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ACF interventie D=1

*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 11:23:05 +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/t1292066768jju1hlvygon0n3b.htm/, Retrieved Sat, 11 Dec 2010 12:26:11 +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/t1292066768jju1hlvygon0n3b.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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.434239	3.0085	0.002086
2	0.142449	0.9869	0.164316
3	-0.000884	-0.0061	0.497569
4	-0.029171	-0.2021	0.420346
5	0.192418	1.3331	0.094394
6	0.148877	1.0314	0.15375
7	0.148478	1.0287	0.154392
8	0.080539	0.558	0.289722
9	0.040572	0.2811	0.389925
10	0.157349	1.0901	0.140545
11	-0.024364	-0.1688	0.433333
12	-0.160837	-1.1143	0.135347
13	-0.108189	-0.7496	0.228591
14	0.042896	0.2972	0.383802
15	0.188214	1.304	0.099229
16	0.127091	0.8805	0.191484
17	0.025759	0.1785	0.429556
18	-0.05877	-0.4072	0.342845
19	-0.139363	-0.9655	0.169559
20	0.052751	0.3655	0.358184
21	0.06854	0.4749	0.318521
22	-0.009725	-0.0674	0.47328
23	0.026632	0.1845	0.427193
24	-0.030097	-0.2085	0.417853
25	-0.041891	-0.2902	0.386445
26	-0.095819	-0.6639	0.25498
27	-0.160973	-1.1153	0.135147
28	-0.131644	-0.9121	0.183148
29	-0.143162	-0.9919	0.163121
30	-0.124567	-0.863	0.196207
31	-0.030566	-0.2118	0.416592
32	-0.125579	-0.87	0.194306
33	-0.09086	-0.6295	0.266005
34	-0.076495	-0.53	0.299287
35	-0.120694	-0.8362	0.203596
36	-0.134366	-0.9309	0.178279
37	-0.187349	-1.298	0.100246
38	-0.10642	-0.7373	0.232264
39	-0.080763	-0.5595	0.289196
40	-0.032988	-0.2286	0.410095
41	0.020369	0.1411	0.444182
42	-0.023701	-0.1642	0.435129
43	0.00941	0.0652	0.474145
44	-0.04375	-0.3031	0.381559
45	-0.056636	-0.3924	0.348254
46	-0.04229	-0.293	0.385394
47	0.005331	0.0369	0.485346
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.434239	3.0085	0.002086
2	-0.05683	-0.3937	0.347761
3	-0.051407	-0.3562	0.361642
4	-0.00212	-0.0147	0.494172
5	0.26503	1.8362	0.036264
6	-0.049525	-0.3431	0.366504
7	0.08384	0.5809	0.282027
8	-0.003937	-0.0273	0.489175
9	0.048163	0.3337	0.370037
10	0.121778	0.8437	0.201511
11	-0.203051	-1.4068	0.082968
12	-0.171656	-1.1893	0.120092
13	0.063167	0.4376	0.331808
14	0.153296	1.0621	0.146761
15	0.027206	0.1885	0.425645
16	-0.025866	-0.1792	0.429265
17	0.012509	0.0867	0.465649
18	0.018079	0.1253	0.450422
19	-0.112867	-0.782	0.219038
20	0.118111	0.8183	0.208617
21	-0.017268	-0.1196	0.452635
22	-0.058142	-0.4028	0.344435
23	0.049996	0.3464	0.365285
24	-0.06955	-0.4819	0.316048
25	-0.11274	-0.7811	0.219294
26	-0.018496	-0.1281	0.449284
27	-0.050323	-0.3486	0.36444
28	-0.057673	-0.3996	0.345624
29	-0.044568	-0.3088	0.379414
30	-0.154108	-1.0677	0.145499
31	0.069606	0.4822	0.315911
32	-0.059789	-0.4142	0.340275
33	0.055729	0.3861	0.350563
34	-0.007711	-0.0534	0.478809
35	-0.057488	-0.3983	0.346091
36	-0.089991	-0.6235	0.267962
37	-0.076605	-0.5307	0.299024
38	-0.03241	-0.2245	0.411644
39	-0.004473	-0.031	0.487703
40	0.051593	0.3574	0.361161
41	-0.003658	-0.0253	0.489943
42	0.073245	0.5075	0.307079
43	0.044178	0.3061	0.380436
44	-0.051857	-0.3593	0.360483
45	0.006787	0.047	0.481344
46	0.021598	0.1496	0.440838
47	0.088192	0.611	0.272038
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066768jju1hlvygon0n3b/1jqgl1292066582.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066768jju1hlvygon0n3b/1jqgl1292066582.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066768jju1hlvygon0n3b/2czy61292066582.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292066768jju1hlvygon0n3b/2czy61292066582.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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