Home » date » 2010 » Nov » 20 »

Autocorrelatie 'Consumptieprijsindex rundsvlees Denemarken'

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 20 Nov 2010 21:41:56 +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/20/t1290289273b0uez9gnrjcew2o.htm/, Retrieved Sat, 20 Nov 2010 22:41:15 +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/20/t1290289273b0uez9gnrjcew2o.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

Dataseries X:

» Textbox « » Textfile « » CSV «

98,4 96,5 97,4 99,2 100,8 101,8 102,7 100 100,8 101,7 99 101,7 100,2 101,2 99,5 100,8 100,7 99,5 99,4 101,1 97,2 98,1 97,8 95,5 96,3 93,6 96,7 95,1 97,7 96,5 98,1 97,3 97 93,7 95,6 94,6 95,1 94,5 93,6 92,1 95,9 98,1 98,2 96,2 94,1 95 93,4 95,4 93,5 94,5 94,3 95,7 98,4 99,4 99,2 99 99,4 99,3 98,6 98,7 96 98,7 100,1 100 101,5 101,5 103,8 104,1 101 104,9 104,4 105,6 103,4 101,7 103,5 101,2 105,4 105,4 108,6 110,6 110,2 106,2 108,6 107,5 106,9 108,4 109,9 108,6 106,5 105,7 105,6 104,2 105,1 102,7 108,3 104,2 105,4 104,6 106,4 111 111,7 113,8 115,9 117,3 113,6 113,6 114,6 113,2 112,8 109,6 111,1 109,7 113 111 113,3 111,8 107,2 106,4 110 108,2 108,2

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	0.939773	10.3375	0
2	0.911846	10.0303	0
3	0.863957	9.5035	0
4	0.837782	9.2156	0
5	0.809695	8.9066	0
6	0.781113	8.5922	0
7	0.757238	8.3296	0
8	0.732145	8.0536	0
9	0.705245	7.7577	0
10	0.684835	7.5332	0
11	0.66517	7.3169	0
12	0.653739	7.1911	0
13	0.628523	6.9138	0
14	0.594878	6.5437	0
15	0.568432	6.2528	0
16	0.539741	5.9371	0
17	0.503149	5.5346	0
18	0.470134	5.1715	0
19	0.443336	4.8767	2e-06
20	0.430773	4.7385	3e-06
21	0.414752	4.5623	6e-06
22	0.394073	4.3348	1.5e-05
23	0.386457	4.251	2.1e-05
24	0.367635	4.044	4.6e-05
25	0.341464	3.7561	0.000133
26	0.305879	3.3647	0.000514
27	0.272734	3.0001	0.001639
28	0.245836	2.7042	0.003917
29	0.218772	2.4065	0.008809
30	0.19035	2.0939	0.01918
31	0.165358	1.8189	0.035697
32	0.151967	1.6716	0.04859
33	0.131531	1.4468	0.075263
34	0.106771	1.1745	0.121254
35	0.087335	0.9607	0.169313
36	0.064599	0.7106	0.239354
37	0.029654	0.3262	0.37242
38	-0.005512	-0.0606	0.475878
39	-0.047711	-0.5248	0.300333
40	-0.080711	-0.8878	0.188199
41	-0.108783	-1.1966	0.116898
42	-0.133085	-1.4639	0.072903
43	-0.151844	-1.6703	0.048724
44	-0.16888	-1.8577	0.032823
45	-0.18459	-2.0305	0.02225
46	-0.198674	-2.1854	0.015392
47	-0.210246	-2.3127	0.011214
48	-0.216696	-2.3837	0.009348

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.939773	10.3375	0
2	0.245429	2.6997	0.003967
3	-0.12118	-1.333	0.092521
4	0.103207	1.1353	0.129251
5	0.060855	0.6694	0.252257
6	-0.043263	-0.4759	0.317504
7	0.035259	0.3878	0.349405
8	0.013152	0.1447	0.442605
9	-0.045844	-0.5043	0.307491
10	0.047968	0.5277	0.299354
11	0.033818	0.372	0.355274
12	0.052926	0.5822	0.280763
13	-0.090289	-0.9932	0.161303
14	-0.144857	-1.5934	0.056836
15	0.043537	0.4789	0.316435
16	-0.006637	-0.073	0.470961
17	-0.1558	-1.7138	0.044563
18	-0.009831	-0.1081	0.457032
19	0.074564	0.8202	0.206855
20	0.100483	1.1053	0.135607
21	0.015421	0.1696	0.432793
22	-0.070584	-0.7764	0.219506
23	0.114388	1.2583	0.105359
24	-0.050771	-0.5585	0.288773
25	-0.180679	-1.9875	0.024564
26	-0.076194	-0.8381	0.201805
27	-0.025017	-0.2752	0.391822
28	-0.013264	-0.1459	0.442121
29	0.030178	0.332	0.370247
30	-0.006225	-0.0685	0.472762
31	-0.002455	-0.027	0.489251
32	0.094398	1.0384	0.150582
33	-0.062658	-0.6892	0.245997
34	-0.094761	-1.0424	0.149658
35	-0.007234	-0.0796	0.468354
36	-0.102649	-1.1291	0.130536
37	-0.146822	-1.615	0.054453
38	-0.000114	-0.0013	0.499501
39	-0.087556	-0.9631	0.168705
40	-0.008076	-0.0888	0.464679
41	0.110264	1.2129	0.113765
42	0.064904	0.7139	0.23832
43	0.017402	0.1914	0.424256
44	-0.068075	-0.7488	0.227709
45	-0.043014	-0.4732	0.318476
46	0.046789	0.5147	0.303859
47	-0.035718	-0.3929	0.347541
48	-0.033122	-0.3643	0.358121

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290289273b0uez9gnrjcew2o/1z3b71290289314.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290289273b0uez9gnrjcew2o/1z3b71290289314.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290289273b0uez9gnrjcew2o/2acs91290289314.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290289273b0uez9gnrjcew2o/2acs91290289314.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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