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Autocorrelatie met trend - Verhandelde kapitalen Euronext

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 15:24:09 +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/03/t1272900392qom3w2qhijro560.htm/, Retrieved Mon, 03 May 2010 17:26:35 +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/03/t1272900392qom3w2qhijro560.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 «

3592.21 5955.74 4652.25 4211.65 4787.85 3599.73 4174.27 5106.33 5325.75 6604.61 5711.90 6919.30 7048.76 8655.98 6658.53 7247.03 8779.57 6602.49 9832.48 9369.49 8582.76 8206.94 6515.83 8618.10 8505.39 9881.64 9375.29 15642.50 12232.73 6288.93 12473.94 11142.82 10236.32 10581.51 8763.71 10819.04 11636.25 14650.13 10671.38 17468.63 13873.19 13077.58 16866.81 14186.64 19919.87 17681.78 9984.28 17423.09 13514.45 12334.57 12274.56 11752.23 13054.00 12460.98 8626.68 13722.62 12066.22 6798.83 6593.82 6606.19 6315.28 7232.95 6747.44 7803.61 6700.31 5369.53 8081.19 10718.39 9447.21 6815.10 5497.80 6805.31

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	-0.445396	-3.753	0.000177
2	-0.134027	-1.1293	0.13128
3	0.282122	2.3772	0.010071
4	-0.262073	-2.2083	0.015228
5	0.227489	1.9169	0.02964
6	-0.083479	-0.7034	0.242051
7	-0.132212	-1.114	0.13451
8	0.234516	1.9761	0.026017
9	-0.042696	-0.3598	0.360046
10	-0.20585	-1.7345	0.043582
11	0.078212	0.659	0.256005
12	0.271315	2.2861	0.012616
13	-0.286916	-2.4176	0.009096
14	0.179272	1.5106	0.067668
15	-0.145181	-1.2233	0.112627
16	-0.018013	-0.1518	0.439894
17	0.206196	1.7374	0.043323
18	-0.186493	-1.5714	0.060266
19	0.049089	0.4136	0.340194
20	0.051924	0.4375	0.331532
21	-0.069827	-0.5884	0.279074
22	-0.05167	-0.4354	0.332305
23	-0.013523	-0.1139	0.4548
24	0.117934	0.9937	0.161864
25	-0.052259	-0.4403	0.330514
26	0.074969	0.6317	0.264805
27	-0.150399	-1.2673	0.104597
28	0.077284	0.6512	0.258508
29	0.112993	0.9521	0.172139
30	-0.138477	-1.1668	0.123593
31	0.043489	0.3664	0.357563
32	0.026124	0.2201	0.413201
33	-0.072099	-0.6075	0.272722
34	-0.018687	-0.1575	0.437666
35	-0.006728	-0.0567	0.477475
36	0.088696	0.7474	0.228656
37	-0.020834	-0.1756	0.430572
38	-0.031003	-0.2612	0.397332
39	-0.064124	-0.5403	0.295335
40	0.078827	0.6642	0.254355
41	0.017768	0.1497	0.440705
42	-0.074639	-0.6289	0.265711
43	0.056383	0.4751	0.318089
44	0.007515	0.0633	0.474843
45	-0.073047	-0.6155	0.270095
46	0.026988	0.2274	0.410383
47	-0.024524	-0.2066	0.418439
48	0.023863	0.2011	0.420608

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.445396	-3.753	0.000177
2	-0.414665	-3.494	0.000412
3	0.01956	0.1648	0.434779
4	-0.198652	-1.6739	0.049278
5	0.155559	1.3108	0.097081
6	-0.01339	-0.1128	0.455244
7	-0.060949	-0.5136	0.304575
8	0.049471	0.4168	0.339024
9	0.179637	1.5136	0.067277
10	-0.152479	-1.2848	0.101517
11	-0.192968	-1.626	0.054193
12	0.310497	2.6163	0.005426
13	-0.024058	-0.2027	0.419969
14	0.196353	1.6545	0.051221
15	-0.170883	-1.4399	0.077147
16	0.011778	0.0992	0.460612
17	-0.135551	-1.1422	0.12861
18	0.200905	1.6929	0.047434
19	-0.033575	-0.2829	0.389036
20	-0.063578	-0.5357	0.296915
21	-0.025729	-0.2168	0.414493
22	-0.131579	-1.1087	0.13565
23	-0.119112	-1.0037	0.159476
24	-0.058401	-0.4921	0.312086
25	0.121416	1.0231	0.154874
26	0.009126	0.0769	0.469462
27	0.113588	0.9571	0.17088
28	-0.014865	-0.1253	0.450339
29	0.114966	0.9687	0.167986
30	-0.019107	-0.161	0.436276
31	0.030216	0.2546	0.399884
32	-0.014457	-0.1218	0.451693
33	-0.084689	-0.7136	0.238906
34	-0.083755	-0.7057	0.241332
35	-0.109171	-0.9199	0.180373
36	0.097263	0.8196	0.207608
37	-0.086381	-0.7279	0.234547
38	0.003806	0.0321	0.487253
39	-0.078873	-0.6646	0.25423
40	0.034662	0.2921	0.385543
41	-0.028843	-0.243	0.40434
42	-0.004726	-0.0398	0.484174
43	-0.015488	-0.1305	0.448267
44	-0.021458	-0.1808	0.428518
45	0.009238	0.0778	0.469086
46	-0.013747	-0.1158	0.454056
47	0.027898	0.2351	0.407413
48	-0.104821	-0.8832	0.190045

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272900392qom3w2qhijro560/1ioof1272900247.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272900392qom3w2qhijro560/1ioof1272900247.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272900392qom3w2qhijro560/2ioof1272900247.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272900392qom3w2qhijro560/2ioof1272900247.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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