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ACF interventie D=0

*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: Sat, 11 Dec 2010 11:19:23 +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/11/t1292066280y6jov206v6eqma0.htm/, Retrieved Sat, 11 Dec 2010 12:18:02 +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/11/t1292066280y6jov206v6eqma0.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 «

16 29 22 30 20 39 18 9,6 10,2 20,2 50 120 19,8 18 3 11 15 27 28 14 5,6 6,5 8,5 87,9 5,8 25,2 7,5 13,7 34 17 9 9,2 5 24 40 86,5 0,54 14 4,8 28 16 5,8 16 9,1 6 17 26 99,6 41 72 23 42 40 18 45 18 2 10 13,6 160

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	0.066449	0.5147	0.304324
2	0.012486	0.0967	0.461638
3	-0.209036	-1.6192	0.055326
4	-0.116018	-0.8987	0.18621
5	0.063653	0.4931	0.311888
6	-0.020381	-0.1579	0.437545
7	0.031578	0.2446	0.403801
8	-0.043869	-0.3398	0.367593
9	-0.201456	-1.5605	0.061954
10	0.041466	0.3212	0.37459
11	-0.054796	-0.4244	0.336378
12	0.515581	3.9937	9e-05
13	0.013039	0.101	0.459944
14	0.039659	0.3072	0.379879
15	-0.113582	-0.8798	0.191238
16	-0.05801	-0.4493	0.327403
17	0.008436	0.0653	0.474059
18	-0.053385	-0.4135	0.340352
19	-0.036109	-0.2797	0.390334
20	-0.045383	-0.3515	0.36321
21	-0.170222	-1.3185	0.096168
22	-0.057586	-0.4461	0.328581
23	-0.074297	-0.5755	0.283552
24	0.398801	3.0891	0.00152
25	0.02181	0.1689	0.433208
26	0.012604	0.0976	0.461277
27	-0.149862	-1.1608	0.125155
28	-0.070452	-0.5457	0.29364
29	-0.028146	-0.218	0.414078
30	-0.042824	-0.3317	0.370631
31	0.012688	0.0983	0.461018
32	-0.080371	-0.6225	0.26797
33	-0.163361	-1.2654	0.105311
34	-0.050951	-0.3947	0.347246
35	-0.096478	-0.7473	0.228897
36	0.310459	2.4048	0.009642
37	0.028395	0.2199	0.413329
38	0.033272	0.2577	0.398752
39	-0.067176	-0.5203	0.30237
40	-0.040979	-0.3174	0.376012
41	0.01999	0.1548	0.438732
42	0.009651	0.0748	0.470329
43	-0.001276	-0.0099	0.496074
44	-0.02751	-0.2131	0.415989
45	-0.122575	-0.9495	0.173096
46	-0.058748	-0.4551	0.325353
47	-0.06704	-0.5193	0.302734
48	0.235018	1.8204	0.03684

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.066449	0.5147	0.304324
2	0.008106	0.0628	0.475072
3	-0.211344	-1.6371	0.053426
4	-0.092649	-0.7177	0.237877
5	0.088002	0.6817	0.249038
6	-0.071635	-0.5549	0.29052
7	-0.011987	-0.0929	0.463164
8	-0.022632	-0.1753	0.430714
9	-0.216036	-1.6734	0.049727
10	0.063203	0.4896	0.313111
11	-0.060188	-0.4662	0.321374
12	0.47526	3.6813	0.000249
13	-0.109015	-0.8444	0.200892
14	0.070533	0.5463	0.293428
15	0.008353	0.0647	0.474314
16	0.066144	0.5124	0.305143
17	-0.087328	-0.6764	0.250679
18	-0.031995	-0.2478	0.402555
19	-0.052325	-0.4053	0.343347
20	-0.062375	-0.4832	0.315371
21	-0.039863	-0.3088	0.379281
22	-0.180821	-1.4006	0.083238
23	0.036138	0.2799	0.390251
24	0.144959	1.1228	0.132988
25	-0.043322	-0.3356	0.369183
26	-0.077797	-0.6026	0.274519
27	-0.04768	-0.3693	0.356591
28	-0.022623	-0.1752	0.430742
29	-0.086595	-0.6708	0.252472
30	-0.031172	-0.2415	0.405012
31	0.021209	0.1643	0.435029
32	-0.109971	-0.8518	0.198848
33	-0.046058	-0.3568	0.361259
34	0.000302	0.0023	0.499072
35	-0.057873	-0.4483	0.327782
36	0.02432	0.1884	0.425608
37	0.002809	0.0218	0.491357
38	-0.025535	-0.1978	0.421938
39	0.044273	0.3429	0.366423
40	-0.003368	-0.0261	0.489637
41	0.013006	0.1007	0.460045
42	0.076233	0.5905	0.278538
43	-0.031619	-0.2449	0.403678
44	0.018262	0.1415	0.443992
45	0.006045	0.0468	0.481404
46	-0.039793	-0.3082	0.379485
47	0.01774	0.1374	0.445583
48	-0.002121	-0.0164	0.493474

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066280y6jov206v6eqma0/1msh21292066361.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066280y6jov206v6eqma0/1msh21292066361.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066280y6jov206v6eqma0/2msh21292066361.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066280y6jov206v6eqma0/2msh21292066361.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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