Home » date » 2009 » May » 13 »

Autocorrelatie - kleurentv gedifferentieerd - Tjitse Voortman

*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 11:43:14 -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/t1242236740404a3s8vzvj29z5.htm/, Retrieved Wed, 13 May 2009 19:45:42 +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/t1242236740404a3s8vzvj29z5.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 «

666.27 664.45 660.76 660.40 660.69 660.69 662.23 661.41 659.02 655.43 652.59 652.59 648.20 645.84 644.67 642.71 640.14 640.14 639.64 630.28 614.57 614.70 615.08 615.08 614.43 604.55 598.98 594.05 593.05 593.05 593.34 584.72 580.70 577.08 569.92 569.92 568.86 559.38 548.22 545.61 545.33 530.30 527.76 521.41 1601.93 1577.49 1551.43 1551.43 1516.88 1485.95 1438.22 1385.06 1329.49 1329.49 1276.16 1242.34 1181.59 1160.21 1135.18 1135.18 1084.96 1077.35 1061.13 1029.98 1013.08 1013.08 996.04 975.02 951.89 944.40 932.47 932.47 920.44 900.18 886.90

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.0133	-0.1144	0.454612
2	-0.009971	-0.0858	0.465939
3	-5e-06	0	0.499984
4	-0.01511	-0.13	0.448469
5	-0.017031	-0.1465	0.441961
6	-0.03748	-0.3224	0.374024
7	-0.045669	-0.3929	0.347776
8	-0.039448	-0.3393	0.367656
9	0.009876	0.085	0.466261
10	-0.044474	-0.3826	0.351565
11	-0.024414	-0.21	0.417116
12	-0.048753	-0.4194	0.338073
13	-0.019519	-0.1679	0.433558
14	-0.014704	-0.1265	0.449845
15	0.006475	0.0557	0.477864
16	-0.040508	-0.3485	0.364241
17	-0.004897	-0.0421	0.483257
18	-0.013064	-0.1124	0.455414
19	-0.0325	-0.2796	0.390292
20	-0.012759	-0.1098	0.45645
21	0.002968	0.0255	0.489849
22	-0.011565	-0.0995	0.460512
23	-0.016132	-0.1388	0.445002
24	-0.0335	-0.2882	0.387007
25	-0.013681	-0.1177	0.453317
26	-0.010384	-0.0893	0.464533
27	5.1e-05	4e-04	0.499826
28	-0.013463	-0.1158	0.454056
29	-0.019547	-0.1681	0.433462
30	-0.013224	-0.1138	0.454869
31	0.000578	0.005	0.498024
32	-0.001486	-0.0128	0.494919
33	0.001659	0.0143	0.494327
34	-0.001019	-0.0088	0.496513
35	-0.001053	-0.0091	0.496398
36	0.000249	0.0021	0.499148
37	0.000943	0.0081	0.496775
38	0.002706	0.0233	0.490746
39	0.001008	0.0087	0.496552
40	0.001659	0.0143	0.494328
41	0.000927	0.008	0.496828
42	-0.002191	-0.0188	0.492507
43	-0.000552	-0.0048	0.498111
44	0.003514	0.0302	0.487982
45	0.002908	0.025	0.490056
46	0.003002	0.0258	0.489733
47	0.003381	0.0291	0.488439
48	0.00334	0.0287	0.488576

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.0133	-0.1144	0.454612
2	-0.01015	-0.0873	0.46533
3	-0.000274	-0.0024	0.499064
4	-0.015219	-0.1309	0.448098
5	-0.01745	-0.1501	0.440543
6	-0.038287	-0.3294	0.371409
7	-0.0472	-0.406	0.342946
8	-0.042098	-0.3621	0.35914
9	0.006909	0.0594	0.476384
10	-0.04705	-0.4047	0.343417
11	-0.02899	-0.2494	0.401878
12	-0.055914	-0.481	0.315972
13	-0.027749	-0.2387	0.405995
14	-0.024567	-0.2113	0.416605
15	-0.001698	-0.0146	0.494191
16	-0.049823	-0.4286	0.334732
17	-0.016459	-0.1416	0.443897
18	-0.028498	-0.2452	0.403509
19	-0.044807	-0.3854	0.350508
20	-0.02853	-0.2454	0.403405
21	-0.008676	-0.0746	0.470353
22	-0.026529	-0.2282	0.410056
23	-0.031802	-0.2736	0.392588
24	-0.053292	-0.4584	0.323992
25	-0.029738	-0.2558	0.399403
26	-0.031506	-0.271	0.393563
27	-0.017008	-0.1463	0.442037
28	-0.032716	-0.2814	0.389581
29	-0.040624	-0.3495	0.363869
30	-0.03911	-0.3364	0.368745
31	-0.02349	-0.2021	0.420209
32	-0.026752	-0.2301	0.409312
33	-0.019052	-0.1639	0.435131
34	-0.025406	-0.2186	0.4138
35	-0.027538	-0.2369	0.406698
36	-0.028865	-0.2483	0.402291
37	-0.023577	-0.2028	0.419919
38	-0.022162	-0.1906	0.424662
39	-0.021763	-0.1872	0.426002
40	-0.024199	-0.2082	0.417834
41	-0.023913	-0.2057	0.418791
42	-0.028939	-0.2489	0.402047
43	-0.025003	-0.2151	0.415147
44	-0.020492	-0.1763	0.430279
45	-0.019879	-0.171	0.432344
46	-0.020845	-0.1793	0.429089
47	-0.020517	-0.1765	0.430195
48	-0.022072	-0.1899	0.424964

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242236740404a3s8vzvj29z5/1k5nd1242236592.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242236740404a3s8vzvj29z5/1k5nd1242236592.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242236740404a3s8vzvj29z5/2g6oz1242236592.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242236740404a3s8vzvj29z5/2g6oz1242236592.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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