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autocorrelatie; D= 1 , 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: Tue, 24 Nov 2009 11:25:10 -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/24/t1259087183nj4i4o1nalzvy9a.htm/, Retrieved Tue, 24 Nov 2009 19:26:26 +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/24/t1259087183nj4i4o1nalzvy9a.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 «

325412 326011 328282 317480 317539 313737 312276 309391 302950 300316 304035 333476 337698 335932 323931 313927 314485 313218 309664 302963 298989 298423 310631 329765 335083 327616 309119 295916 291413 291542 284678 276475 272566 264981 263290 296806 303598 286994 276427 266424 267153 268381 262522 255542 253158 243803 250741 280445 285257 270976 261076 255603 260376 263903 264291 263276 262572 256167 264221 293860 300713 287224

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	0.889545	6.29	0
2	0.790011	5.5862	0
3	0.724643	5.124	2e-06
4	0.631282	4.4638	2.3e-05
5	0.531346	3.7572	0.000225
6	0.421344	2.9793	0.002225
7	0.316132	2.2354	0.014944
8	0.2299	1.6256	0.055157
9	0.152428	1.0778	0.143142
10	0.069733	0.4931	0.312054
11	-0.014575	-0.1031	0.459163
12	-0.103134	-0.7293	0.234621
13	-0.165924	-1.1733	0.123125
14	-0.21593	-1.5269	0.066549
15	-0.282258	-1.9959	0.025705
16	-0.345091	-2.4402	0.009134
17	-0.385826	-2.7282	0.004382
18	-0.429181	-3.0348	0.001907
19	-0.4623	-3.269	0.000978
20	-0.501487	-3.546	0.00043
21	-0.54968	-3.8868	0.00015
22	-0.555166	-3.9256	0.000133
23	-0.522035	-3.6913	0.000276
24	-0.505125	-3.5718	0.000398
25	-0.465315	-3.2903	0.000919
26	-0.41961	-2.9671	0.002301
27	-0.368683	-2.607	0.006004
28	-0.278142	-1.9668	0.027386
29	-0.216534	-1.5311	0.066021
30	-0.166784	-1.1793	0.121923
31	-0.112668	-0.7967	0.2147
32	-0.061264	-0.4332	0.333366
33	-0.007082	-0.0501	0.480131
34	0.049587	0.3506	0.363668
35	0.07614	0.5384	0.296349
36	0.105193	0.7438	0.230232

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.889545	6.29	0
2	-0.00613	-0.0433	0.482798
3	0.110383	0.7805	0.219381
4	-0.160374	-1.134	0.131098
5	-0.074937	-0.5299	0.299268
6	-0.154867	-1.0951	0.139365
7	-0.053032	-0.375	0.354625
8	0.001538	0.0109	0.495682
9	0.005052	0.0357	0.485823
10	-0.065555	-0.4635	0.322494
11	-0.086171	-0.6093	0.272535
12	-0.135706	-0.9596	0.170941
13	0.017452	0.1234	0.45114
14	-0.017665	-0.1249	0.450547
15	-0.098696	-0.6979	0.244241
16	-0.082575	-0.5839	0.28096
17	-0.020929	-0.148	0.441473
18	-0.107086	-0.7572	0.226238
19	-0.029852	-0.2111	0.41684
20	-0.13266	-0.938	0.176364
21	-0.135244	-0.9563	0.171757
22	0.050509	0.3572	0.36124
23	0.125011	0.884	0.190474
24	-0.062313	-0.4406	0.330694
25	0.086638	0.6126	0.271451
26	-0.064629	-0.457	0.324826
27	-0.014939	-0.1056	0.458147
28	0.127661	0.9027	0.185508
29	-0.080623	-0.5701	0.285585
30	-0.017036	-0.1205	0.4523
31	-0.056725	-0.4011	0.345024
32	-0.033691	-0.2382	0.406337
33	-0.017056	-0.1206	0.452245
34	0.059668	0.4219	0.337449
35	-0.080464	-0.569	0.285964
36	-0.019512	-0.138	0.445408

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259087183nj4i4o1nalzvy9a/1s9df1259087108.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259087183nj4i4o1nalzvy9a/1s9df1259087108.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259087183nj4i4o1nalzvy9a/26s0e1259087108.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259087183nj4i4o1nalzvy9a/26s0e1259087108.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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