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Autocorrelatie bij d 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: Mon, 21 Dec 2009 07:51:48 -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/21/t1261407235mh9r1s312ph34i1.htm/, Retrieved Mon, 21 Dec 2009 15:53:57 +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/21/t1261407235mh9r1s312ph34i1.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 «

36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509

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	0.422643	3.8736	0.000106
2	0.186104	1.7057	0.045882
3	0.028977	0.2656	0.395607
4	-0.148175	-1.358	0.089042
5	-0.249563	-2.2873	0.012347
6	-0.420709	-3.8559	0.000113
7	-0.299591	-2.7458	0.003691
8	-0.226668	-2.0774	0.020407
9	-0.105669	-0.9685	0.167795
10	-0.011111	-0.1018	0.459564
11	0.199883	1.832	0.035251
12	0.691188	6.3348	0
13	0.25804	2.365	0.010168
14	0.100857	0.9244	0.178971
15	-0.018164	-0.1665	0.43409
16	-0.159858	-1.4651	0.07331
17	-0.217675	-1.995	0.024641
18	-0.379268	-3.4761	0.000404
19	-0.25358	-2.3241	0.011268
20	-0.196299	-1.7991	0.037796
21	-0.0948	-0.8689	0.1937
22	0.032261	0.2957	0.384102
23	0.248693	2.2793	0.012592
24	0.645696	5.9179	0
25	0.309963	2.8409	0.002822
26	0.156689	1.4361	0.077347
27	0.038351	0.3515	0.363049
28	-0.100801	-0.9239	0.179104
29	-0.182431	-1.672	0.049122
30	-0.334843	-3.0689	0.001446
31	-0.212701	-1.9494	0.02729
32	-0.199262	-1.8263	0.035681
33	-0.127997	-1.1731	0.122034
34	-0.014709	-0.1348	0.446542
35	0.127906	1.1723	0.122201
36	0.456557	4.1844	3.5e-05
37	0.194067	1.7787	0.039457
38	0.078685	0.7212	0.236406
39	0.019379	0.1776	0.429728
40	-0.05252	-0.4814	0.315757
41	-0.151239	-1.3861	0.084688
42	-0.244691	-2.2426	0.013777
43	-0.169082	-1.5497	0.062492
44	-0.172337	-1.5795	0.058991
45	-0.100612	-0.9221	0.179553
46	-0.000142	-0.0013	0.499483
47	0.125718	1.1522	0.126249
48	0.401227	3.6773	0.000207
49	0.209515	1.9202	0.029111
50	0.09207	0.8438	0.20058
51	0.043283	0.3967	0.346298
52	-0.029916	-0.2742	0.392306
53	-0.134238	-1.2303	0.111008
54	-0.175712	-1.6104	0.055528
55	-0.157899	-1.4472	0.075785
56	-0.163326	-1.4969	0.069082
57	-0.110531	-1.013	0.156976
58	-0.067526	-0.6189	0.268834
59	0.033975	0.3114	0.37814
60	0.23326	2.1379	0.017717

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.422643	3.8736	0.000106
2	0.009103	0.0834	0.466854
3	-0.0643	-0.5893	0.278614
4	-0.170994	-1.5672	0.060416
5	-0.150358	-1.378	0.085924
6	-0.303134	-2.7783	0.00337
7	-0.021699	-0.1989	0.421422
8	-0.097656	-0.895	0.186665
9	-0.021679	-0.1987	0.421493
10	-0.072403	-0.6636	0.254387
11	0.154822	1.419	0.079804
12	0.628865	5.7636	0
13	-0.501897	-4.6	7e-06
14	-0.140117	-1.2842	0.101302
15	-0.056906	-0.5216	0.301678
16	-0.033574	-0.3077	0.379532
17	0.00535	0.049	0.480504
18	-0.028498	-0.2612	0.397293
19	0.020231	0.1854	0.426674
20	-0.068536	-0.6281	0.265807
21	0.01439	0.1319	0.447695
22	0.219361	2.0105	0.023795
23	0.115533	1.0589	0.146345
24	-0.043515	-0.3988	0.34552
25	0.021679	0.1987	0.421494
26	-0.07616	-0.698	0.243547
27	0.023599	0.2163	0.414644
28	0.048281	0.4425	0.329631
29	-0.040374	-0.37	0.356146
30	0.058058	0.5321	0.298029
31	0.037986	0.3481	0.364301
32	-0.022132	-0.2028	0.419875
33	0.053376	0.4892	0.312988
34	-0.034968	-0.3205	0.374696
35	-0.197579	-1.8108	0.03687
36	-0.016831	-0.1543	0.438888
37	-0.045191	-0.4142	0.339897
38	0.045676	0.4186	0.33828
39	0.063055	0.5779	0.282436
40	0.107799	0.988	0.162997
41	-0.100235	-0.9187	0.18045
42	0.062424	0.5721	0.284383
43	-0.136803	-1.2538	0.106693
44	0.040997	0.3757	0.354027
45	-0.00804	-0.0737	0.470718
46	-0.055924	-0.5125	0.304806
47	0.059941	0.5494	0.292104
48	-0.042391	-0.3885	0.349306
49	0.120937	1.1084	0.135426
50	-0.033157	-0.3039	0.380982
51	-0.044193	-0.405	0.34324
52	-0.05555	-0.5091	0.306001
53	0.01644	0.1507	0.440296
54	0.028462	0.2609	0.397422
55	-0.029077	-0.2665	0.395255
56	-0.018184	-0.1667	0.43402
57	-0.06375	-0.5843	0.280299
58	-0.096656	-0.8859	0.189109
59	-0.023806	-0.2182	0.413905
60	-0.005953	-0.0546	0.47831

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407235mh9r1s312ph34i1/1253v1261407104.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407235mh9r1s312ph34i1/1253v1261407104.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407235mh9r1s312ph34i1/2bwi31261407104.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407235mh9r1s312ph34i1/2bwi31261407104.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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