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autocorrelation Function diff1 - verkocht aantal producten - Mattias Debbaut

*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 15:24:51 +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/t128223145629e2sgt4gknrwx0.htm/, Retrieved Thu, 19 Aug 2010 17:24:18 +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/t128223145629e2sgt4gknrwx0.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:

mattias debbaut

Dataseries X:

» Textbox « » Textfile « » CSV «

376 375 374 372 370 369 370 372 373 373 374 376 371 374 369 363 357 366 362 366 361 362 358 363 360 360 348 345 332 333 323 327 332 337 336 337 343 337 326 321 309 302 293 287 292 292 289 302 310 295 276 264 257 243 227 226 226 229 224 240 244 226 208 199 193 180 167 164 166 173 169 191 193 166 143 147 139 129 115 108 106 116 108 135

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	0.217015	1.9771	0.025675
2	0.024274	0.2211	0.412761
3	-0.055941	-0.5096	0.305827
4	0.076621	0.6981	0.243548
5	-0.287804	-2.622	0.005198
6	-0.315307	-2.8726	0.002584
7	-0.293	-2.6694	0.00457
8	0.028046	0.2555	0.39948
9	-0.128322	-1.1691	0.122862
10	-0.047245	-0.4304	0.334002
11	0.26416	2.4066	0.00916
12	0.669401	6.0985	0
13	0.166362	1.5156	0.066707
14	0.022763	0.2074	0.418111
15	0.037753	0.344	0.365877
16	0.070095	0.6386	0.262421
17	-0.257645	-2.3473	0.010647
18	-0.318264	-2.8995	0.002391
19	-0.197389	-1.7983	0.037882
20	-0.068949	-0.6282	0.265815
21	-0.103974	-0.9472	0.173132
22	-0.030045	-0.2737	0.392489
23	0.25041	2.2813	0.012545
24	0.422208	3.8465	0.000117
25	0.101163	0.9216	0.179694
26	0.014186	0.1292	0.448739
27	0.043458	0.3959	0.346588
28	0.057801	0.5266	0.299939
29	-0.218203	-1.9879	0.025058
30	-0.194367	-1.7708	0.040135
31	-0.161218	-1.4688	0.072839
32	-0.129592	-1.1806	0.12056
33	-0.106377	-0.9691	0.167646
34	-0.017081	-0.1556	0.438358
35	0.134994	1.2299	0.111113
36	0.207653	1.8918	0.031002
37	0.036883	0.336	0.368851
38	0.050467	0.4598	0.323438
39	0.061649	0.5616	0.287934
40	0.006386	0.0582	0.476874
41	-0.160501	-1.4622	0.073726
42	-0.081154	-0.7393	0.23089
43	-0.159883	-1.4566	0.074499
44	-0.084846	-0.773	0.220865
45	-0.110148	-1.0035	0.159268
46	0.018398	0.1676	0.433646
47	0.037794	0.3443	0.36574
48	0.068458	0.6237	0.267274

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.217015	1.9771	0.025675
2	-0.023949	-0.2182	0.413909
3	-0.058946	-0.537	0.296345
4	0.107506	0.9794	0.165108
5	-0.348662	-3.1765	0.001047
6	-0.206152	-1.8781	0.031937
7	-0.205828	-1.8752	0.032142
8	0.071339	0.6499	0.258767
9	-0.155351	-1.4153	0.080358
10	-0.076655	-0.6984	0.243452
11	0.269262	2.4531	0.008129
12	0.529618	4.825	3e-06
13	-0.03619	-0.3297	0.371227
14	-0.074293	-0.6768	0.250195
15	0.032527	0.2963	0.383858
16	-0.02947	-0.2685	0.394497
17	-0.031312	-0.2853	0.388077
18	-0.028411	-0.2588	0.398203
19	0.07704	0.7019	0.242362
20	-0.111162	-1.0127	0.157064
21	0.120418	1.0971	0.137893
22	0.074878	0.6822	0.248516
23	-0.06665	-0.6072	0.272684
24	-0.057693	-0.5256	0.300282
25	-0.069677	-0.6348	0.263657
26	-0.023881	-0.2176	0.414149
27	-0.135572	-1.2351	0.110136
28	0.083619	0.7618	0.224168
29	0.025388	0.2313	0.408825
30	0.119529	1.089	0.139661
31	-0.024252	-0.2209	0.412838
32	-0.123501	-1.1251	0.131884
33	-0.021059	-0.1919	0.424163
34	-0.100589	-0.9164	0.181054
35	-0.129018	-1.1754	0.121596
36	-0.133824	-1.2192	0.113111
37	-0.011306	-0.103	0.459106
38	0.076045	0.6928	0.245182
39	0.064578	0.5883	0.278953
40	-0.036141	-0.3293	0.371394
41	-0.059665	-0.5436	0.294095
42	-0.01802	-0.1642	0.434997
43	-0.155331	-1.4151	0.080385
44	0.048075	0.438	0.331268
45	-0.118363	-1.0783	0.142003
46	0.042916	0.391	0.348405
47	0.022508	0.2051	0.419016
48	0.038039	0.3466	0.364901

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t128223145629e2sgt4gknrwx0/1v89c1282231489.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t128223145629e2sgt4gknrwx0/1v89c1282231489.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t128223145629e2sgt4gknrwx0/2v89c1282231489.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t128223145629e2sgt4gknrwx0/2v89c1282231489.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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