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Appelen Jonagold correlatie zonder differentiatie

*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 09:51:16 -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/t1261068776zq7scbwfjml91uh.htm/, Retrieved Thu, 17 Dec 2009 17:52:58 +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/t1261068776zq7scbwfjml91uh.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 «

1.19 1.18 1.18 1.33 1.3 1.25 1.22 1.17 1.18 1.19 1.21 1.21 1.2 1.2 1.29 1.83 1.85 1.54 1.52 1.43 1.4 1.4 1.39 1.37 1.33 1.36 1.34 1.75 1.84 1.73 1.63 1.5 1.45 1.38 1.38 1.27 1.31 1.29 1.32 1.48 1.39 1.45 1.44 1.44 1.42 1.39 1.4 1.39 1.3 1.32 1.35 1.51 1.37 1.25 1.15 1.09 1.09 1.06 1.02 1.01 1 1 1.05 1.3 1.34 1.24 1.22 1.06 1 1 1 1.01

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	0.826773	7.0154	0
2	0.602034	5.1084	1e-06
3	0.42876	3.6382	0.000257
4	0.302189	2.5642	0.006215
5	0.239037	2.0283	0.023115
6	0.200028	1.6973	0.04698
7	0.174622	1.4817	0.071389
8	0.162243	1.3767	0.086439
9	0.198404	1.6835	0.048304
10	0.237255	2.0132	0.023918
11	0.323655	2.7463	0.003804
12	0.409986	3.4788	0.000429
13	0.320171	2.7167	0.004125
14	0.176229	1.4953	0.069597
15	0.048747	0.4136	0.340187
16	-0.032867	-0.2789	0.390564
17	-0.075006	-0.6365	0.26325
18	-0.112717	-0.9564	0.171025
19	-0.134649	-1.1425	0.128509
20	-0.145413	-1.2339	0.110632
21	-0.109739	-0.9312	0.17744
22	-0.076045	-0.6453	0.260405
23	-0.037416	-0.3175	0.375896
24	-0.034753	-0.2949	0.384462
25	-0.115123	-0.9769	0.165956
26	-0.184286	-1.5637	0.061134
27	-0.240541	-2.0411	0.022456
28	-0.262328	-2.2259	0.014575
29	-0.259664	-2.2033	0.015386
30	-0.253034	-2.1471	0.017578
31	-0.237602	-2.0161	0.02376
32	-0.230221	-1.9535	0.027324
33	-0.192688	-1.635	0.053206
34	-0.152185	-1.2913	0.10036
35	-0.100655	-0.8541	0.197945
36	-0.101091	-0.8578	0.196928

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.826773	7.0154	0
2	-0.257611	-2.1859	0.016038
3	0.053398	0.4531	0.325922
4	-0.017474	-0.1483	0.441272
5	0.095805	0.8129	0.209468
6	-0.019922	-0.169	0.433118
7	0.032661	0.2771	0.391234
8	0.026402	0.224	0.411685
9	0.173652	1.4735	0.072489
10	0.001594	0.0135	0.494624
11	0.270534	2.2956	0.012308
12	0.052521	0.4457	0.328592
13	-0.430629	-3.654	0.000244
14	0.006559	0.0557	0.477886
15	-0.042894	-0.364	0.358474
16	0.015626	0.1326	0.447443
17	-0.072082	-0.6116	0.271353
18	-0.098843	-0.8387	0.202204
19	0.039688	0.3368	0.368638
20	-0.037936	-0.3219	0.374232
21	0.035526	0.3015	0.38197
22	-0.002983	-0.0253	0.489939
23	-0.108975	-0.9247	0.17911
24	-0.201786	-1.7122	0.045581
25	-0.004317	-0.0366	0.48544
26	0.134841	1.1442	0.128173
27	-0.048213	-0.4091	0.341839
28	-0.05574	-0.473	0.318834
29	0.000682	0.0058	0.4977
30	0.04836	0.4103	0.341385
31	0.014876	0.1262	0.449954
32	-0.071465	-0.6064	0.273078
33	0.016306	0.1384	0.44517
34	-0.023032	-0.1954	0.422802
35	0.021773	0.1847	0.426972
36	-0.027141	-0.2303	0.409257

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261068776zq7scbwfjml91uh/1k7z21261068675.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261068776zq7scbwfjml91uh/1k7z21261068675.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261068776zq7scbwfjml91uh/2kges1261068675.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261068776zq7scbwfjml91uh/2kges1261068675.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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