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Paper, Partiële autocorrelatie

*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: Sat, 12 Dec 2009 08:59:27 -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/t12606337428jaauzltpbpd78h.htm/, Retrieved Sat, 12 Dec 2009 17:02:24 +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/t12606337428jaauzltpbpd78h.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:

Zit geen structuur, verband in de partiële correlatie noch in de autocorrelatie (er is wel een gegeven dat buiten betrouwbaarheid valt.

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

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

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	-0.174035	-1.0442	0.151675
2	0.091937	0.5516	0.292308
3	0.162115	0.9727	0.168599
4	0.029283	0.1757	0.430759
5	-0.096317	-0.5779	0.283463
6	0.103945	0.6237	0.268389
7	-0.084229	-0.5054	0.308188
8	0.080761	0.4846	0.31546
9	-0.096837	-0.581	0.282423
10	-0.15705	-0.9423	0.176159
11	0.273112	1.6387	0.054997
12	-0.44549	-2.6729	0.005614
13	-0.049824	-0.2989	0.38335
14	0.050582	0.3035	0.38163
15	0.021522	0.1291	0.448986
16	-0.042911	-0.2575	0.399142
17	0.144716	0.8683	0.195492

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.174035	-1.0442	0.151675
2	0.063574	0.3814	0.352558
3	0.194826	1.169	0.125051
4	0.089173	0.535	0.297957
5	-0.117798	-0.7068	0.242125
6	0.022812	0.1369	0.445946
7	-0.062987	-0.3779	0.353855
8	0.087557	0.5253	0.301284
9	-0.076205	-0.4572	0.325126
10	-0.217288	-1.3037	0.100301
11	0.256735	1.5404	0.066102
12	-0.394449	-2.3667	0.011724
13	-0.127223	-0.7633	0.225118
14	0.022763	0.1366	0.446063
15	0.193992	1.1639	0.12605
16	0.162979	0.9779	0.167331
17	-0.047845	-0.2871	0.387852

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606337428jaauzltpbpd78h/1lnl61260633566.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606337428jaauzltpbpd78h/1lnl61260633566.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606337428jaauzltpbpd78h/2ay9l1260633566.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t12606337428jaauzltpbpd78h/2ay9l1260633566.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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