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autocorrelatiefunctie zonder differentiatie (verkoopprijzen)

*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: Wed, 30 Dec 2009 06:39:49 -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/30/t1262180467zg4ohrwub63ylnq.htm/, Retrieved Wed, 30 Dec 2009 14:41:09 +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/30/t1262180467zg4ohrwub63ylnq.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 «

2072.65 2020.13 2032.76 2050.31 2128.98 2122.14 2122.89 2091.95 2002.97 1923.21 1834.44 1819.15 1792.00 1822.40 1900.70 1903.00 1958.80 1820.50 1719.80 1661.10 1664.40 1703.40 1774.90 1795.00 1816.30 1867.40 1900.00 1961.10 2065.70 2073.50 2080.80 2118.00 2099.00 2085.20 1937.70 1749.50 1750.30 1675.60 1697.50 1699.80 1655.90 1636.00 1614.20 1602.30 1548.70 1556.10 1526.90 1509.20 1566.30 1596.00 1654.50 1664.20 1687.70 1691.00 1664.60 1697.50 1685.10 1643.00 1559.60 1560.20 1590.16 1604.93 1661.80 1670.73 1692.40 1688.17 1658.04 1613.46 1595.11 1558.83 1526.65 1475.19

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	0.918371	7.7926	0
2	0.818574	6.9458	0
3	0.703273	5.9675	0
4	0.593931	5.0397	2e-06
5	0.498702	4.2316	3.4e-05
6	0.420209	3.5656	0.000325
7	0.35964	3.0516	0.001593
8	0.305821	2.595	0.005728
9	0.263721	2.2377	0.014166
10	0.226365	1.9208	0.02936
11	0.187319	1.5895	0.05817
12	0.146708	1.2449	0.108611
13	0.099154	0.8413	0.20147
14	0.063883	0.5421	0.294724
15	0.046128	0.3914	0.348324
16	0.050932	0.4322	0.333453
17	0.058101	0.493	0.311755
18	0.065515	0.5559	0.289996
19	0.093893	0.7967	0.21412
20	0.141173	1.1979	0.117444
21	0.192786	1.6358	0.053118
22	0.24798	2.1042	0.019428
23	0.27898	2.3672	0.010306
24	0.285587	2.4233	0.008948
25	0.259903	2.2053	0.015312
26	0.218795	1.8565	0.033734
27	0.170064	1.443	0.076673
28	0.103424	0.8776	0.191545
29	0.036169	0.3069	0.379901
30	-0.032112	-0.2725	0.393018
31	-0.089615	-0.7604	0.224747
32	-0.13822	-1.1728	0.122364
33	-0.180727	-1.5335	0.064765
34	-0.223906	-1.8999	0.030725
35	-0.277274	-2.3528	0.010685
36	-0.309552	-2.6266	0.005265
37	-0.35344	-2.999	0.001858
38	-0.368213	-3.1244	0.001284
39	-0.368521	-3.127	0.001274
40	-0.372005	-3.1566	0.001166
41	-0.366617	-3.1108	0.001337
42	-0.360425	-3.0583	0.001562
43	-0.340449	-2.8888	0.002553
44	-0.306395	-2.5998	0.005654
45	-0.264461	-2.244	0.013953
46	-0.222202	-1.8854	0.031702
47	-0.180441	-1.5311	0.065065
48	-0.142096	-1.2057	0.115936
49	-0.123649	-1.0492	0.148799
50	-0.117878	-1.0002	0.160276
51	-0.135577	-1.1504	0.126892
52	-0.163828	-1.3901	0.084387
53	-0.196465	-1.6671	0.049923
54	-0.218793	-1.8565	0.033736
55	-0.218336	-1.8526	0.034016
56	-0.200136	-1.6982	0.046893
57	-0.18736	-1.5898	0.05813
58	-0.171847	-1.4582	0.074571
59	-0.159172	-1.3506	0.090524
60	-0.15596	-1.3234	0.094951

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.918371	7.7926	0
2	-0.158576	-1.3456	0.091332
3	-0.144511	-1.2262	0.112057
4	-0.010575	-0.0897	0.464373
5	0.024695	0.2095	0.417309
6	0.02261	0.1919	0.4242
7	0.029925	0.2539	0.400141
8	-0.034084	-0.2892	0.386626
9	0.019226	0.1631	0.435433
10	-0.008847	-0.0751	0.470184
11	-0.04798	-0.4071	0.342561
12	-0.034131	-0.2896	0.386472
13	-0.065253	-0.5537	0.290753
14	0.058595	0.4972	0.310283
15	0.082608	0.701	0.242795
16	0.088272	0.749	0.228144
17	-0.04324	-0.3669	0.357384
18	-0.024733	-0.2099	0.417183
19	0.159478	1.3532	0.09011
20	0.157318	1.3349	0.093059
21	0.03102	0.2632	0.39657
22	0.054228	0.4601	0.323402
23	-0.101073	-0.8576	0.19697
24	-0.071362	-0.6055	0.273366
25	-0.1139	-0.9665	0.16852
26	-0.055607	-0.4718	0.319234
27	-0.031093	-0.2638	0.396332
28	-0.150124	-1.2738	0.103408
29	-0.053117	-0.4507	0.326777
30	-0.060954	-0.5172	0.303297
31	-0.040173	-0.3409	0.367095
32	-0.046182	-0.3919	0.348156
33	-0.026895	-0.2282	0.410066
34	-0.028898	-0.2452	0.403496
35	-0.080541	-0.6834	0.24827
36	0.098632	0.8369	0.202704
37	-0.137996	-1.1709	0.122743
38	0.112364	0.9534	0.171779
39	0.031642	0.2685	0.394544
40	-0.103215	-0.8758	0.192025
41	-0.001856	-0.0158	0.493738
42	-0.07995	-0.6784	0.249847
43	-0.028463	-0.2415	0.404922
44	0.046692	0.3962	0.346568
45	0.010657	0.0904	0.464101
46	-0.028951	-0.2457	0.403322
47	0.031051	0.2635	0.396469
48	0.001153	0.0098	0.496112
49	-0.08323	-0.7062	0.241162
50	-0.009309	-0.079	0.468631
51	-0.074595	-0.633	0.264383
52	0.002722	0.0231	0.49082
53	0.00731	0.062	0.475356
54	0.060483	0.5132	0.304687
55	0.097175	0.8246	0.206172
56	0.094363	0.8007	0.212972
57	0.00106	0.009	0.496425
58	0.038708	0.3284	0.371763
59	0.076929	0.6528	0.257995
60	-0.075153	-0.6377	0.262849

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262180467zg4ohrwub63ylnq/1ovq81262180387.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262180467zg4ohrwub63ylnq/1ovq81262180387.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262180467zg4ohrwub63ylnq/2t1ye1262180387.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262180467zg4ohrwub63ylnq/2t1ye1262180387.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 = -1.7 ; 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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