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Partiële autocorrelatie met D=1

*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: Sat, 21 Nov 2009 12:59:09 -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/Nov/21/t1258833607bwzassu5rgs2h1h.htm/, Retrieved Sat, 21 Nov 2009 21:00:09 +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/Nov/21/t1258833607bwzassu5rgs2h1h.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 «

5560 3922 3759 4138 4634 3996 4308 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	7 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.28454	1.9713	0.027232
2	0.133918	0.9278	0.179074
3	0.405839	2.8117	0.003558
4	0.302607	2.0965	0.020665
5	0.070875	0.491	0.312818
6	0.067099	0.4649	0.322062
7	0.132296	0.9166	0.181975
8	-0.029507	-0.2044	0.41944
9	-0.061588	-0.4267	0.335755
10	0.086454	0.599	0.276005
11	-0.153311	-1.0622	0.146737
12	-0.23537	-1.6307	0.05475
13	-0.019805	-0.1372	0.445717
14	-0.181652	-1.2585	0.107145
15	-0.265212	-1.8374	0.036169
16	-0.166845	-1.1559	0.126715
17	-0.097001	-0.672	0.25239
18	-0.078242	-0.5421	0.295136
19	-0.039512	-0.2737	0.392727
20	-0.048628	-0.3369	0.368829
21	-0.045053	-0.3121	0.378145
22	0.118184	0.8188	0.208473
23	0.044628	0.3092	0.379256
24	-0.08651	-0.5994	0.275877
25	0.098475	0.6823	0.24918
26	0.210497	1.4584	0.075626
27	-0.061703	-0.4275	0.335467
28	-0.016275	-0.1128	0.455347
29	0.072866	0.5048	0.307994
30	0.00329	0.0228	0.490954
31	-0.13188	-0.9137	0.182724
32	0.007297	0.0506	0.479946
33	-0.014324	-0.0992	0.460681
34	-0.139166	-0.9642	0.169897
35	-0.031168	-0.2159	0.414975
36	-0.03751	-0.2599	0.398036

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.28454	1.9713	0.027232
2	0.05762	0.3992	0.345757
3	0.38596	2.674	0.005107
4	0.127167	0.881	0.191343
5	-0.073173	-0.507	0.307252
6	-0.110306	-0.7642	0.224238
7	-0.02385	-0.1652	0.434726
8	-0.115667	-0.8014	0.213436
9	-0.01992	-0.138	0.445406
10	0.11652	0.8073	0.211745
11	-0.1942	-1.3455	0.0924
12	-0.141871	-0.9829	0.16529
13	0.031545	0.2185	0.413964
14	-0.147967	-1.0251	0.155216
15	-0.016728	-0.1159	0.454109
16	-0.030578	-0.2118	0.416561
17	0.020266	0.1404	0.444464
18	0.150808	1.0448	0.150668
19	0.13364	0.9259	0.179569
20	-0.0857	-0.5937	0.277735
21	-0.028476	-0.1973	0.422217
22	0.150602	1.0434	0.150995
23	-0.111538	-0.7728	0.221727
24	-0.086008	-0.5959	0.277027
25	0.100779	0.6982	0.244206
26	0.08446	0.5852	0.280591
27	-0.173889	-1.2047	0.117106
28	-0.04942	-0.3424	0.366774
29	-0.153724	-1.065	0.146095
30	-0.009934	-0.0688	0.472708
31	-0.073977	-0.5125	0.305316
32	0.030133	0.2088	0.417755
33	0.060034	0.4159	0.339657
34	0.103202	0.715	0.239034
35	-0.038761	-0.2685	0.394716
36	-0.114397	-0.7926	0.215964

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/21/t1258833607bwzassu5rgs2h1h/1nh761258833541.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/21/t1258833607bwzassu5rgs2h1h/1nh761258833541.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/21/t1258833607bwzassu5rgs2h1h/2vgsl1258833541.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/21/t1258833607bwzassu5rgs2h1h/2vgsl1258833541.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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