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Autocorrelatiefunctie - Uitvoer - d=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: Fri, 17 Dec 2010 07:55:57 +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/17/t1292572474mdin27ne2v4acih.htm/, Retrieved Fri, 17 Dec 2010 08:54:36 +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/17/t1292572474mdin27ne2v4acih.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 «

16198.9 16554.2 19554.2 15903.8 18003.8 18329.6 16260.7 14851.9 18174.1 18406.6 18466.5 16016.5 17428.5 17167.2 19630 17183.6 18344.7 19301.4 18147.5 16192.9 18374.4 20515.2 18957.2 16471.5 18746.8 19009.5 19211.2 20547.7 19325.8 20605.5 20056.9 16141.4 20359.8 19711.6 15638.6 14384.5 13855.6 14308.3 15290.6 14423.8 13779.7 15686.3 14733.8 12522.5 16189.4 16059.1 16007.1 15806.8 15160 15692.1 18908.9 16969.9 16997.5 19858.9 17681.2

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	9 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.36191	-2.3454	0.011901
2	0.029211	0.1893	0.425382
3	0.453577	2.9395	0.002662
4	-0.270871	-1.7554	0.043238
5	0.127477	0.8261	0.206694
6	0.18569	1.2034	0.117779
7	-0.303044	-1.9639	0.028089
8	0.160679	1.0413	0.151842
9	-0.104298	-0.6759	0.251396
10	-0.143724	-0.9314	0.178475
11	0.08584	0.5563	0.290476
12	-0.15516	-1.0055	0.160195
13	-0.156656	-1.0152	0.157901
14	0.079885	0.5177	0.303686
15	-0.070628	-0.4577	0.324755
16	-0.065909	-0.4271	0.33573
17	0.016214	0.1051	0.458407
18	-0.036065	-0.2337	0.408165
19	-0.027517	-0.1783	0.429661
20	0.101391	0.6571	0.257355
21	-0.04808	-0.3116	0.378446
22	-0.015713	-0.1018	0.459688
23	0.155912	1.0104	0.159039
24	-0.198392	-1.2857	0.102791
25	0.103917	0.6735	0.252173
26	0.058515	0.3792	0.353218
27	-0.134416	-0.8711	0.194322
28	0.057722	0.3741	0.355114
29	0.070484	0.4568	0.325087
30	-0.098695	-0.6396	0.262948
31	0.032726	0.2121	0.416531
32	0.041159	0.2667	0.395487
33	-0.065099	-0.4219	0.337628
34	-0.017166	-0.1112	0.455974
35	0.053055	0.3438	0.366343
36	-0.035511	-0.2301	0.409552
37	-0.016069	-0.1041	0.458778
38	0.025132	0.1629	0.4357
39	-0.022732	-0.1473	0.441792
40	0.001233	0.008	0.496831
41	0.007834	0.0508	0.479876
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.36191	-2.3454	0.011901
2	-0.117107	-0.7589	0.226064
3	0.493528	3.1984	0.001314
4	0.096396	0.6247	0.267768
5	0.01004	0.0651	0.474216
6	0.026202	0.1698	0.432988
7	-0.210561	-1.3646	0.089824
8	-0.118676	-0.7691	0.223066
9	-0.222193	-1.44	0.078644
10	-0.073585	-0.4769	0.317957
11	-0.007837	-0.0508	0.479868
12	0.019252	0.1248	0.45065
13	-0.158448	-1.0269	0.155182
14	-0.088122	-0.5711	0.285488
15	0.12474	0.8084	0.211706
16	0.097838	0.6341	0.26474
17	-0.03857	-0.25	0.401918
18	-0.088625	-0.5744	0.284395
19	-0.080073	-0.5189	0.303265
20	0.049645	0.3217	0.374625
21	-0.002396	-0.0155	0.493843
22	-0.092746	-0.6011	0.275514
23	0.090294	0.5852	0.280781
24	-0.163696	-1.0609	0.147406
25	-0.116514	-0.7551	0.227202
26	-0.111109	-0.7201	0.237736
27	0.093428	0.6055	0.274057
28	0.02914	0.1888	0.42556
29	0.098659	0.6394	0.263023
30	0.056872	0.3686	0.35715
31	-0.127507	-0.8263	0.20664
32	-0.009054	-0.0587	0.476744
33	-0.039677	-0.2571	0.399164
34	-0.114737	-0.7436	0.230635
35	-0.07051	-0.457	0.325028
36	0.054552	0.3535	0.362727
37	-0.035122	-0.2276	0.410524
38	-0.051305	-0.3325	0.370586
39	0.035041	0.2271	0.410727
40	0.046266	0.2998	0.38289
41	-0.034143	-0.2213	0.412976
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/17/t1292572474mdin27ne2v4acih/1llqa1292572547.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/17/t1292572474mdin27ne2v4acih/1llqa1292572547.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/17/t1292572474mdin27ne2v4acih/2llqa1292572547.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/17/t1292572474mdin27ne2v4acih/2llqa1292572547.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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