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Faillissementen Brussel

*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 10:47:49 +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/t1292323574pqcpd338xy1moja.htm/, Retrieved Tue, 14 Dec 2010 11:46:16 +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/t1292323574pqcpd338xy1moja.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 «

89 97 154 81 110 116 73 73 174 103 130 91 136 106 136 122 131 135 75 68 143 115 93 128 152 125 107 116 220 137 34 51 153 145 116 145 98 118 139 140 113 149 79 47 166 180 122 134 114 125 181 142 143 187 137 62 239 157 139 187 99 146 175 148 130 183 115 80 223 131 201 157

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.024721	0.2098	0.417223
2	-0.156379	-1.3269	0.094365
3	0.186824	1.5853	0.058646
4	0.062012	0.5262	0.300186
5	0.086723	0.7359	0.2321
6	0.303902	2.5787	0.005981
7	0.040101	0.3403	0.367321
8	0.016417	0.1393	0.444799
9	0.183418	1.5564	0.062005
10	-0.192208	-1.6309	0.053635
11	0.078459	0.6657	0.253849
12	0.54846	4.6538	7e-06
13	0.02015	0.171	0.432361
14	-0.119421	-1.0133	0.157151
15	0.029462	0.25	0.401651
16	-0.007156	-0.0607	0.475875
17	0.073766	0.6259	0.266673
18	0.193938	1.6456	0.052101
19	-0.046374	-0.3935	0.347559
20	-0.002036	-0.0173	0.493132
21	0.073717	0.6255	0.266808
22	-0.176231	-1.4954	0.069594
23	-0.045796	-0.3886	0.349364
24	0.286481	2.4309	0.008777
25	0.027052	0.2295	0.409549
26	-0.133109	-1.1295	0.131224
27	-0.062521	-0.5305	0.298696
28	-0.09074	-0.77	0.221924
29	0.006525	0.0554	0.477998
30	0.1228	1.042	0.150451
31	-0.019663	-0.1668	0.433978
32	-0.129346	-1.0975	0.138032
33	0.063644	0.54	0.295419
34	-0.122663	-1.0408	0.150719
35	-0.095723	-0.8122	0.209666
36	0.163806	1.3899	0.084415
37	0.031954	0.2711	0.393529
38	-0.182075	-1.545	0.063371
39	-0.085395	-0.7246	0.235523
40	-0.050978	-0.4326	0.333311
41	-0.079662	-0.676	0.250618
42	0.101932	0.8649	0.194976
43	-0.060272	-0.5114	0.30531
44	-0.075249	-0.6385	0.262584
45	-0.028042	-0.2379	0.406301
46	-0.085901	-0.7289	0.234216
47	-0.129041	-1.095	0.138594
48	0.068272	0.5793	0.282096

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.024721	0.2098	0.417223
2	-0.157086	-1.3329	0.093381
3	0.200241	1.6991	0.046809
4	0.021783	0.1848	0.426939
5	0.153544	1.3029	0.098387
6	0.293129	2.4873	0.007595
7	0.055557	0.4714	0.319384
8	0.093083	0.7898	0.216109
9	0.103599	0.8791	0.191144
10	-0.285509	-2.4226	0.008963
11	0.058011	0.4922	0.312023
12	0.41048	3.483	0.000424
13	0.058178	0.4937	0.311525
14	-0.006429	-0.0546	0.478322
15	-0.180236	-1.5294	0.065279
16	-0.073408	-0.6229	0.267664
17	-0.055039	-0.467	0.320949
18	-0.041084	-0.3486	0.3642
19	-0.01854	-0.1573	0.437717
20	0.000208	0.0018	0.499299
21	-0.004233	-0.0359	0.485723
22	-0.011439	-0.0971	0.461472
23	-0.172154	-1.4608	0.074214
24	-0.017989	-0.1526	0.439555
25	0.011503	0.0976	0.461259
26	0.003396	0.0288	0.488546
27	0.010071	0.0855	0.466067
28	-0.059427	-0.5043	0.307811
29	-0.048414	-0.4108	0.341216
30	0.014927	0.1267	0.449781
31	0.077524	0.6578	0.256378
32	-0.099767	-0.8466	0.200024
33	0.090391	0.767	0.222797
34	0.027017	0.2292	0.409663
35	0.036397	0.3088	0.379168
36	0.001338	0.0114	0.495487
37	-0.024236	-0.2056	0.418822
38	-0.12803	-1.0864	0.140469
39	-0.03947	-0.3349	0.369332
40	0.044701	0.3793	0.35279
41	-0.032448	-0.2753	0.391927
42	-0.016968	-0.144	0.442959
43	-0.061005	-0.5176	0.303145
44	0.131087	1.1123	0.134852
45	-0.12803	-1.0864	0.14047
46	0.012502	0.1061	0.457905
47	-0.110452	-0.9372	0.175891
48	-0.041032	-0.3482	0.364366

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323574pqcpd338xy1moja/1k9b11292323666.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323574pqcpd338xy1moja/1k9b11292323666.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323574pqcpd338xy1moja/2k9b11292323666.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292323574pqcpd338xy1moja/2k9b11292323666.ps (open in new window)

Parameters (Session):

par1 = 12 ;

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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