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Autocorrelation functie - nieuwe geregistreerde domeinnamen - Dorien Dhanis

*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, 09 May 2009 03:40:34 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/May/09/t1241862089oyl1z842i6eqfyj.htm/, Retrieved Sat, 09 May 2009 11:41:31 +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/2009/May/09/t1241862089oyl1z842i6eqfyj.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

8166 2322 2924 5209 5597 5616 5764 5854 6019 6047 6082 6251 6576 6820 7024 7102 7107 7237 7630 7842 8086 8201 8323 9016 9077 9115 9230 9535 9565 9807 9815 9999 10176 10416 10439 10737 10790 11196 11221 11340 11356 11772 11836 11926 12013 12132 12178 12382 12448 12543 12662 12692 12767 13136 13145 13330 13381 13533 14176 14314 14444 15092 15130 15550 15557 15874 15892 16364 16379 16668 16713 16830 17368 17808 17846 18137 18504 18898 18938 19139 19573 19796 19845 21461

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	0.952944	8.7339	0
2	0.901878	8.2658	0
3	0.858538	7.8686	0
4	0.820835	7.5231	0
5	0.784356	7.1887	0
6	0.747768	6.8534	0
7	0.709865	6.506	0
8	0.673495	6.1727	0
9	0.637499	5.8428	0
10	0.60145	5.5124	0
11	0.563951	5.1687	1e-06
12	0.528408	4.8429	3e-06
13	0.495862	4.5446	9e-06
14	0.464177	4.2543	2.7e-05
15	0.431335	3.9532	8e-05
16	0.398531	3.6526	0.000225
17	0.364152	3.3375	0.000631
18	0.332653	3.0488	0.001536
19	0.301054	2.7592	0.003555
20	0.271146	2.4851	0.007468
21	0.239637	2.1963	0.015413
22	0.209975	1.9245	0.028842
23	0.181457	1.6631	0.050012
24	0.157205	1.4408	0.076679
25	0.132325	1.2128	0.114307
26	0.107179	0.9823	0.164384
27	0.085633	0.7848	0.217377
28	0.064847	0.5943	0.276945
29	0.043915	0.4025	0.344172
30	0.023515	0.2155	0.414944
31	0.00211	0.0193	0.49231
32	-0.017052	-0.1563	0.43809
33	-0.035908	-0.3291	0.371449
34	-0.054935	-0.5035	0.307968
35	-0.073701	-0.6755	0.250612
36	-0.092325	-0.8462	0.19993
37	-0.110216	-1.0101	0.157664
38	-0.12671	-1.1613	0.124402
39	-0.144173	-1.3214	0.094984
40	-0.16169	-1.4819	0.071052
41	-0.178489	-1.6359	0.052804
42	-0.194545	-1.783	0.039097
43	-0.211122	-1.935	0.02818
44	-0.225644	-2.0681	0.020855
45	-0.24074	-2.2064	0.015042
46	-0.255647	-2.343	0.010746
47	-0.270938	-2.4832	0.007505
48	-0.284064	-2.6035	0.005454

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.952944	8.7339	0
2	-0.067728	-0.6207	0.268226
3	0.059387	0.5443	0.29384
4	0.030915	0.2833	0.388807
5	-0.005946	-0.0545	0.478335
6	-0.014045	-0.1287	0.448942
7	-0.030398	-0.2786	0.390619
8	-0.002287	-0.021	0.491665
9	-0.020604	-0.1888	0.425339
10	-0.021266	-0.1949	0.422969
11	-0.036523	-0.3347	0.369329
12	-0.000409	-0.0037	0.49851
13	0.005714	0.0524	0.479181
14	-0.013993	-0.1282	0.449129
15	-0.028716	-0.2632	0.396526
16	-0.016793	-0.1539	0.439026
17	-0.040478	-0.371	0.355791
18	0.007124	0.0653	0.474049
19	-0.030539	-0.2799	0.390124
20	-0.00179	-0.0164	0.493475
21	-0.040569	-0.3718	0.35548
22	-0.001206	-0.0111	0.495603
23	-0.014726	-0.135	0.446482
24	0.022991	0.2107	0.41681
25	-0.027904	-0.2557	0.399388
26	-0.017687	-0.1621	0.435808
27	0.021261	0.1949	0.422987
28	-0.019362	-0.1775	0.429788
29	-0.016692	-0.153	0.439389
30	-0.012058	-0.1105	0.456133
31	-0.029223	-0.2678	0.394741
32	0.002853	0.0262	0.489599
33	-0.022638	-0.2075	0.418067
34	-0.022396	-0.2053	0.418931
35	-0.013435	-0.1231	0.451146
36	-0.02147	-0.1968	0.422239
37	-0.013633	-0.1249	0.450432
38	-0.011061	-0.1014	0.459746
39	-0.029048	-0.2662	0.395359
40	-0.023143	-0.2121	0.416267
41	-0.013306	-0.122	0.451614
42	-0.01998	-0.1831	0.427571
43	-0.029766	-0.2728	0.392836
44	0.000697	0.0064	0.49746
45	-0.0313	-0.2869	0.387461
46	-0.018959	-0.1738	0.431235
47	-0.028419	-0.2605	0.397572
48	-0.002948	-0.027	0.489256

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241862089oyl1z842i6eqfyj/1b25j1241862032.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241862089oyl1z842i6eqfyj/1b25j1241862032.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241862089oyl1z842i6eqfyj/2m64m1241862032.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241862089oyl1z842i6eqfyj/2m64m1241862032.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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