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oef 6bis (met trend) - elke torfs mar 201

*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 07:33:13 -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/t1241876098fg1srpvpeorgnxa.htm/, Retrieved Sat, 09 May 2009 15:35:00 +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/t1241876098fg1srpvpeorgnxa.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 «

356445 291705 310900 332340 257166 334551 317365 270863 317904 423141 317684 411063 371161 299023 326964 327146 303447 351994 320317 257151 320274 476982 301723 363567 338831 265802 307691 334207 303127 318863 292123 245155 284794 391604 304982 369552 356021 247577 277885 294032 310845 311023 298462 234188 297478 371017 291128 316374 326001 222302 227424 255428 278250 280335 241894 255075 255115 319482 270694 300209 283531 218924 236466 267980 219994 256052 230444 200778 240960 277837 209776 232065

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	-0.408361	-3.4409	0.000488
2	-0.241315	-2.0334	0.022878
3	0.365086	3.0763	0.001488
4	-0.246773	-2.0793	0.020599
5	-0.208467	-1.7566	0.041651
6	0.47411	3.9949	7.8e-05
7	-0.166367	-1.4018	0.08266
8	-0.256806	-2.1639	0.016919
9	0.303889	2.5606	0.006288
10	-0.182258	-1.5357	0.064525
11	-0.298528	-2.5154	0.007076
12	0.723583	6.097	0
13	-0.26997	-2.2748	0.01297
14	-0.231538	-1.951	0.027503
15	0.32872	2.7698	0.003576
16	-0.209351	-1.764	0.041015
17	-0.188042	-1.5845	0.058766
18	0.380955	3.21	0.000997
19	-0.094909	-0.7997	0.213271
20	-0.244644	-2.0614	0.021464
21	0.276248	2.3277	0.011391
22	-0.167652	-1.4127	0.081062
23	-0.205032	-1.7276	0.044201
24	0.52369	4.4127	1.8e-05
25	-0.170553	-1.4371	0.077541
26	-0.208796	-1.7593	0.041413
27	0.275008	2.3173	0.011689
28	-0.157206	-1.3246	0.094769
29	-0.15062	-1.2691	0.104266
30	0.261216	2.201	0.015493
31	-0.051252	-0.4319	0.333578
32	-0.165712	-1.3963	0.083486
33	0.167915	1.4149	0.080738
34	-0.084434	-0.7115	0.239566
35	-0.144019	-1.2135	0.114474
36	0.341436	2.877	0.002649
37	-0.117283	-0.9882	0.163194
38	-0.128796	-1.0853	0.140739
39	0.174227	1.4681	0.073252
40	-0.098924	-0.8335	0.203666
41	-0.121935	-1.0274	0.15385
42	0.218298	1.8394	0.035018
43	-0.082622	-0.6962	0.244292
44	-0.088161	-0.7429	0.23001
45	0.099353	0.8372	0.202655
46	-0.034093	-0.2873	0.38737
47	-0.095369	-0.8036	0.212156
48	0.221021	1.8624	0.033345

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.408361	-3.4409	0.000488
2	-0.489743	-4.1266	4.9e-05
3	0.028876	0.2433	0.404232
4	-0.208554	-1.7573	0.041588
5	-0.418581	-3.527	0.000371
6	0.047847	0.4032	0.344017
7	0.049996	0.4213	0.337413
8	-0.179318	-1.511	0.067619
9	-0.140908	-1.1873	0.11953
10	-0.240669	-2.0279	0.023161
11	-0.615197	-5.1837	1e-06
12	0.153117	1.2902	0.100585
13	0.07482	0.6304	0.265214
14	0.092248	0.7773	0.219784
15	0.019212	0.1619	0.435929
16	-0.018571	-0.1565	0.438047
17	0.019572	0.1649	0.434741
18	-0.148535	-1.2516	0.107416
19	-0.096033	-0.8092	0.210556
20	-0.102719	-0.8655	0.194833
21	0.019279	0.1625	0.435706
22	-0.072926	-0.6145	0.270431
23	-0.02178	-0.1835	0.427456
24	-0.031426	-0.2648	0.395965
25	0.00101	0.0085	0.496618
26	-0.016375	-0.138	0.445324
27	-0.058948	-0.4967	0.310465
28	0.010677	0.09	0.464285
29	0.092762	0.7816	0.218517
30	-0.024235	-0.2042	0.419387
31	-0.105062	-0.8853	0.1895
32	0.043832	0.3693	0.356489
33	-0.073823	-0.622	0.267953
34	0.049993	0.4212	0.337425
35	0.041745	0.3517	0.363034
36	0.046103	0.3885	0.349414
37	-0.033781	-0.2846	0.388373
38	0.000205	0.0017	0.499313
39	-0.067177	-0.566	0.286574
40	-0.059702	-0.5031	0.30824
41	-0.091112	-0.7677	0.222598
42	0.083927	0.7072	0.240885
43	-0.007025	-0.0592	0.476481
44	-0.025355	-0.2136	0.415719
45	-0.064292	-0.5417	0.29485
46	-0.029577	-0.2492	0.401955
47	-0.015861	-0.1336	0.44703
48	-0.054248	-0.4571	0.324496

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241876098fg1srpvpeorgnxa/1t3211241875991.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241876098fg1srpvpeorgnxa/1t3211241875991.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241876098fg1srpvpeorgnxa/2uich1241875991.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/09/t1241876098fg1srpvpeorgnxa/2uich1241875991.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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