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Faillissementen detailhandel Denemarken

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 19 Nov 2010 09:29:50 +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/Nov/19/t1290158913olvh482e0lizx0a.htm/, Retrieved Fri, 19 Nov 2010 10:28:34 +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/Nov/19/t1290158913olvh482e0lizx0a.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:

KDGP2W12 - PAUWELS

Dataseries X:

» Textbox « » Textfile « » CSV «

12 13 23 24 21 20 18 13 12 25 21 17 10 15 23 12 10 21 9 13 17 14 20 12 13 14 23 14 21 21 21 7 15 28 28 18 22 30 1 26 29 24 26 19 19 41 36 54 49 33 50 43 51 46 45 23 56 41 48 43

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	-0.506678	-3.8919	0.000128
2	0.020633	0.1585	0.437307
3	0.017592	0.1351	0.446485
4	-0.037018	-0.2843	0.388573
5	-0.04783	-0.3674	0.35732
6	0.185215	1.4227	0.08005
7	-0.120698	-0.9271	0.178827
8	0.10988	0.844	0.201038
9	-0.081156	-0.6234	0.267722
10	-0.25411	-1.9519	0.027853
11	0.36555	2.8078	0.003375
12	-0.167351	-1.2855	0.101829
13	0.097628	0.7499	0.228149
14	-0.062099	-0.477	0.317566
15	0.008281	0.0636	0.47475
16	-0.137094	-1.053	0.148308
17	0.270266	2.076	0.021132
18	-0.285325	-2.1916	0.016183
19	0.167192	1.2842	0.102042
20	0.093409	0.7175	0.237953
21	-0.180548	-1.3868	0.085358
22	-0.020241	-0.1555	0.43849
23	0.089377	0.6865	0.247538
24	0.022513	0.1729	0.43165
25	-0.061352	-0.4713	0.319598
26	0.083304	0.6399	0.262367
27	-0.11953	-0.9181	0.181144
28	0.179024	1.3751	0.087149
29	-0.272525	-2.0933	0.020315
30	0.138947	1.0673	0.145098
31	0.067223	0.5163	0.303771
32	-0.047653	-0.366	0.357827
33	-0.031613	-0.2428	0.404493
34	0.051877	0.3985	0.34586
35	-0.108632	-0.8344	0.203706
36	0.041168	0.3162	0.376476
37	0.065447	0.5027	0.30852
38	-0.065046	-0.4996	0.309597
39	0.07649	0.5875	0.279545
40	-0.076884	-0.5906	0.278536
41	-0.037207	-0.2858	0.38802
42	0.033904	0.2604	0.397721
43	0.054956	0.4221	0.337235
44	-0.023946	-0.1839	0.427347
45	0.032431	0.2491	0.402072
46	-0.076004	-0.5838	0.280791
47	0.060156	0.4621	0.322865
48	0.001115	0.0086	0.496599

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.506678	-3.8919	0.000128
2	-0.317633	-2.4398	0.00886
3	-0.193885	-1.4893	0.070873
4	-0.176008	-1.3519	0.090777
5	-0.239664	-1.8409	0.035333
6	0.031025	0.2383	0.406235
7	0.015106	0.116	0.45401
8	0.170469	1.3094	0.097739
9	0.123785	0.9508	0.172789
10	-0.355052	-2.7272	0.0042
11	-0.012273	-0.0943	0.462605
12	-0.089484	-0.6873	0.24728
13	0.077489	0.5952	0.276991
14	-0.022826	-0.1753	0.43071
15	0.00712	0.0547	0.478286
16	-0.08823	-0.6777	0.250304
17	0.157146	1.2071	0.116112
18	-0.106248	-0.8161	0.208862
19	-0.215522	-1.6555	0.051571
20	0.088552	0.6802	0.249525
21	0.108196	0.8311	0.204642
22	-0.105195	-0.808	0.211163
23	-0.084084	-0.6459	0.260436
24	0.066183	0.5084	0.306548
25	-0.02394	-0.1839	0.427366
26	0.02425	0.1863	0.426437
27	-0.010822	-0.0831	0.467017
28	0.026893	0.2066	0.418528
29	-0.066674	-0.5121	0.305234
30	-0.083044	-0.6379	0.263012
31	-0.072129	-0.554	0.290825
32	-0.095012	-0.7298	0.2342
33	0.072451	0.5565	0.289985
34	0.009838	0.0756	0.470008
35	-0.048753	-0.3745	0.354695
36	-0.106927	-0.8213	0.207384
37	-0.0746	-0.573	0.284406
38	0.016244	0.1248	0.450564
39	-0.096138	-0.7385	0.231584
40	-0.087794	-0.6744	0.251359
41	-0.121421	-0.9327	0.1774
42	0.055522	0.4265	0.335657
43	-0.018626	-0.1431	0.443362
44	-0.07508	-0.5767	0.283167
45	-0.055379	-0.4254	0.336056
46	0.035778	0.2748	0.392209
47	0.076628	0.5886	0.279191
48	0.015223	0.1169	0.453657

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/19/t1290158913olvh482e0lizx0a/1bh4w1290158987.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/19/t1290158913olvh482e0lizx0a/1bh4w1290158987.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/19/t1290158913olvh482e0lizx0a/2bh4w1290158987.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/19/t1290158913olvh482e0lizx0a/2bh4w1290158987.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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