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ACF bij d=1 en 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 13:51:58 +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/t12925937964rinua3hb1dfsp8.htm/, Retrieved Fri, 17 Dec 2010 14:49:57 +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/t12925937964rinua3hb1dfsp8.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 «

548604 563668 586111 604378 600991 544686 537034 551531 563250 574761 580112 575093 557560 564478 580523 596594 586570 536214 523597 536535 536322 532638 528222 516141 501866 506174 517945 533590 528379 477580 469357 490243 492622 507561 516922 514258 509846 527070 541657 564591 555362 498662 511038 525919 531673 548854 560576 557274 565742 587625 619916 625809 619567 572942 572775 574205 579799 590072 593408 597141 595404 612117 628232 628884 620735 569028 567456 573100 584428 589379 590865 595454 594167

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.21994	1.7036	0.046811
2	0.284352	2.2026	0.015739
3	0.337032	2.6106	0.005699
4	0.200118	1.5501	0.063188
5	0.125277	0.9704	0.167873
6	0.196558	1.5225	0.066565
7	0.078285	0.6064	0.27327
8	0.134449	1.0414	0.150925
9	0.01997	0.1547	0.438793
10	-0.1355	-1.0496	0.14906
11	0.15888	1.2307	0.111622
12	-0.233377	-1.8077	0.037831
13	-0.185353	-1.4357	0.078135
14	-0.034775	-0.2694	0.394285
15	-0.065993	-0.5112	0.305549
16	-0.154007	-1.1929	0.118795
17	-0.058468	-0.4529	0.326131
18	-0.149729	-1.1598	0.125364
19	-0.090823	-0.7035	0.242229
20	-0.162059	-1.2553	0.107118
21	-0.281688	-2.1819	0.016521
22	-0.110531	-0.8562	0.197656
23	-0.207964	-1.6109	0.056227
24	-0.221451	-1.7154	0.04572
25	-0.089487	-0.6932	0.245441
26	-0.147298	-1.141	0.12921
27	-0.276448	-2.1414	0.018158
28	-0.182809	-1.416	0.080969
29	-0.153335	-1.1877	0.11981
30	-0.101473	-0.786	0.217479
31	-0.010822	-0.0838	0.466736
32	-0.075792	-0.5871	0.279675
33	0.053561	0.4149	0.339854
34	0.008536	0.0661	0.47375
35	0.063457	0.4915	0.312419
36	0.026505	0.2053	0.419014
37	0.032933	0.2551	0.39976
38	0.043687	0.3384	0.368121
39	0.068435	0.5301	0.299002
40	0.100975	0.7821	0.218602
41	0.107922	0.836	0.203247
42	0.126001	0.976	0.166491
43	0.038345	0.297	0.383738
44	0.07582	0.5873	0.279603
45	-0.005159	-0.04	0.484127
46	0.004524	0.035	0.48608
47	0.026402	0.2045	0.419323
48	0.034799	0.2696	0.394214
49	0.053238	0.4124	0.340765
50	0.017	0.1317	0.447839
51	0.014009	0.1085	0.456977
52	-0.007511	-0.0582	0.476899
53	-0.00282	-0.0218	0.491323
54	-0.010933	-0.0847	0.466396
55	-0.00335	-0.0259	0.489693
56	0.010549	0.0817	0.467575
57	0.001335	0.0103	0.495891
58	-0.002794	-0.0216	0.491403
59	-0.001147	-0.0089	0.49647
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.21994	1.7036	0.046811
2	0.247974	1.9208	0.029756
3	0.263641	2.0422	0.02277
4	0.060538	0.4689	0.320413
5	-0.051708	-0.4005	0.345095
6	0.057291	0.4438	0.329402
7	-0.035889	-0.278	0.390985
8	0.062148	0.4814	0.315994
9	-0.086591	-0.6707	0.252484
10	-0.237886	-1.8427	0.035161
11	0.200208	1.5508	0.063104
12	-0.273274	-2.1168	0.019218
13	-0.121633	-0.9422	0.174943
14	0.054328	0.4208	0.337694
15	0.109074	0.8449	0.200766
16	0.011331	0.0878	0.465176
17	-0.067205	-0.5206	0.302292
18	-0.04367	-0.3383	0.368172
19	-0.009444	-0.0732	0.470963
20	-0.082617	-0.64	0.26232
21	-0.184375	-1.4282	0.079215
22	-0.136696	-1.0588	0.146958
23	0.00273	0.0211	0.4916
24	-0.02267	-0.1756	0.430601
25	-0.005678	-0.044	0.482533
26	-0.071515	-0.554	0.290834
27	-0.120802	-0.9357	0.176582
28	-0.080171	-0.621	0.268475
29	0.037079	0.2872	0.38747
30	0.039399	0.3052	0.38064
31	0.119453	0.9253	0.179264
32	0.002102	0.0163	0.493531
33	-0.014763	-0.1144	0.454669
34	-0.090193	-0.6986	0.243742
35	0.101399	0.7854	0.217645
36	-0.093406	-0.7235	0.236086
37	-0.129116	-1.0001	0.160633
38	0.024476	0.1896	0.425134
39	-0.050393	-0.3903	0.348832
40	0.012157	0.0942	0.462645
41	0.007637	0.0592	0.476513
42	0.025143	0.1948	0.42312
43	0.009061	0.0702	0.472139
44	-0.059604	-0.4617	0.322987
45	-0.091032	-0.7051	0.241729
46	-0.142599	-1.1046	0.136879
47	0.064075	0.4963	0.310741
48	-0.024382	-0.1889	0.425421
49	-0.079809	-0.6182	0.269392
50	-0.101235	-0.7842	0.218015
51	-0.01555	-0.1204	0.452265
52	0.033931	0.2628	0.396791
53	-0.002563	-0.0199	0.492114
54	0.002483	0.0192	0.492358
55	-0.072361	-0.5605	0.288611
56	0.038772	0.3003	0.382483
57	-0.017931	-0.1389	0.445
58	-0.06725	-0.5209	0.30217
59	0.027114	0.21	0.417182
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/17/t12925937964rinua3hb1dfsp8/1vy721292593915.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/17/t12925937964rinua3hb1dfsp8/1vy721292593915.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/17/t12925937964rinua3hb1dfsp8/2vy721292593915.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/17/t12925937964rinua3hb1dfsp8/2vy721292593915.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ;

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 (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='lags',ylab='ACF')

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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