Goudprijs-ACF

*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: Mon, 20 Dec 2010 12:17:14 +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/20/t1292847332e20xuhp20givf1v.htm/, Retrieved Mon, 20 Dec 2010 13:15:36 +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/20/t1292847332e20xuhp20givf1v.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:

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9 026 9 787 9 536 9 490 9 736 9 694 9 647 9 753 10 070 10 137 9 984 9 732 9 103 9 155 9 308 9 394 9 948 10 177 10 002 9 728 10 002 10 063 10 018 9 960 10 236 10 893 10 756 10 940 10 997 10 827 10 166 10 186 10 457 10 368 10 244 10 511 10 812 10 738 10 171 9 721 9 897 9 828 9 924 10 371 10 846 10 413 10 709 10 662 10 570 10 297 10 635 10 872 10 296 10 383 10 431 10 574 10 653 10 805 10 872 10 625 10 407 10 463 10 556 10 646 10 702 11 353 11 346 11 451 11 964 12 574 13 031 13 812 14 544 14 931 14 886 16 005 17 064 15 168 16 050 15 839 15 137 14 954 15 648 15 305 15 579 16 348 15 928 16 171 15 937 15 713 15 594 15 683 16 438 17 032 17 696 17 745 19 394 20 148 20 108 18 584 18 441 18 391 19 178 18 079 18 483 19 644 19 195 19 650 20 830 23 595 22 937 21 814 21 928 21 777 21 383 21 467 22 052 22 680 24 320 24 977 25 204 25 739 26 434 27 525 30 695 32 436 30 160 30 236 31 293 31 077 32 22 etc...

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 0.117449 1.3391 0.091433 2 -0.161636 -1.8429 0.033808 3 0.080328 0.9159 0.180714 4 0.074291 0.847 0.199264 5 -0.079816 -0.91 0.182242 6 0.006419 0.0732 0.470883 7 0.084176 0.9598 0.16948 8 -0.043173 -0.4922 0.311687 9 0.041252 0.4703 0.319448 10 -0.062054 -0.7075 0.240252 11 0.065097 0.7422 0.229647 12 0.107108 1.2212 0.112107 13 0.032456 0.3701 0.355973 14 -0.051004 -0.5815 0.280942 15 0.151989 1.7329 0.042739 16 0.139775 1.5937 0.056718 17 -0.119604 -1.3637 0.087509 18 -0.084392 -0.9622 0.168863 19 -0.040726 -0.4644 0.321586 20 0.058761 0.67 0.252028 21 -0.015776 -0.1799 0.428764 22 0.09401 1.0719 0.142881 23 0.079427 0.9056 0.183411 24 -0.027966 -0.3189 0.375171 25 -0.043464 -0.4956 0.31052 26 0.061687 0.7033 0.241551 27 0.115909 1.3216 0.094317 28 0.047802 0.545 0.293336 29 -0.011877 -0.1354 0.446245 30 -0.051569 -0.588 0.278785 31 0.023719 0.2704 0.393628 32 -0.032337 -0.3687 0.356475 33 0.040372 0.4603 0.323031 34 0.047841 0.5455 0.293182 35 -0.076884 -0.8766 0.191157 36 0.006848 0.0781 0.468942 37 0.019103 0.2178 0.413961 38 -0.022181 -0.2529 0.400371 39 0.001151 0.0131 0.494775 40 0.065135 0.7427 0.229515 41 -0.079427 -0.9056 0.183411 42 -0.038193 -0.4355 0.331972 43 0.04777 0.5447 0.29346 44 -0.087836 -1.0015 0.159227 45 -0.05607 -0.6393 0.261879 46 0.056061 0.6392 0.261911 47 0.001168 0.0133 0.494697 48 -0.019846 -0.2263 0.410668 49 0.147655 1.6835 0.047337 50 0.030956 0.3529 0.36235 51 -0.012041 -0.1373 0.445508 52 0.085544 0.9753 0.1656 53 0.01249 0.1424 0.44349 54 0.050157 0.5719 0.284197 55 -0.002407 -0.0274 0.489072 56 -0.018765 -0.214 0.415458 57 -0.065915 -0.7516 0.22684 58 -0.002825 -0.0322 0.487177 59 0.018354 0.2093 0.417285 60 -0.012421 -0.1416 0.443797 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.117449 1.3391 0.091433 2 -0.177884 -2.0282 0.022292 3 0.129404 1.4754 0.071257 4 0.015425 0.1759 0.430334 5 -0.061216 -0.698 0.243222 6 0.037391 0.4263 0.335287 7 0.045212 0.5155 0.303542 8 -0.047807 -0.5451 0.293316 9 0.087733 1.0003 0.15951 10 -0.127062 -1.4487 0.074911 11 0.133475 1.5218 0.065238 12 0.050965 0.5811 0.281092 13 0.037714 0.43 0.333952 14 -0.03497 -0.3987 0.345375 15 0.165328 1.885 0.030829 16 0.06122 0.698 0.243206 17 -0.069511 -0.7925 0.214744 18 -0.077867 -0.8878 0.188139 19 -0.084788 -0.9667 0.167738 20 0.078027 0.8896 0.18765 21 -0.013189 -0.1504 0.440349 22 0.107765 1.2287 0.1107 23 0.037966 0.4329 0.332908 24 -0.039742 -0.4531 0.325605 25 -0.012428 -0.1417 0.443769 26 0.059195 0.6749 0.250462 27 0.041099 0.4686 0.32007 28 0.065681 0.7489 0.227643 29 -0.03435 -0.3917 0.347978 30 -0.020474 -0.2334 0.407892 31 -0.014547 -0.1659 0.434261 32 -0.02751 -0.3137 0.377139 33 0.097574 1.1125 0.133985 34 0.025527 0.2911 0.385735 35 -0.128139 -1.461 0.073213 36 0.040675 0.4638 0.321796 37 -0.057394 -0.6544 0.257009 38 -0.046402 -0.5291 0.298831 39 0.044158 0.5035 0.307738 40 0.040869 0.466 0.321003 41 -0.069803 -0.7959 0.213777 42 -0.032646 -0.3722 0.355165 43 -0.031772 -0.3623 0.358873 44 -0.082115 -0.9363 0.175438 45 0.018739 0.2137 0.415577 46 0.046646 0.5318 0.297869 47 0.007195 0.082 0.467373 48 -0.003394 -0.0387 0.484594 49 0.074099 0.8449 0.199871 50 0.030888 0.3522 0.362638 51 0.067474 0.7693 0.221549 52 0.076667 0.8741 0.191828 53 -0.007455 -0.085 0.466196 54 0.077932 0.8886 0.187941 55 -0.086099 -0.9817 0.164041 56 -0.003593 -0.041 0.483692 57 -0.00299 -0.0341 0.486428 58 0.003209 0.0366 0.485433 59 0.031334 0.3573 0.360739 60 -0.031533 -0.3595 0.35989

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292847332e20xuhp20givf1v/1j7c51292847431.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292847332e20xuhp20givf1v/1j7c51292847431.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292847332e20xuhp20givf1v/2czuq1292847431.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292847332e20xuhp20givf1v/2czuq1292847431.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292847332e20xuhp20givf1v/3czuq1292847431.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292847332e20xuhp20givf1v/3czuq1292847431.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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')

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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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