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Gediferentierde autocorrelation omzet product A

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 19 Aug 2010 13:56:57 +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/19/t1282226203isf941h8kma6t85.htm/, Retrieved Thu, 19 Aug 2010 15:56:45 +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/19/t1282226203isf941h8kma6t85.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:

Sebastien Delforge

Dataseries X:

» Textbox « » Textfile « » CSV «

75 74 73 71 91 90 75 65 66 66 67 69 75 79 75 77 100 100 94 83 83 83 84 88 89 98 94 84 111 98 98 83 79 78 80 94 98 104 94 90 115 104 114 99 96 98 104 111 117 125 117 118 151 145 155 133 124 125 131 133 136 141 130 137 177 183 191 166 156 153 164 164 168 173 164 165 205 207 215 190 169 175 188 188 196 201 194 197 237 236 244 222 195 199 207 204 212 222 214 217 258 256 251 223 198 206 214 212 227 238 228 235 275 278 278 251 225 232 238 239

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.873778	8.5612	0
2	0.732176	7.1738	0
3	0.56855	5.5706	0
4	0.407208	3.9898	6.5e-05
5	0.262103	2.5681	0.005884
6	0.14751	1.4453	0.075815
7	0.068099	0.6672	0.253114
8	-0.02342	-0.2295	0.409495
9	-0.114694	-1.1238	0.131957
10	-0.214803	-2.1046	0.018968
11	-0.302229	-2.9612	0.001931
12	-0.384352	-3.7659	0.000143
13	-0.35407	-3.4692	0.000392
14	-0.318615	-3.1218	0.001188
15	-0.267806	-2.624	0.005056
16	-0.201633	-1.9756	0.025536
17	-0.133011	-1.3032	0.097806
18	-0.086198	-0.8446	0.200226
19	-0.070318	-0.689	0.246252
20	-0.054357	-0.5326	0.297776
21	-0.043526	-0.4265	0.335361
22	-0.014822	-0.1452	0.442419
23	-0.004134	-0.0405	0.483887
24	0.025798	0.2528	0.400495
25	0.040316	0.395	0.346854
26	0.064542	0.6324	0.264322
27	0.062994	0.6172	0.269278
28	0.0397	0.389	0.349078
29	0.014245	0.1396	0.444644
30	-0.028687	-0.2811	0.389628
31	-0.061802	-0.6055	0.273126
32	-0.081752	-0.801	0.212553
33	-0.10455	-1.0244	0.154117
34	-0.138822	-1.3602	0.088481
35	-0.149293	-1.4628	0.073399
36	-0.168345	-1.6494	0.051164
37	-0.150685	-1.4764	0.071553
38	-0.125397	-1.2286	0.111107
39	-0.081879	-0.8023	0.212194
40	-0.028625	-0.2805	0.389862
41	-0.008333	-0.0816	0.467548
42	0.028715	0.2813	0.389525
43	0.046672	0.4573	0.324247
44	0.051737	0.5069	0.306687
45	0.063194	0.6192	0.268633
46	0.063835	0.6254	0.26658
47	0.035534	0.3482	0.36424
48	-0.004436	-0.0435	0.482713

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.873778	8.5612	0
2	-0.132391	-1.2972	0.098843
3	-0.173121	-1.6962	0.046541
4	-0.086666	-0.8491	0.198956
5	-0.036904	-0.3616	0.359227
6	0.013347	0.1308	0.448113
7	0.032428	0.3177	0.375692
8	-0.172284	-1.688	0.047326
9	-0.121531	-1.1908	0.118343
10	-0.135352	-1.3262	0.093964
11	-0.048756	-0.4777	0.316971
12	-0.090323	-0.885	0.189189
13	0.377795	3.7016	0.000179
14	-0.106726	-1.0457	0.149163
15	-0.069238	-0.6784	0.249577
16	0.012901	0.1264	0.449838
17	0.043126	0.4225	0.336786
18	-0.054743	-0.5364	0.296472
19	-0.02552	-0.25	0.401546
20	-0.081618	-0.7997	0.212933
21	-0.032977	-0.3231	0.373659
22	0.049343	0.4835	0.314934
23	-0.096837	-0.9488	0.172552
24	0.032022	0.3138	0.377196
25	0.136669	1.3391	0.091854
26	0.01581	0.1549	0.438609
27	-0.130499	-1.2786	0.102057
28	-0.030717	-0.301	0.382046
29	0.018181	0.1781	0.429497
30	-0.124008	-1.215	0.113668
31	-0.032911	-0.3225	0.373903
32	0.052211	0.5116	0.305065
33	-0.134945	-1.3222	0.094625
34	-0.073628	-0.7214	0.236208
35	0.013234	0.1297	0.44855
36	-0.021212	-0.2078	0.417899
37	0.248537	2.4352	0.008366
38	0.087621	0.8585	0.196377
39	-0.12677	-1.2421	0.108615
40	-0.00054	-0.0053	0.497894
41	-0.104202	-1.021	0.154919
42	-0.020956	-0.2053	0.418877
43	0.01339	0.1312	0.447949
44	0.000731	0.0072	0.497151
45	-0.040483	-0.3966	0.346253
46	-0.166533	-1.6317	0.053011
47	-0.154476	-1.5136	0.066712
48	-0.086195	-0.8445	0.200235

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226203isf941h8kma6t85/1b9801282226215.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226203isf941h8kma6t85/1b9801282226215.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226203isf941h8kma6t85/2b9801282226215.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282226203isf941h8kma6t85/2b9801282226215.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; 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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