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berekening 10

*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, 28 Dec 2010 14:01:16 +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/28/t1293544758ll088ckfk1j17f5.htm/, Retrieved Tue, 28 Dec 2010 14:59:20 +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/28/t1293544758ll088ckfk1j17f5.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 10 10 10 10 9.94 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 9.94 9.94 9.94 9.94 9.94 9.94 10.06 10.06 9.94 10.06 10.06 10.06 10.18 10.28 10.28 10.18 10.28 10.28 10.28 10.18 10.28 10.28 10.18 10.18 10.18 10.28 10.28 10.18 10.18 10.18 10.18 10.18 10.18 10.28 10.28 10.28 10.18 10.18 10.18 10.28 10.18 10.18 10.28 10.18 10.18 10.18 10.28 10.28 10.28 10.28 10.28 10.28 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.28 10.28 10.28 10.28 10.28 10.28 10.28 10.28 10.18 10.28 10.28 10.28 10.28 10.18 10.28 10.28 10.28 10.18 10.18 10.28 10.28 10.28 10.28 10.28 10.28 10.28 10.18 10.28 10.28 10.28 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.34 10.34 10.34 10.42 10.42 10.42 10.42 10.34 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.34 10.34 10.34 10.3 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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.971748	18.1797	0
2	0.951856	17.8076	0
3	0.937055	17.5307	0
4	0.924218	17.2905	0
5	0.912695	17.075	0
6	0.895207	16.7478	0
7	0.884479	16.5471	0
8	0.870258	16.281	0
9	0.855152	15.9984	0
10	0.84173	15.7473	0
11	0.833366	15.5909	0
12	0.825406	15.4419	0
13	0.815789	15.262	0
14	0.806649	15.091	0
15	0.794571	14.8651	0
16	0.782754	14.644	0
17	0.770302	14.411	0
18	0.760935	14.2358	0
19	0.752884	14.0852	0
20	0.740829	13.8596	0
21	0.727583	13.6118	0
22	0.712765	13.3346	0
23	0.700092	13.0975	0
24	0.68946	12.8986	0
25	0.67606	12.6479	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.971748	18.1797	0
2	0.13573	2.5393	0.00577
3	0.105002	1.9644	0.025137
4	0.060901	1.1394	0.127666
5	0.045746	0.8558	0.19634
6	-0.093038	-1.7406	0.041319
7	0.095149	1.7801	0.037965
8	-0.053252	-0.9962	0.159909
9	-0.025465	-0.4764	0.317044
10	0.010893	0.2038	0.41932
11	0.102887	1.9248	0.02753
12	0.014625	0.2736	0.392273
13	0.01559	0.2917	0.385359
14	0.00846	0.1583	0.437164
15	-0.05663	-1.0595	0.145063
16	-0.028718	-0.5373	0.295713
17	-0.017172	-0.3213	0.374104
18	0.034425	0.644	0.259991
19	0.023567	0.4409	0.32978
20	-0.043518	-0.8141	0.208058
21	-0.036278	-0.6787	0.248886
22	-0.046168	-0.8637	0.194166
23	0.000849	0.0159	0.493671
24	0.029135	0.5451	0.293029
25	-0.046575	-0.8713	0.192083

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293544758ll088ckfk1j17f5/1qzs91293544874.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293544758ll088ckfk1j17f5/1qzs91293544874.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293544758ll088ckfk1j17f5/218rc1293544874.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293544758ll088ckfk1j17f5/218rc1293544874.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ; 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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