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ACF met D=0 en d=1

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 06 Jan 2011 12:44:52 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Jan/06/t1294317754b5j3p9ad2bxkizo.htm/, Retrieved Thu, 06 Jan 2011 13:42:36 +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/2011/Jan/06/t1294317754b5j3p9ad2bxkizo.htm/},
    year = {2011},
}
@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 = {2011},
    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:

Dataseries X:

» Textbox « » Textfile « » CSV «

16 17 23 24 27 31 40 47 43 60 64 65 65 55 57 57 57 65 69 70 71 71 73 68 65 57 41 21 21 17 9 11 6 -2 0 5 3 7 4 8 9 14 12 12 7 15 14 19 39 12 11 17 16 25 24 28 25 31 24 24

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	4 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.006243	0.048	0.480958
2	0.113396	0.871	0.193639
3	0.242078	1.8594	0.033977
4	-0.081713	-0.6276	0.266328
5	0.12492	0.9595	0.170604
6	0.061679	0.4738	0.318707
7	0.073257	0.5627	0.287887
8	-0.076232	-0.5855	0.280206
9	-0.00733	-0.0563	0.477645
10	-0.089168	-0.6849	0.24804
11	0.022227	0.1707	0.432512
12	-0.012772	-0.0981	0.461092
13	0.027212	0.209	0.417577
14	0.001071	0.0082	0.496731
15	-0.14631	-1.1238	0.132819
16	-0.006604	-0.0507	0.479857
17	-0.017179	-0.132	0.447735
18	-0.201586	-1.5484	0.063435
19	-0.030564	-0.2348	0.407601
20	-0.095305	-0.7321	0.233518
21	-0.317958	-2.4423	0.008805
22	-0.002947	-0.0226	0.49101
23	-0.022004	-0.169	0.433181
24	-0.110413	-0.8481	0.199906
25	-0.051647	-0.3967	0.346507
26	-0.028872	-0.2218	0.41263
27	-0.118564	-0.9107	0.183077
28	-0.024045	-0.1847	0.427051
29	0.0036	0.0277	0.489017
30	0.006658	0.0511	0.479694
31	0.059233	0.455	0.325397
32	-0.048497	-0.3725	0.355424
33	0.035078	0.2694	0.394265
34	0.019523	0.15	0.440656
35	-0.053843	-0.4136	0.340341
36	0.145072	1.1143	0.13483
37	0.002609	0.02	0.492041
38	0.034035	0.2614	0.397335
39	0.092474	0.7103	0.240157
40	-0.181372	-1.3931	0.084402
41	0.082828	0.6362	0.263548
42	0.013413	0.103	0.459145
43	-0.026143	-0.2008	0.420768
44	0.021008	0.1614	0.43618
45	0.010744	0.0825	0.467253
46	0.072484	0.5568	0.289899
47	-0.034934	-0.2683	0.394688
48	0.033217	0.2551	0.399748

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.006243	0.048	0.480958
2	0.113362	0.8707	0.193711
3	0.243887	1.8733	0.032989
4	-0.09757	-0.7495	0.228281
5	0.074486	0.5721	0.284701
6	0.025642	0.197	0.422268
7	0.102466	0.7871	0.2172
8	-0.15613	-1.1993	0.117611
9	-0.026161	-0.2009	0.420717
10	-0.120774	-0.9277	0.178675
11	0.106473	0.8178	0.208371
12	-0.040588	-0.3118	0.378161
13	0.097429	0.7484	0.228605
14	-0.056519	-0.4341	0.33289
15	-0.090233	-0.6931	0.245486
16	-0.060126	-0.4618	0.322949
17	0.060877	0.4676	0.320895
18	-0.228509	-1.7552	0.042207
19	-0.021396	-0.1643	0.435011
20	-0.097253	-0.747	0.22901
21	-0.188582	-1.4485	0.076382
22	-0.009983	-0.0767	0.469568
23	0.119835	0.9205	0.180538
24	-0.023221	-0.1784	0.429523
25	-0.09443	-0.7253	0.235558
26	-0.008047	-0.0618	0.475463
27	-0.0642	-0.4931	0.311875
28	-0.012565	-0.0965	0.461719
29	-0.053993	-0.4147	0.339923
30	0.031538	0.2423	0.404713
31	0.04037	0.3101	0.378792
32	0.002743	0.0211	0.491629
33	-0.02168	-0.1665	0.434157
34	0.06128	0.4707	0.319796
35	-0.126078	-0.9684	0.168392
36	0.055935	0.4296	0.334509
37	-0.039834	-0.306	0.380353
38	0.077717	0.597	0.276411
39	-0.10481	-0.8051	0.212008
40	-0.198065	-1.5214	0.066755
41	0.021595	0.1659	0.434412
42	-0.038487	-0.2956	0.384277
43	-0.015046	-0.1156	0.454193
44	-0.03174	-0.2438	0.404115
45	0.003433	0.0264	0.489525
46	0.060736	0.4665	0.321279
47	-0.032614	-0.2505	0.401532
48	-0.074959	-0.5758	0.283479

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Jan/06/t1294317754b5j3p9ad2bxkizo/104xh1294317887.png (open in new window)

http://www.freestatistics.org/blog/date/2011/Jan/06/t1294317754b5j3p9ad2bxkizo/104xh1294317887.ps (open in new window)

http://www.freestatistics.org/blog/date/2011/Jan/06/t1294317754b5j3p9ad2bxkizo/2hpt11294317887.png (open in new window)

http://www.freestatistics.org/blog/date/2011/Jan/06/t1294317754b5j3p9ad2bxkizo/2hpt11294317887.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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