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gedifferentieerde autocarrelatie

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 15 Aug 2010 20:36:24 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Aug/15/t1281904549id2726x94qw8na4.htm/, Retrieved Sun, 15 Aug 2010 22:35:49 +0200

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/2010/Aug/15/t1281904549id2726x94qw8na4.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

244 243 242 240 260 259 244 234 235 235 236 238 240 233 233 233 247 251 233 226 233 233 227 225 223 212 206 202 223 221 212 205 204 200 195 193 196 180 174 164 192 189 181 167 166 164 167 164 161 141 134 111 147 144 142 140 143 137 140 130 129 112 101 74 104 103 100 98 99 91 92 94 93 76 64 32 62 69 69 68 68 59 66 73 70 57 48 22 64 74 67 61 61 52 54 69 69 53 50 22 69 78 74 63 67 59 60 80 77 58 54 32 78 86 84 78 72 64 62 72

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.131826	-1.438	0.076523
2	-0.12679	-1.3831	0.084609
3	-0.296051	-3.2295	0.000802
4	-0.015658	-0.1708	0.43233
5	-0.009259	-0.101	0.459857
6	0.261314	2.8506	0.002573
7	0.035443	0.3866	0.349857
8	-0.007873	-0.0859	0.465853
9	-0.269196	-2.9366	0.001992
10	-0.117299	-1.2796	0.101591
11	-0.136706	-1.4913	0.069266
12	0.842488	9.1905	0
13	-0.112609	-1.2284	0.110857
14	-0.110454	-1.2049	0.115313
15	-0.250423	-2.7318	0.003629
16	0.0269	0.2934	0.384847
17	-0.042952	-0.4686	0.320124
18	0.208819	2.2779	0.012257
19	0.059635	0.6505	0.258298
20	-0.017002	-0.1855	0.42659
21	-0.227301	-2.4796	0.007277
22	-0.117076	-1.2771	0.102019
23	-0.149494	-1.6308	0.05279
24	0.685939	7.4827	0
25	-0.069171	-0.7546	0.226001
26	-0.074967	-0.8178	0.207555
27	-0.219284	-2.3921	0.009159
28	0.01703	0.1858	0.426469
29	-0.074316	-0.8107	0.20958
30	0.163206	1.7804	0.038784
31	0.069495	0.7581	0.224945
32	0.012136	0.1324	0.44745
33	-0.184094	-2.0082	0.023442
34	-0.114281	-1.2467	0.107485
35	-0.149322	-1.6289	0.052988
36	0.543946	5.9337	0
37	-0.058957	-0.6431	0.260684
38	-0.049315	-0.538	0.295805
39	-0.210613	-2.2975	0.011668
40	0.018397	0.2007	0.420642
41	-0.064929	-0.7083	0.240074
42	0.119725	1.3061	0.097027
43	0.087549	0.955	0.170745
44	0.040016	0.4365	0.331623
45	-0.159921	-1.7445	0.041824
46	-0.125614	-1.3703	0.086589
47	-0.165904	-1.8098	0.036425
48	0.425701	4.6438	4e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.131826	-1.438	0.076523
2	-0.146718	-1.6005	0.056069
3	-0.347966	-3.7959	0.000116
4	-0.173561	-1.8933	0.030372
5	-0.187982	-2.0506	0.021249
6	0.094	1.0254	0.153622
7	0.043222	0.4715	0.319077
8	0.056035	0.6113	0.271095
9	-0.150436	-1.6411	0.051712
10	-0.191757	-2.0918	0.01929
11	-0.351907	-3.8389	1e-04
12	0.762654	8.3196	0
13	0.000855	0.0093	0.496289
14	0.021231	0.2316	0.408624
15	0.180571	1.9698	0.025593
16	0.193042	2.1058	0.01866
17	0.067781	0.7394	0.230558
18	-0.069616	-0.7594	0.224552
19	0.049528	0.5403	0.295005
20	-0.03108	-0.339	0.367588
21	0.015217	0.166	0.43422
22	-0.097038	-1.0586	0.145973
23	-0.117181	-1.2783	0.101816
24	-0.124325	-1.3562	0.088798
25	0.021023	0.2293	0.4095
26	0.019545	0.2132	0.415766
27	-0.085599	-0.9338	0.176156
28	-0.154952	-1.6903	0.046791
29	-0.030835	-0.3364	0.368594
30	-0.008575	-0.0935	0.462815
31	-0.136845	-1.4928	0.069068
32	0.008525	0.093	0.463033
33	0.003087	0.0337	0.486596
34	0.027831	0.3036	0.380981
35	0.062904	0.6862	0.246959
36	0.012321	0.1344	0.446654
37	-0.069487	-0.758	0.22497
38	-0.011007	-0.1201	0.452313
39	-0.068003	-0.7418	0.229828
40	-0.053664	-0.5854	0.279691
41	0.008235	0.0898	0.464284
42	-0.096057	-1.0479	0.148414
43	0.054049	0.5896	0.278287
44	0.064921	0.7082	0.240103
45	-0.000724	-0.0079	0.496857
46	-0.041863	-0.4567	0.324371
47	-0.084089	-0.9173	0.180419
48	-0.073864	-0.8058	0.210994

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281904549id2726x94qw8na4/1fivk1281904580.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281904549id2726x94qw8na4/1fivk1281904580.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281904549id2726x94qw8na4/2fivk1281904580.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/15/t1281904549id2726x94qw8na4/2fivk1281904580.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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