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Statistiek: ACF D=0 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: Sun, 19 Dec 2010 12:30:15 +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/19/t12927616905cr4uzzyg0fgdse.htm/, Retrieved Sun, 19 Dec 2010 13:28:10 +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/19/t12927616905cr4uzzyg0fgdse.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 «

6.5 6.3 5.9 5.5 5.2 4.9 5.4 5.8 5.7 5.6 5.5 5.4 5.4 5.4 5.5 5.8 5.7 5.4 5.6 5.8 6.2 6.8 6.7 6.7 6.4 6.3 6.3 6.4 6.3 6 6.3 6.3 6.6 7.5 7.8 7.9 7.8 7.6 7.5 7.6 7.5 7.3 7.6 7.5 7.6 7.9 7.9 8.1 8.2 8 7.5 6.8 6.5 6.6 7.6 8 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 8 7.8 7.4 7.4 7.7 7.8 7.8 8 8.1 8.4

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	0.420361	4.5856	6e-06
2	-0.084225	-0.9188	0.180033
3	-0.408441	-4.4556	1e-05
4	-0.431285	-4.7048	3e-06
5	-0.066113	-0.7212	0.236098
6	0.240583	2.6244	0.004908
7	0.19541	2.1317	0.017545
8	-0.021227	-0.2316	0.408638
9	-0.129623	-1.414	0.079984
10	-0.18835	-2.0547	0.021051
11	-0.017438	-0.1902	0.424728
12	0.314308	3.4287	0.000417
13	0.145378	1.5859	0.05771
14	0.136785	1.4922	0.069153
15	0.059687	0.6511	0.258115
16	-0.151966	-1.6578	0.05
17	-0.16222	-1.7696	0.039677
18	-0.143075	-1.5608	0.060618
19	-0.063527	-0.693	0.244831
20	0.01549	0.169	0.43305
21	0.11969	1.3057	0.097092
22	-0.00309	-0.0337	0.486582
23	-0.106935	-1.1665	0.122868
24	-0.023897	-0.2607	0.397392

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.420361	4.5856	6e-06
2	-0.316931	-3.4573	0.000379
3	-0.308654	-3.367	0.000512
4	-0.190568	-2.0788	0.01989
5	0.147871	1.6131	0.054688
6	0.070602	0.7702	0.221362
7	-0.172827	-1.8853	0.030913
8	-0.143282	-1.563	0.060351
9	0.093422	1.0191	0.155108
10	-0.074524	-0.813	0.208933
11	0.005928	0.0647	0.474275
12	0.296851	3.2383	0.000779
13	-0.237983	-2.5961	0.005308
14	0.285655	3.1161	0.001149
15	0.193987	2.1162	0.018208
16	-0.159454	-1.7394	0.042272
17	-0.058477	-0.6379	0.262378
18	-0.043857	-0.4784	0.316614
19	0.085095	0.9283	0.177572
20	-0.130426	-1.4228	0.078708
21	-0.031038	-0.3386	0.367758
22	-0.063457	-0.6922	0.245071
23	-0.164799	-1.7977	0.037376
24	0.04312	0.4704	0.31947

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927616905cr4uzzyg0fgdse/1pp331292761811.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927616905cr4uzzyg0fgdse/1pp331292761811.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927616905cr4uzzyg0fgdse/2zzlo1292761811.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927616905cr4uzzyg0fgdse/2zzlo1292761811.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927616905cr4uzzyg0fgdse/3zzlo1292761811.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927616905cr4uzzyg0fgdse/3zzlo1292761811.ps (open in new window)

Parameters (Session):

par1 = 24 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 24 ; par2 = 1 ; par3 = 1 ; 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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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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