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AFC - Broodprijs

*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: Tue, 14 Dec 2010 10:37:03 +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/14/t1292323454isoiwonr7c74nlp.htm/, Retrieved Tue, 14 Dec 2010 11:44:14 +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/14/t1292323454isoiwonr7c74nlp.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 «

104.37 104.89 105.15 105.72 106.38 106.40 106.47 106.59 106.76 107.35 107.81 108.03 109.08 109.86 110.29 110.34 110.59 110.64 110.83 111.51 113.32 115.89 116.51 117.44 118.25 118.65 118.52 119.07 119.12 119.28 119.30 119.44 119.57 119.93 120.03 119.66 119.46 119.48 119.56 119.43 119.57 119.59 119.50 119.54 119.56 119.61 119.64 119.60 119.71 119.72 119.66 119.76 119.80 119.88 119.78 120.08 120.22

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.189284	-1.4038	0.083005
2	-0.196031	-1.4538	0.075841
3	0.004062	0.0301	0.488038
4	0.085455	0.6337	0.264436
5	-0.278359	-2.0644	0.021856
6	-0.023909	-0.1773	0.429957
7	-0.00613	-0.0455	0.481954
8	0.101401	0.752	0.227627
9	0.123448	0.9155	0.181959
10	-0.173117	-1.2839	0.102286
11	0.11517	0.8541	0.198372
12	0.073823	0.5475	0.29313
13	0.035599	0.264	0.396381
14	-0.165713	-1.229	0.11216
15	-0.055916	-0.4147	0.339992
16	-0.124535	-0.9236	0.179871
17	0.229906	1.705	0.046916
18	-0.083332	-0.618	0.26956
19	-0.057872	-0.4292	0.33473
20	0.114716	0.8508	0.199296
21	0.022072	0.1637	0.435288
22	-0.070304	-0.5214	0.302096
23	-0.048299	-0.3582	0.360783
24	0.102851	0.7628	0.224432
25	-0.015715	-0.1165	0.453824
26	-0.042173	-0.3128	0.377821
27	-0.033664	-0.2497	0.401891
28	0.094142	0.6982	0.244006
29	-0.064033	-0.4749	0.318377
30	0.024015	0.1781	0.429648
31	-0.009458	-0.0701	0.472166
32	0.031919	0.2367	0.406878
33	-0.083256	-0.6174	0.269744
34	0.058334	0.4326	0.333492
35	0.00293	0.0217	0.49137
36	0.014742	0.1093	0.456669
37	0.009574	0.071	0.471826
38	-0.045684	-0.3388	0.368026
39	0.042195	0.3129	0.377761
40	-0.020119	-0.1492	0.440968
41	-0.005936	-0.044	0.482524
42	-0.007837	-0.0581	0.476932
43	0.027287	0.2024	0.42019
44	-0.012061	-0.0894	0.464525
45	0.001737	0.0129	0.494885
46	0.000135	0.001	0.499602
47	0.000395	0.0029	0.498836
48	0.00384	0.0285	0.488692

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.189284	-1.4038	0.083005
2	-0.240475	-1.7834	0.040018
3	-0.096305	-0.7142	0.239058
4	0.018556	0.1376	0.445524
5	-0.299937	-2.2244	0.015123
6	-0.167047	-1.2389	0.11033
7	-0.222247	-1.6482	0.052503
8	-0.058755	-0.4357	0.332366
9	0.112802	0.8366	0.20323
10	-0.231703	-1.7184	0.045679
11	0.045604	0.3382	0.368246
12	-0.012182	-0.0903	0.464171
13	0.134175	0.9951	0.16203
14	0.019488	0.1445	0.442806
15	-0.176454	-1.3086	0.098053
16	-0.223726	-1.6592	0.051384
17	0.113833	0.8442	0.201104
18	-0.013738	-0.1019	0.45961
19	-0.065741	-0.4875	0.313905
20	-0.109862	-0.8148	0.209363
21	-0.19273	-1.4293	0.079283
22	0.017826	0.1322	0.447655
23	-0.066177	-0.4908	0.312766
24	0.018534	0.1375	0.445587
25	-0.056962	-0.4224	0.337174
26	-0.188701	-1.3994	0.083648
27	0.102677	0.7615	0.224814
28	0.050771	0.3765	0.353988
29	-0.08789	-0.6518	0.25862
30	-0.054763	-0.4061	0.343111
31	-0.150156	-1.1136	0.13515
32	0.08404	0.6233	0.267845
33	-0.042629	-0.3161	0.376544
34	-0.086529	-0.6417	0.261863
35	-0.070236	-0.5209	0.302269
36	-0.090097	-0.6682	0.253406
37	0.037553	0.2785	0.390835
38	-0.034302	-0.2544	0.400072
39	-0.062377	-0.4626	0.322739
40	-0.045766	-0.3394	0.367798
41	-0.072533	-0.5379	0.2964
42	0.041512	0.3079	0.379675
43	0.010103	0.0749	0.470274
44	-0.062499	-0.4635	0.322417
45	-0.089505	-0.6638	0.2548
46	0.020137	0.1493	0.440915
47	-0.017907	-0.1328	0.447417
48	-0.021977	-0.163	0.435562

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323454isoiwonr7c74nlp/11tvu1292323020.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323454isoiwonr7c74nlp/11tvu1292323020.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323454isoiwonr7c74nlp/21tvu1292323020.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323454isoiwonr7c74nlp/21tvu1292323020.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 2 ; 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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