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Autocorrelation - Koers BEL 20 van Januari 2000 tot Januari 2009 - Claus Wesley

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 12 May 2009 07:45:35 -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/12/t1242136024mua61axzqj0ag1j.htm/, Retrieved Tue, 12 May 2009 15:47:06 +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/12/t1242136024mua61axzqj0ag1j.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 «

3030,29 2803,47 2767,63 2882,6 2863,36 2897,06 3012,61 3142,95 3032,93 3045,78 3110,52 3013,24 2987,1 2995,55 2833,18 2848,96 2794,83 2845,26 2915,02 2892,63 2604,42 2641,65 2659,81 2638,53 2720,25 2745,88 2735,7 2811,7 2799,43 2555,28 2304,98 2214,95 2065,81 1940,49 2042 1995,37 1946,81 1765,9 1635,25 1833,42 1910,43 1959,67 1969,6 2061,41 2091,48 2120,88 2174,56 2196,72 2350,44 2440,25 2408,64 2472,81 2407,6 2452,62 2448,05 2497,84 2645,64 2756,76 2849,27 2921,44 2981,85 3080,58 3106,22 3119,31 3061,26 3097,31 3161,69 3257,16 3277,01 3295,32 3363,99 3494,17 3667,03 3813,06 3917,96 3895,51 3801,06 3570,12 3701,61 3862,27 3970,1 4138,52 4199,75 4290,89 4443,91 4502,64 4356,98 4591,27 4696,96 4621,4 4562,84 4202,52 4296,49 4435,23 4105,18 4116,68 3844,49 3720,98 3674,4 3857,62 3801,06 3504,37 3032,6 3047,03 2962,34 2197,82 2014,45 1862,83 1905,41

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	0.971736	10.1452	0
2	0.932321	9.7337	0
3	0.892371	9.3166	0
4	0.848206	8.8555	0
5	0.812086	8.4784	0
6	0.770693	8.0463	0
7	0.725722	7.5768	0
8	0.687153	7.1741	0
9	0.649511	6.7811	0
10	0.608354	6.3514	0
11	0.562464	5.8723	0
12	0.511137	5.3364	0
13	0.460171	4.8043	2e-06
14	0.414713	4.3297	1.7e-05
15	0.365224	3.8131	0.000114
16	0.319092	3.3314	0.00059
17	0.268538	2.8036	0.002992
18	0.217575	2.2716	0.012539
19	0.175983	1.8373	0.034444
20	0.135529	1.415	0.079965
21	0.099338	1.0371	0.150987
22	0.062972	0.6574	0.256139
23	0.025312	0.2643	0.396038
24	-0.004801	-0.0501	0.480056
25	-0.032588	-0.3402	0.367169
26	-0.062234	-0.6497	0.258613
27	-0.090216	-0.9419	0.174168
28	-0.117019	-1.2217	0.112225
29	-0.146452	-1.529	0.064581
30	-0.176177	-1.8393	0.034293
31	-0.207366	-2.165	0.016286
32	-0.238385	-2.4888	0.007165
33	-0.26398	-2.756	0.00343
34	-0.284565	-2.9709	0.001826
35	-0.301183	-3.1444	0.001072
36	-0.314819	-3.2868	0.000682
37	-0.32934	-3.4384	0.000415
38	-0.344447	-3.5961	0.000243
39	-0.358627	-3.7442	0.000145
40	-0.373643	-3.9009	8.3e-05
41	-0.386768	-4.038	5e-05
42	-0.397906	-4.1543	3.3e-05
43	-0.40805	-4.2602	2.2e-05
44	-0.414965	-4.3324	1.6e-05
45	-0.420775	-4.393	1.3e-05
46	-0.422325	-4.4092	1.2e-05
47	-0.420312	-4.3882	1.3e-05
48	-0.415042	-4.3332	1.6e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.971736	10.1452	0
2	-0.214411	-2.2385	0.01361
3	0.009461	0.0988	0.460748
4	-0.104665	-1.0927	0.13846
5	0.161073	1.6816	0.04775
6	-0.198436	-2.0717	0.020325
7	-0.010364	-0.1082	0.457018
8	0.071946	0.7511	0.227093
9	-0.001356	-0.0142	0.494366
10	-0.138539	-1.4464	0.075469
11	-0.097761	-1.0207	0.154838
12	-0.053778	-0.5615	0.287818
13	-0.003631	-0.0379	0.484916
14	0.033376	0.3485	0.364085
15	-0.14744	-1.5393	0.063313
16	0.095033	0.9922	0.161654
17	-0.190709	-1.9911	0.024488
18	0.061758	0.6448	0.260214
19	0.022297	0.2328	0.408183
20	0.021395	0.2234	0.411832
21	0.016197	0.1691	0.433015
22	-0.083827	-0.8752	0.191699
23	0.020121	0.2101	0.417004
24	0.045589	0.476	0.317527
25	-0.02413	-0.2519	0.400788
26	-0.081223	-0.848	0.19915
27	0.046146	0.4818	0.315465
28	-0.019705	-0.2057	0.418694
29	-0.109717	-1.1455	0.127261
30	-0.12817	-1.3381	0.091819
31	0.023477	0.2451	0.403415
32	-0.009841	-0.1027	0.459176
33	-0.000321	-0.0034	0.498666
34	0.041745	0.4358	0.331909
35	-0.027689	-0.2891	0.386535
36	0.029294	0.3058	0.380156
37	-0.099562	-1.0395	0.150446
38	-0.020467	-0.2137	0.415596
39	0.016887	0.1763	0.430191
40	-0.047445	-0.4953	0.31068
41	0.00533	0.0556	0.477861
42	-0.007856	-0.082	0.46739
43	-0.001804	-0.0188	0.492506
44	-0.033684	-0.3517	0.362881
45	-0.039033	-0.4075	0.342212
46	0.084492	0.8821	0.189825
47	0.010616	0.1108	0.455976
48	0.01464	0.1528	0.439403

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/12/t1242136024mua61axzqj0ag1j/1x8qq1242135932.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/12/t1242136024mua61axzqj0ag1j/1x8qq1242135932.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/12/t1242136024mua61axzqj0ag1j/2ufez1242135932.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/12/t1242136024mua61axzqj0ag1j/2ufez1242135932.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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