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Autocorrelatie functie 3

*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, 28 Nov 2009 03:08:19 -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/28/t1259403007arqr8u28w841pou.htm/, Retrieved Sat, 28 Nov 2009 11:10:10 +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/28/t1259403007arqr8u28w841pou.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 «

611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587

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	0.148598	1.0187	0.156771
2	0.234117	1.605	0.057594
3	0.318433	2.1831	0.01703
4	0.225642	1.5469	0.064295
5	0.084836	0.5816	0.281806
6	0.163271	1.1193	0.134344
7	0.022135	0.1517	0.440017
8	0.157034	1.0766	0.143584
9	0.043951	0.3013	0.382254
10	-0.04843	-0.332	0.370676
11	0.313054	2.1462	0.018526
12	-0.065284	-0.4476	0.328261
13	-0.014012	-0.0961	0.461941
14	0.116614	0.7995	0.214022
15	0.054004	0.3702	0.356437
16	-0.033172	-0.2274	0.410543
17	0.102716	0.7042	0.242397
18	-0.131299	-0.9001	0.186317
19	0.044352	0.3041	0.381213
20	-0.078343	-0.5371	0.29687
21	-0.216853	-1.4867	0.07189
22	-0.091392	-0.6266	0.266993
23	-0.08969	-0.6149	0.270798
24	-0.216832	-1.4865	0.071909
25	-0.155607	-1.0668	0.145759
26	-0.144028	-0.9874	0.16425
27	-0.211328	-1.4488	0.077018
28	-0.133981	-0.9185	0.181517
29	-0.145869	-1	0.161209
30	-0.08716	-0.5975	0.276509
31	-0.043139	-0.2957	0.384364
32	-0.136566	-0.9362	0.176966
33	-0.017344	-0.1189	0.452928
34	0.023316	0.1598	0.436843
35	-0.033314	-0.2284	0.410167
36	-0.043913	-0.3011	0.382352

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.148598	1.0187	0.156771
2	0.216823	1.4865	0.071917
3	0.277878	1.905	0.031452
4	0.143358	0.9828	0.165365
5	-0.063681	-0.4366	0.332208
6	0.009663	0.0662	0.473731
7	-0.108867	-0.7464	0.229584
8	0.112115	0.7686	0.222981
9	0.001899	0.013	0.494834
10	-0.110531	-0.7578	0.226188
11	0.326036	2.2352	0.015097
12	-0.171489	-1.1757	0.122824
13	-0.054441	-0.3732	0.355327
14	0.018573	0.1273	0.44961
15	0.007683	0.0527	0.479107
16	0.032235	0.221	0.413028
17	0.012822	0.0879	0.465164
18	-0.139968	-0.9596	0.171091
19	-0.016667	-0.1143	0.454758
20	-0.083776	-0.5743	0.284238
21	-0.151237	-1.0368	0.15256
22	-0.144372	-0.9898	0.163678
23	0.087438	0.5994	0.275878
24	-0.01898	-0.1301	0.448514
25	-0.135608	-0.9297	0.178643
26	-0.031756	-0.2177	0.414299
27	-0.10064	-0.69	0.246808
28	-0.072883	-0.4997	0.309822
29	0.137925	0.9456	0.174603
30	-0.010628	-0.0729	0.471112
31	0.095831	0.657	0.257197
32	0.008858	0.0607	0.475917
33	0.043161	0.2959	0.384306
34	-0.016319	-0.1119	0.455699
35	0.097112	0.6658	0.254408
36	0.032861	0.2253	0.411367

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259403007arqr8u28w841pou/112981259402898.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259403007arqr8u28w841pou/112981259402898.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259403007arqr8u28w841pou/2mnc41259402898.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259403007arqr8u28w841pou/2mnc41259402898.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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