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differentiatie (financiele situatie van de gezinnen)

*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 20:16:03 +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/t1272917855bptu3zyd77y9tl7.htm/, Retrieved Mon, 03 May 2010 22:17:37 +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/t1272917855bptu3zyd77y9tl7.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 «

1 1 3 3 1 1 -2 1 1 -1 -4 -2 -1 -5 -4 -5 0 -2 -4 -6 -2 -2 -2 1 -2 0 -1 2 3 2 3 4 5 5 4 5 6 4 6 6 3 5 5 5 3 5 5 6 6 5 4 4 0 2 3 3 2 3 5 6 6 5 4 7 5 6 5 6 5 6 6 6 6

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	-0.34243	-2.9056	0.002433
2	-0.052068	-0.4418	0.329974
3	-0.137321	-1.1652	0.12389
4	0.190507	1.6165	0.05518
5	0.104958	0.8906	0.188056
6	-0.104474	-0.8865	0.189153
7	-0.010147	-0.0861	0.465813
8	-0.090842	-0.7708	0.221668
9	0.223313	1.8949	0.031062
10	-0.181561	-1.5406	0.063899
11	0.01901	0.1613	0.436151
12	0.048821	0.4143	0.339957
13	-0.012046	-0.1022	0.459436
14	-0.088184	-0.7483	0.22837
15	0.03994	0.3389	0.367834
16	0.139713	1.1855	0.119859
17	-0.300142	-2.5468	0.006505
18	0.142453	1.2088	0.115355
19	-0.126345	-1.0721	0.143634
20	0.101276	0.8594	0.196499
21	-0.104486	-0.8866	0.189125
22	0.057435	0.4874	0.313745
23	-0.086889	-0.7373	0.231675
24	-0.036954	-0.3136	0.37738
25	0.053112	0.4507	0.326792
26	-0.040665	-0.3451	0.365531
27	0.075266	0.6387	0.262537
28	-0.017622	-0.1495	0.440778
29	-0.099501	-0.8443	0.200651
30	0.015838	0.1344	0.446735
31	0.169532	1.4385	0.077309
32	-0.132176	-1.1215	0.13289
33	0.028857	0.2449	0.40363
34	0.062634	0.5315	0.298367
35	-0.013208	-0.1121	0.455538
36	-0.051879	-0.4402	0.330552
37	0.011728	0.0995	0.460501
38	0.072258	0.6131	0.27086
39	-0.004767	-0.0405	0.483923
40	0.028417	0.2411	0.40507
41	-0.14118	-1.198	0.117432
42	0.110531	0.9379	0.17572
43	0.089498	0.7594	0.225041
44	-0.04352	-0.3693	0.3565
45	-0.106577	-0.9043	0.184416
46	0.060493	0.5133	0.304657
47	0.094565	0.8024	0.212477
48	-0.07959	-0.6753	0.250811

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.34243	-2.9056	0.002433
2	-0.191819	-1.6276	0.053985
3	-0.263749	-2.238	0.014158
4	0.027315	0.2318	0.408686
5	0.186264	1.5805	0.059188
6	0.042669	0.3621	0.359183
7	0.05968	0.5064	0.30706
8	-0.096585	-0.8196	0.207587
9	0.10736	0.911	0.182674
10	-0.113823	-0.9658	0.168684
11	-0.073481	-0.6235	0.267462
12	0.083307	0.7069	0.24096
13	-0.02618	-0.2221	0.412415
14	-0.128034	-1.0864	0.140462
15	0.026264	0.2229	0.412138
16	0.146891	1.2464	0.108327
17	-0.279068	-2.368	0.010287
18	-0.033096	-0.2808	0.389824
19	-0.093343	-0.792	0.215468
20	-0.132993	-1.1285	0.131431
21	-0.144737	-1.2281	0.111698
22	0.08542	0.7248	0.235459
23	-0.042709	-0.3624	0.359058
24	-0.192514	-1.6335	0.053361
25	-0.067212	-0.5703	0.285121
26	0.073678	0.6252	0.266914
27	-0.096991	-0.823	0.206614
28	0.043437	0.3686	0.356764
29	0.001606	0.0136	0.494581
30	-0.082584	-0.7007	0.242859
31	0.028393	0.2409	0.405151
32	-0.045354	-0.3848	0.350746
33	0.086158	0.7311	0.233552
34	0.025305	0.2147	0.415297
35	0.010638	0.0903	0.464161
36	-0.115225	-0.9777	0.165744
37	-0.070877	-0.6014	0.274727
38	-0.030234	-0.2565	0.39913
39	0.04181	0.3548	0.361899
40	-0.020273	-0.172	0.431953
41	-0.118095	-1.0021	0.159833
42	-0.030278	-0.2569	0.398988
43	0.031935	0.271	0.393593
44	0.004834	0.041	0.483698
45	-0.000306	-0.0026	0.498968
46	-0.054305	-0.4608	0.323167
47	0.02102	0.1784	0.429471
48	-0.027602	-0.2342	0.407743

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272917855bptu3zyd77y9tl7/1vazp1272917762.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272917855bptu3zyd77y9tl7/1vazp1272917762.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272917855bptu3zyd77y9tl7/2vazp1272917762.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272917855bptu3zyd77y9tl7/2vazp1272917762.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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