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autocorr. functie

*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: Thu, 26 Nov 2009 11:27:11 -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/26/t1259260101snfoapme25ngmy8.htm/, Retrieved Thu, 26 Nov 2009 19:28:23 +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/26/t1259260101snfoapme25ngmy8.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:

d=0 D=1 tijdreeks: aantal bouwvergunningen

Dataseries X:

» Textbox « » Textfile « » CSV «

2465 1932 1993 2243 1758 1806 2063 1823 2137 2428 2139 2265 2615 2070 2794 2190 2434 2520 2063 2068 2537 1898 2139 2408 2725 2201 2311 2548 2276 2351 2280 2057 2479 2379 2295 2456 2546 2844 2260 2981 2678 3440 2842 2450 2669 2570 2540 2318 2930 2946 2799 2695 2498 2260 2160 2058 2533 2150 2172 2155 3016

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	0.339962	2.3797	0.010631
2	0.397768	2.7844	0.003801
3	0.246816	1.7277	0.045169
4	0.204901	1.4343	0.078919
5	0.050914	0.3564	0.361536
6	0.095492	0.6684	0.253493
7	0.005626	0.0394	0.484372
8	0.011984	0.0839	0.466745
9	-0.092176	-0.6452	0.260893
10	-0.116741	-0.8172	0.208889
11	-0.152624	-1.0684	0.145295
12	-0.416136	-2.913	0.00269
13	-0.202958	-1.4207	0.080868
14	-0.240483	-1.6834	0.049331
15	-0.197077	-1.3795	0.086996
16	-0.232178	-1.6252	0.055263
17	-0.060083	-0.4206	0.337949
18	-0.123254	-0.8628	0.196231
19	-0.061195	-0.4284	0.335131
20	-0.134874	-0.9441	0.17487
21	0.017867	0.1251	0.45049
22	-0.02856	-0.1999	0.421185
23	0.129162	0.9041	0.185175
24	0.052546	0.3678	0.357296
25	0.196044	1.3723	0.088109
26	0.103804	0.7266	0.235456
27	0.173411	1.2139	0.115307
28	0.107233	0.7506	0.228233
29	0.077024	0.5392	0.296107
30	0.060444	0.4231	0.337033
31	0.065438	0.4581	0.324465
32	0.14257	0.998	0.161594
33	0.039472	0.2763	0.391739
34	0.011891	0.0832	0.467
35	-0.054887	-0.3842	0.351243
36	-0.036122	-0.2529	0.400719

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.339962	2.3797	0.010631
2	0.319069	2.2335	0.015057
3	0.05824	0.4077	0.342643
4	0.013894	0.0973	0.46146
5	-0.118293	-0.828	0.205829
6	0.030483	0.2134	0.415957
7	-0.021585	-0.1511	0.44026
8	-0.008636	-0.0604	0.476022
9	-0.103931	-0.7275	0.235186
10	-0.103433	-0.724	0.236244
11	-0.052789	-0.3695	0.356666
12	-0.37597	-2.6318	0.005663
13	0.069267	0.4849	0.314964
14	0.05764	0.4035	0.344176
15	-0.006506	-0.0455	0.481929
16	-0.092078	-0.6445	0.261113
17	0.062472	0.4373	0.331907
18	0.025653	0.1796	0.429116
19	-0.038303	-0.2681	0.394865
20	-0.098943	-0.6926	0.245914
21	0.049541	0.3468	0.365117
22	0.021674	0.1517	0.440015
23	0.128584	0.9001	0.186238
24	-0.19067	-1.3347	0.094073
25	0.13145	0.9201	0.181001
26	0.010941	0.0766	0.469631
27	0.01635	0.1145	0.454674
28	-0.091008	-0.6371	0.263527
29	-0.016272	-0.1139	0.454889
30	0.042355	0.2965	0.384057
31	-0.032259	-0.2258	0.411143
32	0.08934	0.6254	0.267311
33	-0.018706	-0.1309	0.448178
34	-0.092996	-0.651	0.259053
35	0.002303	0.0161	0.493602
36	-0.110689	-0.7748	0.221083

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260101snfoapme25ngmy8/1rn691259260029.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260101snfoapme25ngmy8/1rn691259260029.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260101snfoapme25ngmy8/2gch61259260029.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260101snfoapme25ngmy8/2gch61259260029.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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