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autcorrelatie-zakje friet- keshia vleminx

*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 11:13:45 +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/t1272799280lkx6g5q3jtptsz7.htm/, Retrieved Sun, 02 May 2010 13:21:20 +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/t1272799280lkx6g5q3jtptsz7.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 «

2,06 2,06 2,05 2,04 2,04 2,03 2,03 2,03 2,02 2,02 2,02 2,02 2,01 2,01 2,01 2 2 1,99 1,99 1,99 1,98 1,97 1,97 1,96 1,96 1,96 1,96 1,95 1,94 1,94 1,93 1,93 1,93 1,92 1,92 1,9 1,9 1,9 1,9 1,89 1,88 1,88 1,87 1,86 1,86 1,85 1,83 1,82 1,8 1,8 1,79 1,78 1,78 1,78 1,77 1,77 1,76 1,75 1,75 1,75 1,75 1,75 1,74 1,74 1,74 1,74 1,73 1,73 1,73 1,73 1,73 1,72 1,71 1,71 1,71 1,7 1,7 1,7 1,7 1,7 1,69 1,68 1,67 1,65 1,61

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.091672	0.8402	0.201594
2	0.050593	0.4637	0.322035
3	0.143138	1.3119	0.096567
4	-0.021959	-0.2013	0.420492
5	0.021678	0.1987	0.421495
6	-0.009794	-0.0898	0.464344
7	-0.065721	-0.6023	0.274286
8	0.013724	0.1258	0.450101
9	0.055614	0.5097	0.305794
10	-0.060574	-0.5552	0.290127
11	-0.067592	-0.6195	0.268635
12	0.109669	1.0051	0.158859
13	-0.006519	-0.0597	0.476249
14	-0.171616	-1.5729	0.059752
15	0.054554	0.5	0.309193
16	-0.099189	-0.9091	0.182954
17	-0.190923	-1.7498	0.041899
18	0.119963	1.0995	0.137351
19	-0.118497	-1.086	0.140284
20	-0.08796	-0.8062	0.211211
21	-0.081878	-0.7504	0.227549
22	-0.088896	-0.8147	0.208761
23	-0.069713	-0.6389	0.262303
24	-0.101185	-0.9274	0.178194
25	-0.034841	-0.3193	0.375137
26	-0.090767	-0.8319	0.203913
27	0.135402	1.241	0.109033
28	-0.041048	-0.3762	0.353854
29	-0.108328	-0.9928	0.161819
30	-0.004429	-0.0406	0.483858
31	-0.071709	-0.6572	0.256416
32	-0.103182	-0.9457	0.173514
33	0.07408	0.679	0.249517
34	0.0068	0.0623	0.475228
35	-0.009825	-0.0901	0.464231
36	0.17879	1.6386	0.052515
37	0.075702	0.6938	0.244855
38	0.106238	0.9737	0.166503
39	0.016251	0.1489	0.440979
40	-0.013475	-0.1235	0.451004
41	0.028415	0.2604	0.397584
42	0.047598	0.4362	0.331889
43	-0.006581	-0.0603	0.476022
44	0.010855	0.0995	0.460495
45	0.1034	0.9477	0.173007
46	-0.05995	-0.5495	0.292077
47	-0.078322	-0.7178	0.237426
48	0.038677	0.3545	0.361932

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.091672	0.8402	0.201594
2	0.042546	0.3899	0.348782
3	0.136186	1.2482	0.107719
4	-0.049128	-0.4503	0.326839
5	0.016965	0.1555	0.438405
6	-0.031035	-0.2844	0.388387
7	-0.055094	-0.5049	0.307458
8	0.019853	0.182	0.428028
9	0.066234	0.607	0.272729
10	-0.058918	-0.54	0.295315
11	-0.072405	-0.6636	0.254381
12	0.117874	1.0803	0.141543
13	-0.004391	-0.0402	0.483997
14	-0.181916	-1.6673	0.049591
15	0.065591	0.6011	0.27468
16	-0.080749	-0.7401	0.230659
17	-0.171957	-1.576	0.059391
18	0.154194	1.4132	0.080645
19	-0.075978	-0.6963	0.244067
20	-0.082049	-0.752	0.22708
21	-0.138957	-1.2736	0.103166
22	0.009911	0.0908	0.463918
23	-0.053774	-0.4929	0.311702
24	-0.14005	-1.2836	0.10141
25	0.034445	0.3157	0.376509
26	-0.046638	-0.4274	0.335073
27	0.102938	0.9434	0.17408
28	-0.095187	-0.8724	0.192737
29	-0.024546	-0.225	0.411276
30	-0.119614	-1.0963	0.138045
31	-0.123703	-1.1338	0.130061
32	-0.013058	-0.1197	0.45251
33	0.057525	0.5272	0.299712
34	-0.006711	-0.0615	0.475551
35	-0.034118	-0.3127	0.377644
36	0.134403	1.2318	0.110725
37	0.035239	0.323	0.373761
38	0.01731	0.1586	0.437165
39	-0.082821	-0.7591	0.224968
40	-0.076685	-0.7028	0.242052
41	0.020209	0.1852	0.426751
42	0.019554	0.1792	0.429101
43	-0.008921	-0.0818	0.467514
44	0.071368	0.6541	0.257417
45	-0.066774	-0.612	0.271099
46	-0.131307	-1.2035	0.116091
47	-0.073391	-0.6726	0.25151
48	0.022019	0.2018	0.420277

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/02/t1272799280lkx6g5q3jtptsz7/1canz1272798822.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272799280lkx6g5q3jtptsz7/1canz1272798822.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272799280lkx6g5q3jtptsz7/2canz1272798822.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/02/t1272799280lkx6g5q3jtptsz7/2canz1272798822.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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