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gedifferentieerde Autocorrelation aantal stuks product Y

*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 14:46:43 +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/t12822291705uldm2lz856uphv.htm/, Retrieved Thu, 19 Aug 2010 16:46:12 +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/t12822291705uldm2lz856uphv.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 «

152 151 150 148 146 145 146 148 149 149 150 152 154 164 167 162 164 172 169 174 181 181 172 181 183 200 199 190 197 194 190 195 204 197 185 193 192 211 210 197 191 182 170 166 175 163 153 171 165 184 179 163 163 148 132 127 130 118 113 137 133 155 151 132 134 118 102 98 91 77 74 102 98 113 114 96 102 90 72 67 62 48 43 75

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	-0.009346	-0.0851	0.466175
2	-0.021371	-0.1947	0.423052
3	0.192498	1.7537	0.041583
4	-0.232205	-2.1155	0.018693
5	-0.135012	-1.23	0.111082
6	-0.077176	-0.7031	0.241979
7	-0.089125	-0.812	0.209566
8	-0.276711	-2.521	0.006809
9	0.100067	0.9117	0.182297
10	0.048301	0.44	0.330526
11	-0.007171	-0.0653	0.474033
12	0.780171	7.1077	0
13	-0.03202	-0.2917	0.385614
14	-0.04782	-0.4357	0.332106
15	0.183751	1.6741	0.048943
16	-0.188397	-1.7164	0.044911
17	-0.108111	-0.9849	0.163759
18	-0.070668	-0.6438	0.260734
19	-0.105233	-0.9587	0.170242
20	-0.232517	-2.1183	0.018569
21	0.018372	0.1674	0.43374
22	0.043761	0.3987	0.345577
23	-0.015955	-0.1454	0.442389
24	0.534271	4.8674	3e-06
25	-0.099052	-0.9024	0.184726
26	-0.080297	-0.7315	0.233255
27	0.166331	1.5153	0.066742
28	-0.137455	-1.2523	0.106994
29	-0.086342	-0.7866	0.216874
30	-0.040416	-0.3682	0.356828
31	-0.094821	-0.8639	0.195076
32	-0.167549	-1.5264	0.06535
33	-0.003938	-0.0359	0.485734
34	0.030442	0.2773	0.391105
35	-0.00882	-0.0804	0.468074
36	0.312319	2.8454	0.002793
37	-0.132956	-1.2113	0.114612
38	-0.082821	-0.7545	0.226331
39	0.123974	1.1295	0.13098
40	-0.082111	-0.7481	0.228266
41	-0.065745	-0.599	0.275414
42	-0.007219	-0.0658	0.47386
43	-0.064619	-0.5887	0.278827
44	-0.124126	-1.1308	0.13069
45	-0.004047	-0.0369	0.48534
46	0.038233	0.3483	0.36424
47	-0.009655	-0.088	0.465058
48	0.145269	1.3235	0.094657

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.009346	-0.0851	0.466175
2	-0.02146	-0.1955	0.422735
3	0.192199	1.751	0.041819
4	-0.238729	-2.1749	0.016241
5	-0.131201	-1.1953	0.117686
6	-0.132414	-1.2063	0.115555
7	-0.00408	-0.0372	0.48522
8	-0.323017	-2.9428	0.002108
9	0.091966	0.8379	0.20226
10	-0.036011	-0.3281	0.371841
11	0.081668	0.744	0.229478
12	0.738392	6.7271	0
13	-0.126283	-1.1505	0.126622
14	-0.003968	-0.0361	0.485625
15	-0.134989	-1.2298	0.111121
16	0.059459	0.5417	0.29474
17	0.088191	0.8035	0.212002
18	0.011494	0.1047	0.458426
19	-0.12967	-1.1813	0.12042
20	0.145164	1.3225	0.094817
21	-0.128789	-1.1733	0.12201
22	-0.065721	-0.5987	0.275486
23	-0.093152	-0.8487	0.199258
24	-0.170871	-1.5567	0.061672
25	-0.108213	-0.9859	0.163531
26	-0.079626	-0.7254	0.235115
27	-0.053556	-0.4879	0.313446
28	0.101577	0.9254	0.178719
29	-0.070236	-0.6399	0.262008
30	-0.015969	-0.1455	0.44234
31	0.009174	0.0836	0.466798
32	0.042287	0.3853	0.350519
33	0.042099	0.3835	0.351149
34	-0.035249	-0.3211	0.374456
35	0.035824	0.3264	0.372483
36	-0.055418	-0.5049	0.307491
37	0.051879	0.4726	0.318854
38	-0.030993	-0.2824	0.389184
39	-0.03193	-0.2909	0.385929
40	0.022639	0.2063	0.418549
41	-0.018444	-0.168	0.433482
42	-0.031189	-0.2841	0.388502
43	0.013035	0.1188	0.452877
44	-0.130295	-1.187	0.119299
45	-0.020067	-0.1828	0.427693
46	0.015565	0.1418	0.443789
47	-0.057449	-0.5234	0.30105
48	-0.020323	-0.1852	0.426779

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822291705uldm2lz856uphv/1lqbg1282229201.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822291705uldm2lz856uphv/1lqbg1282229201.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822291705uldm2lz856uphv/2lqbg1282229201.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t12822291705uldm2lz856uphv/2lqbg1282229201.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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