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biefstuk 3 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: Tue, 14 Dec 2010 15:38:53 +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/t12923411570ncdojkqzchipw0.htm/, Retrieved Tue, 14 Dec 2010 16:39:17 +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/t12923411570ncdojkqzchipw0.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 «

10,92 10,98 11,15 11,19 11,33 11,38 11,4 11,45 11,56 11,61 11,82 11,77 11,85 11,82 11,92 11,86 11,87 11,94 11,86 11,92 11,83 11,91 11,93 11,99 11,96 12,12 11,85 12,01 12,1 12,21 12,31 12,31 12,39 12,35 12,41 12,51 12,27 12,51 12,44 12,47 12,51 12,58 12,5 12,52 12,59 12,51 12,67 12,64 12,54 12,66 12,67 12,62 12,72 12,85 12,85 12,82

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.471549	-3.4971	0.000469
2	0.187778	1.3926	0.084672
3	0.046152	0.3423	0.366724
4	-0.037127	-0.2753	0.392044
5	-0.033213	-0.2463	0.403177
6	0.107481	0.7971	0.21441
7	0.05888	0.4367	0.332031
8	-0.087089	-0.6459	0.260524
9	0.047666	0.3535	0.362533
10	0.0219	0.1624	0.435786
11	-0.202539	-1.5021	0.0694
12	0.159204	1.1807	0.121404
13	-0.065342	-0.4846	0.314946
14	-0.124048	-0.92	0.180804
15	0.07478	0.5546	0.290713
16	-0.039631	-0.2939	0.384965
17	-0.091778	-0.6806	0.249477
18	0.029964	0.2222	0.412483
19	0.042972	0.3187	0.375584
20	-0.040679	-0.3017	0.382016
21	0.081843	0.607	0.273186
22	-0.027622	-0.2049	0.419222
23	0.037315	0.2767	0.39151
24	-0.068125	-0.5052	0.307707
25	0.201656	1.4955	0.070248
26	-0.189687	-1.4068	0.082563
27	0.123584	0.9165	0.181697
28	-0.040381	-0.2995	0.382854
29	0.026188	0.1942	0.423362
30	0.042246	0.3133	0.377618
31	-0.030431	-0.2257	0.411141
32	-0.029195	-0.2165	0.414693
33	0.028526	0.2116	0.416617
34	-0.099661	-0.7391	0.231493
35	0.001214	0.009	0.496426
36	0.040621	0.3013	0.382179

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.471549	-3.4971	0.000469
2	-0.044468	-0.3298	0.371407
3	0.151613	1.1244	0.132864
4	0.06741	0.4999	0.30956
5	-0.073872	-0.5478	0.293007
6	0.057956	0.4298	0.334506
7	0.20529	1.5225	0.06681
8	0.016683	0.1237	0.450991
9	-0.082345	-0.6107	0.271961
10	0.002933	0.0218	0.491362
11	-0.197289	-1.4631	0.074561
12	-0.042626	-0.3161	0.376553
13	0.01278	0.0948	0.462416
14	-0.162915	-1.2082	0.116068
15	-0.087968	-0.6524	0.258435
16	0.004148	0.0308	0.487785
17	-0.034299	-0.2544	0.40008
18	-0.025349	-0.188	0.425788
19	0.048283	0.3581	0.360829
20	0.100299	0.7438	0.230071
21	0.168211	1.2475	0.108752
22	0.011559	0.0857	0.465998
23	0.068351	0.5069	0.307125
24	-0.042681	-0.3165	0.376399
25	0.124048	0.92	0.180805
26	-0.066042	-0.4898	0.313119
27	-0.108597	-0.8054	0.212034
28	-0.148025	-1.0978	0.138541
29	-0.003507	-0.026	0.489672
30	0.112043	0.8309	0.204801
31	-0.032889	-0.2439	0.404104
32	-0.128743	-0.9548	0.171932
33	0.030846	0.2288	0.409951
34	0.002326	0.0173	0.493149
35	-0.070143	-0.5202	0.302507
36	0.075383	0.5591	0.289196

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t12923411570ncdojkqzchipw0/138sw1292341130.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t12923411570ncdojkqzchipw0/138sw1292341130.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t12923411570ncdojkqzchipw0/2e09z1292341130.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t12923411570ncdojkqzchipw0/2e09z1292341130.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

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