678	-0.7303	0.233632
31	0.071066	0.6513	0.258304
32	-0.086983	-0.7972	0.213787
33	0.059332	0.5438	0.294014
34	-0.021419	-0.1963	0.422423
35	-0.020787	-0.1905	0.424684
36	0.052313	0.4795	0.316429
37	0.079344	0.7272	0.234562
38	-0.062371	-0.5716	0.284545
39	-0.036836	-0.3376	0.368251
40	0.068587	0.6286	0.265655
41	-0.110283	-1.0108	0.157517
42	0.038621	0.354	0.362126
43	0.018433	0.1689	0.433126
44	-0.025164	-0.2306	0.409081
45	-0.006702	-0.0614	0.475582
46	-0.024648	-0.2259	0.410914
47	0.041378	0.3792	0.352735
48	0.015266	0.1399	0.444531

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.16777	-1.5376	0.063948
2	-0.189104	-1.7332	0.043368
3	0.232396	2.1299	0.018051
4	-0.086266	-0.7906	0.21569
5	-0.02989	-0.2739	0.392398
6	0.02193	0.201	0.420595
7	-0.012727	-0.1166	0.45371
8	-0.07951	-0.7287	0.234099
9	-0.062167	-0.5698	0.285178
10	-0.2094	-1.9192	0.029178
11	-0.027019	-0.2476	0.402511
12	0.122423	1.122	0.132524
13	0.074246	0.6805	0.249038
14	-0.064949	-0.5953	0.276633
15	-0.072272	-0.6624	0.254768
16	0.010577	0.0969	0.461503
17	0.07518	0.689	0.24635
18	0.083934	0.7693	0.221945
19	-0.104915	-0.9616	0.169514
20	-0.013298	-0.1219	0.451642
21	0.014466	0.1326	0.447422
22	-0.080442	-0.7373	0.231509
23	0.019765	0.1812	0.428343
24	0.026916	0.2467	0.402875
25	0.116993	1.0723	0.143337
26	-0.039324	-0.3604	0.359724
27	-0.197135	-1.8068	0.037189
28	-0.095341	-0.8738	0.192356
29	-0.102178	-0.9365	0.175855
30	-0.092887	-0.8513	0.198504
31	0.046889	0.4297	0.334242
32	-0.127732	-1.1707	0.122518
33	0.135108	1.2383	0.109531
34	-0.025158	-0.2306	0.409102
35	0.007821	0.0717	0.471514
36	-0.134974	-1.2371	0.109757
37	0.011771	0.1079	0.457175
38	-0.039091	-0.3583	0.360518
39	-0.003202	-0.0293	0.488328
40	-0.018853	-0.1728	0.431617
41	-0.147246	-1.3495	0.090397
42	0.016259	0.149	0.44095
43	0.011585	0.1062	0.457847
44	0.070451	0.6457	0.260119
45	-0.02052	-0.1881	0.42564
46	-0.056996	-0.5224	0.301392
47	0.090299	0.8276	0.205121
48	-0.012473	-0.1143	0.454628

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260616805rfkjuyweq4ax7r5/11pi91260616648.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260616805rfkjuyweq4ax7r5/11pi91260616648.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260616805rfkjuyweq4ax7r5/28w841260616648.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260616805rfkjuyweq4ax7r5/28w841260616648.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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