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Paper: Differentiatie: Autocorrelatie (d=0 en 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: Sun, 20 Dec 2009 02:46:37 -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/20/t1261302547dvk4xt4z66hq596.htm/, Retrieved Sun, 20 Dec 2009 10:49:09 +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/20/t1261302547dvk4xt4z66hq596.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 «

90.2 90 88.8 85.8 84.2 80 77.8 76.8 86.4 89.2 86.2 84.6 83.2 83.2 82.6 79.8 77.2 74.8 73 73 83.6 85.6 84.8 84.2 83.4 84.6 84.6 83.8 81.2 79.6 78 78.2 88.8 92 91 91.2 90.4 91.8 92.2 90.2 88.6 87.8 86 87.2 97.6 101.2 100.4 100.2 100.2 103 104.2 104 102.4 101.8 101 102.2 114 118.4 118.8 117.2 117.2 118.4 118.8 117.2 114.4 112.6 111 110.8 120.2 124.4 123.4 121.2 119 119.8 120 118.4 115 113.4 111 111 121.6 126.2 125.8 124.8 122 123.2 124.2 120.8 116.8 114.8 111 109 119.8 124 121.6 118 115.8 116 115.8 114.4 112 110.2 107.4 108.2 117.6 121.4 119.8 115.6 112.6 113.2 112.2 110.8 108 105.2 102.4 101 110.8 116.8 113.8 108 104.4 105.2 105.4 103.2 100.6 97.8 95.8 95 104.8 110.4 106.4 102.2 98.4 98.4 98.6 96.2 92.4 91.4 88.4 87.8 97.6 104.2 100.2 97 92.8 92 93.4 92 89.6 88.6 87.2 86.2 96.8 102 102.6 100.6 94.2 94.2 95.2 95 94 92.2 91 91.2 103.4 105 104.6 103. etc...

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	0.955069	15.1913	0
2	0.883093	14.0464	0
3	0.828653	13.1805	0
4	0.799038	12.7095	0
5	0.789353	12.5554	0
6	0.776843	12.3564	0
7	0.750998	11.9454	0
8	0.721179	11.4711	0
9	0.714051	11.3577	0
10	0.732863	11.6569	0
11	0.769456	12.239	0
12	0.779984	12.4064	0
13	0.715247	11.3767	0
14	0.626324	9.9623	0
15	0.554446	8.819	0
16	0.508568	8.0893	0
17	0.483713	7.6939	0
18	0.458034	7.2855	0
19	0.421105	6.6981	0
20	0.381177	6.063	0
21	0.36401	5.7899	0
22	0.371296	5.9058	0
23	0.395691	6.2939	0
24	0.394786	6.2795	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.955069	15.1913	0
2	-0.33087	-5.2628	0
3	0.283559	4.5103	5e-06
4	0.106652	1.6964	0.04552
5	0.153904	2.448	0.007523
6	-0.088825	-1.4129	0.079464
7	-0.012946	-0.2059	0.418508
8	0.043715	0.6953	0.243744
9	0.284145	4.5196	5e-06
10	0.123037	1.957	0.025722
11	0.243895	3.8794	6.7e-05
12	-0.33436	-5.3183	0
13	-0.73717	-11.7254	0
14	0.046703	0.7429	0.229128
15	-0.029508	-0.4694	0.319608
16	0.052571	0.8362	0.201916
17	0.100073	1.5918	0.056345
18	0.004471	0.0711	0.471678
19	0.08916	1.4182	0.078685
20	0.002571	0.0409	0.483705
21	-0.052491	-0.8349	0.202276
22	-0.099522	-1.583	0.057336
23	-0.008028	-0.1277	0.449247
24	-0.060743	-0.9662	0.167439

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261302547dvk4xt4z66hq596/1iqc51261302395.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261302547dvk4xt4z66hq596/1iqc51261302395.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261302547dvk4xt4z66hq596/2o49p1261302395.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261302547dvk4xt4z66hq596/2o49p1261302395.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; 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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