Eigen reeks: bierprijs autocorrelation

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 13 May 2009 10:24:35 -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/13/t1242232011pobdhkazvxp9icn.htm/, Retrieved Wed, 13 May 2009 18:26:53 +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/13/t1242232011pobdhkazvxp9icn.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 «

0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.42 0.41 0.42 0.42 0.42 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.43 0.43 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.43 0.44 0.44 0.46 0.46 0.46 0.46 0.46 0.45 0.45 0.46 0.46 0.46 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47

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 0.959129 9.3975 0 2 0.924945 9.0626 0 3 0.884074 8.6621 0 4 0.847661 8.3054 0 5 0.80902 7.9267 0 6 0.779293 7.6355 0 7 0.749567 7.3442 0 8 0.717612 7.0311 0 9 0.683428 6.6962 0 10 0.647015 6.3394 0 11 0.608373 5.9608 0 12 0.581223 5.6948 0 13 0.553726 5.4254 0 14 0.526577 5.1594 1e-06 15 0.503885 4.937 2e-06 16 0.481194 4.7147 4e-06 17 0.442552 4.3361 1.8e-05 18 0.399801 3.9172 8.4e-05 19 0.357049 3.4984 0.000356 20 0.316527 3.1013 0.001265 21 0.276004 2.7043 0.004049 22 0.254009 2.4888 0.00727 23 0.232014 2.2733 0.012619 24 0.217054 2.1267 0.018005 25 0.190602 1.8675 0.032441 26 0.164149 1.6083 0.055524 27 0.135467 1.3273 0.093778 28 0.109015 1.0681 0.144072 29 0.082562 0.8089 0.210275 30 0.056109 0.5498 0.291881 31 0.025199 0.2469 0.402757 32 -0.00794 -0.0778 0.469075 33 -0.038851 -0.3807 0.352149 34 -0.07199 -0.7054 0.241148 35 -0.105129 -1.0301 0.152786 36 -0.126776 -1.2421 0.108604 37 -0.148423 -1.4542 0.074571 38 -0.163035 -1.5974 0.056731 39 -0.177646 -1.7406 0.042481 40 -0.192258 -1.8837 0.031314 41 -0.209099 -2.0487 0.021608 42 -0.225939 -2.2137 0.014607 43 -0.240551 -2.3569 0.010229 44 -0.255163 -2.5001 0.007056 45 -0.267546 -2.6214 0.005091 46 -0.278048 -2.7243 0.003828 47 -0.286322 -2.8054 0.003042 48 -0.299053 -2.9301 0.002117 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.959129 9.3975 0 2 0.062647 0.6138 0.270395 3 -0.095006 -0.9309 0.17713 4 0.022182 0.2173 0.414203 5 -0.034453 -0.3376 0.368211 6 0.081131 0.7949 0.21431 7 0.003466 0.034 0.486488 8 -0.06159 -0.6035 0.273813 9 -0.044556 -0.4366 0.331706 10 -0.050242 -0.4923 0.311825 11 -0.043087 -0.4222 0.336924 12 0.126627 1.2407 0.108872 13 -0.006378 -0.0625 0.475152 14 -0.042957 -0.4209 0.337389 15 0.043726 0.4284 0.33465 16 -0.016773 -0.1643 0.434905 17 -0.203008 -1.9891 0.02477 18 -0.095862 -0.9393 0.17498 19 -0.020324 -0.1991 0.42129 20 0.001141 0.0112 0.495551 21 -0.028029 -0.2746 0.392098 22 0.17401 1.7049 0.045719 23 0.020616 0.202 0.420173 24 0.050883 0.4986 0.309617 25 -0.138729 -1.3593 0.088625 26 -0.039499 -0.387 0.349802 27 0.011404 0.1117 0.455631 28 -0.054984 -0.5387 0.29566 29 -0.037293 -0.3654 0.357812 30 -0.041169 -0.4034 0.343784 31 -0.134939 -1.3221 0.094633 32 -0.087314 -0.8555 0.197201 33 0.108475 1.0628 0.145262 34 0.00035 0.0034 0.498634 35 -0.025817 -0.2529 0.400424 36 0.124578 1.2206 0.112611 37 -0.017836 -0.1748 0.430818 38 -0.011 -0.1078 0.457198 39 -0.062658 -0.6139 0.27036 40 -0.087775 -0.86 0.195961 41 0.00389 0.0381 0.484839 42 -0.028074 -0.2751 0.391926 43 0.036287 0.3555 0.361482 44 0.028908 0.2832 0.388803 45 0.010863 0.1064 0.457731 46 -0.059621 -0.5842 0.28024 47 0.096751 0.948 0.172763 48 -0.061814 -0.6056 0.273089

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242232011pobdhkazvxp9icn/1gyek1242231873.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242232011pobdhkazvxp9icn/1gyek1242231873.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242232011pobdhkazvxp9icn/2sb411242231873.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242232011pobdhkazvxp9icn/2sb411242231873.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')

Copyright

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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