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Autocorrelatie groot brood

*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: Mon, 06 Dec 2010 13:28:06 +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/Dec/06/t1291641962gjoh07bbu8643a5.htm/, Retrieved Mon, 06 Dec 2010 14:26:03 +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/2010/Dec/06/t1291641962gjoh07bbu8643a5.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 «

1.88 1.87 1.88 1.87 1.88 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.88 1.88 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.86 1.86 1.85 1.84 1.83 1.82 1.78 1.75 1.74 1.74 1.74 1.73 1.73 1.73 1.71 1.7 1.7 1.69 1.68 1.68 1.68 1.68 1.67 1.66 1.65 1.65 1.65

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.955818	7.1527	0
2	0.907673	6.7924	0
3	0.853005	6.3833	0
4	0.800639	5.9914	0
5	0.745972	5.5823	0
6	0.694373	5.1962	1e-06
7	0.639962	4.789	6e-06
8	0.581714	4.3531	2.9e-05
9	0.519373	3.8866	0.000136
10	0.458184	3.4287	0.000572
11	0.398402	2.9814	0.002121
12	0.33555	2.511	0.007476
13	0.274361	2.0531	0.022371
14	0.219309	1.6412	0.053185
15	0.162468	1.2158	0.114581
16	0.104859	0.7847	0.21797
17	0.049425	0.3699	0.356441
18	-0.008056	-0.0603	0.476071
19	-0.067583	-0.5057	0.30751
20	-0.123913	-0.9273	0.17888
21	-0.170524	-1.2761	0.103596
22	-0.202558	-1.5158	0.067597
23	-0.229476	-1.7172	0.045731
24	-0.252174	-1.8871	0.032167
25	-0.271419	-2.0311	0.0235
26	-0.286701	-2.1455	0.018133
27	-0.302238	-2.2617	0.013807
28	-0.313299	-2.3445	0.011312
29	-0.324872	-2.4311	0.009139
30	-0.334783	-2.5053	0.007585
31	-0.345972	-2.589	0.006121
32	-0.355243	-2.6584	0.005108
33	-0.362852	-2.7153	0.004394
34	-0.368031	-2.7541	0.003961
35	-0.367839	-2.7527	0.003977
36	-0.360742	-2.6995	0.004582

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.955818	7.1527	0
2	-0.068466	-0.5124	0.30521
3	-0.099099	-0.7416	0.230718
4	0.003417	0.0256	0.489845
5	-0.053188	-0.398	0.346063
6	0.002507	0.0188	0.49255
7	-0.061949	-0.4636	0.322372
8	-0.082284	-0.6158	0.270276
9	-0.07498	-0.5611	0.288485
10	-0.021749	-0.1628	0.435647
11	-0.020877	-0.1562	0.438207
12	-0.085895	-0.6428	0.261496
13	-0.027245	-0.2039	0.419593
14	0.029053	0.2174	0.414339
15	-0.07261	-0.5434	0.294517
16	-0.05975	-0.4471	0.328253
17	-0.021641	-0.1619	0.435966
18	-0.082404	-0.6167	0.269981
19	-0.078171	-0.585	0.280456
20	-0.020176	-0.151	0.440266
21	0.044844	0.3356	0.369221
22	0.106562	0.7974	0.214283
23	0.000287	0.0021	0.499147
24	-0.012346	-0.0924	0.46336
25	-0.004337	-0.0325	0.487112
26	0.014094	0.1055	0.45819
27	-0.037121	-0.2778	0.391098
28	-0.01497	-0.112	0.455603
29	-0.06335	-0.4741	0.318648
30	-0.032188	-0.2409	0.405267
31	-0.057945	-0.4336	0.333115
32	-0.035209	-0.2635	0.396575
33	-0.024188	-0.181	0.428509
34	-0.009881	-0.0739	0.47066
35	0.037755	0.2825	0.38929
36	0.037261	0.2788	0.390698

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641962gjoh07bbu8643a5/1rlrr1291642083.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641962gjoh07bbu8643a5/1rlrr1291642083.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641962gjoh07bbu8643a5/2rlrr1291642083.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641962gjoh07bbu8643a5/2rlrr1291642083.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

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 (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='lags',ylab='ACF')

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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