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Differentiatie 2

*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: Thu, 17 Dec 2009 04:33:23 -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/17/t1261049764u1v4q6atqmmliz4.htm/, Retrieved Thu, 17 Dec 2009 12:36:07 +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/17/t1261049764u1v4q6atqmmliz4.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 «

9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3 8.2

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	0.211932	1.4529	0.076443
2	-0.221706	-1.5199	0.067612
3	-0.429078	-2.9416	0.002528
4	-0.421937	-2.8927	0.002886
5	-0.044247	-0.3033	0.381484
6	0.179539	1.2309	0.11225
7	0.356951	2.4471	0.009096
8	0.245156	1.6807	0.049728
9	-0.111606	-0.7651	0.22401
10	-0.116616	-0.7995	0.214017
11	-0.112203	-0.7692	0.222804
12	-0.235555	-1.6149	0.056515
13	-0.03012	-0.2065	0.41865
14	0.179977	1.2339	0.111694
15	0.196294	1.3457	0.092424
16	0.009308	0.0638	0.474696
17	-0.070199	-0.4813	0.316281
18	-0.049171	-0.3371	0.368772
19	-0.121288	-0.8315	0.204946
20	0.016396	0.1124	0.455491
21	0.200504	1.3746	0.08789
22	0.044367	0.3042	0.381172
23	-0.069759	-0.4782	0.317346
24	-0.186713	-1.28	0.103406
25	-0.03043	-0.2086	0.417824
26	0.114148	0.7826	0.218906
27	0.097779	0.6703	0.252961
28	0.048974	0.3357	0.369278
29	-0.03713	-0.2546	0.40009
30	-0.190935	-1.309	0.098451
31	-0.007026	-0.0482	0.480893
32	0.025113	0.1722	0.432024
33	0.062409	0.4279	0.335355
34	0.055713	0.3819	0.352111
35	-0.006931	-0.0475	0.481151
36	0.035226	0.2415	0.405109
37	-0.076916	-0.5273	0.300229
38	-0.005	-0.0343	0.4864
39	-0.02608	-0.1788	0.429433
40	0.02064	0.1415	0.444039
41	0.048861	0.335	0.369569
42	0.013893	0.0952	0.462263
43	0.01161	0.0796	0.468448
44	-0.04652	-0.3189	0.375598
45	-0.027773	-0.1904	0.424907
46	0.00015	0.001	0.499592
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.211932	1.4529	0.076443
2	-0.27916	-1.9138	0.030872
3	-0.351796	-2.4118	0.009916
4	-0.406841	-2.7892	0.003804
5	-0.184507	-1.2649	0.106069
6	-0.232454	-1.5936	0.058862
7	-0.022788	-0.1562	0.438262
8	-0.008658	-0.0594	0.476459
9	-0.139209	-0.9544	0.17239
10	0.140109	0.9605	0.170851
11	0.1656	1.1353	0.131004
12	-0.18025	-1.2357	0.111349
13	-0.041301	-0.2831	0.389154
14	0.109577	0.7512	0.228133
15	-0.021273	-0.1458	0.442336
16	-0.205169	-1.4066	0.083067
17	-0.032951	-0.2259	0.411129
18	-0.006227	-0.0427	0.483064
19	-0.123458	-0.8464	0.200814
20	0.089922	0.6165	0.270279
21	0.218116	1.4953	0.070757
22	-0.02359	-0.1617	0.436107
23	0.112911	0.7741	0.22138
24	-0.040116	-0.275	0.392254
25	-0.035662	-0.2445	0.40396
26	0.097079	0.6655	0.254478
27	0.080586	0.5525	0.291623
28	-0.244931	-1.6792	0.049879
29	-0.042187	-0.2892	0.386843
30	-0.038371	-0.2631	0.396828
31	-0.005156	-0.0353	0.485977
32	-0.144037	-0.9875	0.164234
33	0.07014	0.4809	0.316424
34	-0.028237	-0.1936	0.423669
35	-0.02858	-0.1959	0.422754
36	0.064344	0.4411	0.330575
37	-0.069055	-0.4734	0.319054
38	0.091408	0.6267	0.266957
39	0.017153	0.1176	0.453446
40	0.025025	0.1716	0.43226
41	-0.04864	-0.3335	0.370136
42	0.010876	0.0746	0.470441
43	0.037864	0.2596	0.398161
44	-0.074923	-0.5136	0.304952
45	0.088638	0.6077	0.273165
46	-0.020255	-0.1389	0.445077
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261049764u1v4q6atqmmliz4/11pag1261049601.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261049764u1v4q6atqmmliz4/11pag1261049601.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261049764u1v4q6atqmmliz4/21hl81261049601.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261049764u1v4q6atqmmliz4/21hl81261049601.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; 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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