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autocorrelatie zonder trend

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 02 May 2010 08:39:16 +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/May/02/t12727895882rl6wgxzizxdtc2.htm/, Retrieved Sun, 02 May 2010 10:39:48 +0200

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/May/02/t12727895882rl6wgxzizxdtc2.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

2.17 2.18 2.18 2.18 2.17 2.17 2.18 2.17 2.18 2.17 2.17 2.17 2.17 2.17 2.17 2.17 2.17 2.17 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.18 2.19 2.19 2.19 2.20 2.20 2.21 2.21 2.21 2.20 2.21 2.20 2.21 2.21 2.22 2.22 2.23 2.24 2.24 2.25 2.25 2.32 2.36 2.37 2.37 2.37 2.38 2.38 2.41 2.42 2.43 2.44 2.44 2.44 2.43 2.43 2.43 2.42 2.42 2.42 2.42 2.42

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	0.259712	2.1884	0.015967
2	0.21399	1.8031	0.037807
3	-0.009121	-0.0769	0.469479
4	0.052122	0.4392	0.33093
5	0.135538	1.1421	0.128632
6	0.06046	0.5094	0.306011
7	0.276918	2.3333	0.011233
8	0.020546	0.1731	0.431523
9	0.115049	0.9694	0.167813
10	-0.041541	-0.35	0.363676
11	-0.039012	-0.3287	0.371668
12	-0.11409	-0.9613	0.169822
13	-0.155908	-1.3137	0.096587
14	-0.067964	-0.5727	0.284338
15	-0.047165	-0.3974	0.346126
16	-0.055722	-0.4695	0.320067
17	-0.034923	-0.2943	0.384706
18	-0.021307	-0.1795	0.429014
19	-0.107472	-0.9056	0.184111
20	-0.026711	-0.2251	0.411286
21	-0.034019	-0.2867	0.387607
22	-0.024307	-0.2048	0.419152
23	-0.043951	-0.3703	0.356115
24	-0.023152	-0.1951	0.422942
25	-0.020623	-0.1738	0.431269
26	-0.007007	-0.059	0.476542
27	-0.052729	-0.4443	0.329088
28	-0.005852	-0.0493	0.480404
29	-0.040487	-0.3412	0.366998
30	-0.026871	-0.2264	0.410762
31	-0.072593	-0.6117	0.271351
32	-0.025717	-0.2167	0.414534
33	-0.030995	-0.2612	0.397359
34	0.026968	0.2272	0.410446
35	-0.052014	-0.4383	0.331257
36	-0.045581	-0.3841	0.351036
37	-0.058043	-0.4891	0.313148
38	-0.044426	-0.3743	0.354632
39	-0.038618	-0.3254	0.372917
40	-0.047176	-0.3975	0.346092
41	-0.004203	-0.0354	0.485924
42	-0.134716	-1.1351	0.130069
43	0.008039	0.0677	0.473094
44	-0.089214	-0.7517	0.22735
45	-0.001894	-0.016	0.493657
46	-0.010451	-0.0881	0.465037
47	-0.11879	-1.0009	0.160127
48	-0.064731	-0.5454	0.293584

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.259712	2.1884	0.015967
2	0.157139	1.3241	0.094862
3	-0.106401	-0.8966	0.186494
4	0.048146	0.4057	0.343096
5	0.152985	1.2891	0.100779
6	-0.027997	-0.2359	0.407091
7	0.248774	2.0962	0.019815
8	-0.101537	-0.8556	0.197559
9	0.04055	0.3417	0.366802
10	-0.042209	-0.3557	0.361575
11	-0.081465	-0.6864	0.247338
12	-0.137294	-1.1569	0.125604
13	-0.098382	-0.829	0.204946
14	-0.073358	-0.6181	0.269234
15	0.052486	0.4423	0.329826
16	-0.100755	-0.849	0.199373
17	0.070551	0.5945	0.277044
18	0.053066	0.4471	0.328067
19	-0.065378	-0.5509	0.291721
20	0.105708	0.8907	0.188047
21	0.036305	0.3059	0.380285
22	-0.063663	-0.5364	0.296668
23	0.020151	0.1698	0.432828
24	-0.045417	-0.3827	0.351546
25	-0.058891	-0.4962	0.310634
26	0.027408	0.2309	0.409011
27	-0.134459	-1.133	0.130518
28	0.045429	0.3828	0.351509
29	-0.043207	-0.3641	0.358443
30	-0.028035	-0.2362	0.406968
31	-0.029924	-0.2521	0.40083
32	0.01602	0.135	0.446502
33	-0.021147	-0.1782	0.429542
34	0.14184	1.1952	0.118
35	-0.168602	-1.4207	0.079895
36	0.057126	0.4814	0.315873
37	-0.035876	-0.3023	0.381656
38	-0.040764	-0.3435	0.366126
39	-0.029688	-0.2502	0.401593
40	-0.016372	-0.138	0.445332
41	-0.074281	-0.6259	0.266694
42	-0.0684	-0.5763	0.283102
43	0.011981	0.101	0.459935
44	-0.050501	-0.4255	0.335868
45	0.030096	0.2536	0.400271
46	0.023086	0.1945	0.42316
47	-0.12166	-1.0251	0.154392
48	-0.031144	-0.2624	0.396876

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/02/t12727895882rl6wgxzizxdtc2/16sb61272789552.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t12727895882rl6wgxzizxdtc2/16sb61272789552.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t12727895882rl6wgxzizxdtc2/26sb61272789552.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t12727895882rl6wgxzizxdtc2/26sb61272789552.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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 (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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