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autocorr - niet werkende werkzoekenden - Lize geunes

*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 12:11:28 -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/t1242238327vaf6kn7g72nhr42.htm/, Retrieved Wed, 13 May 2009 20:12:09 +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/t1242238327vaf6kn7g72nhr42.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 «

220206 220115 218444 214912 210705 209673 237041 242081 241878 242621 238545 240337 244752 244576 241572 240541 236089 236997 264579 270349 269645 267037 258113 262813 267413 267366 264777 258863 254844 254868 277267 285351 286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319

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	0.902891	8.3242	0
2	0.784001	7.2281	0
3	0.689988	6.3614	0
4	0.625373	5.7657	0
5	0.592352	5.4612	0
6	0.539403	4.9731	2e-06
7	0.478911	4.4153	1.5e-05
8	0.417015	3.8447	0.000116
9	0.392265	3.6165	0.000253
10	0.399083	3.6794	0.000205
11	0.428817	3.9535	7.9e-05
12	0.433001	3.9921	6.9e-05
13	0.327009	3.0149	0.001694
14	0.208596	1.9232	0.028904
15	0.108768	1.0028	0.159404
16	0.043411	0.4002	0.344996
17	0.005773	0.0532	0.478839
18	-0.050602	-0.4665	0.321017
19	-0.100541	-0.9269	0.178291
20	-0.146294	-1.3488	0.090498
21	-0.158687	-1.463	0.073575
22	-0.14316	-1.3199	0.095211
23	-0.117964	-1.0876	0.139929
24	-0.104011	-0.9589	0.170156
25	-0.170991	-1.5765	0.059318
26	-0.247634	-2.2831	0.012461
27	-0.308583	-2.845	0.002782
28	-0.340731	-3.1414	0.001157
29	-0.357458	-3.2956	0.000717
30	-0.385245	-3.5518	0.000313
31	-0.404301	-3.7275	0.000174
32	-0.416946	-3.8441	0.000116
33	-0.400399	-3.6915	0.000196
34	-0.368519	-3.3976	0.000518
35	-0.326329	-3.0086	0.001726
36	-0.295292	-2.7225	0.00393
37	-0.333793	-3.0774	0.001405
38	-0.380623	-3.5092	0.000361
39	-0.411154	-3.7906	0.00014
40	-0.416624	-3.8411	0.000118
41	-0.409869	-3.7788	0.000146
42	-0.414525	-3.8217	0.000126
43	-0.411417	-3.7931	0.000139
44	-0.402914	-3.7147	0.000182
45	-0.365759	-3.3721	0.000562
46	-0.31924	-2.9432	0.002093
47	-0.266073	-2.4531	0.008104
48	-0.218056	-2.0104	0.023781

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.902891	8.3242	0
2	-0.168903	-1.5572	0.061568
3	0.083893	0.7735	0.2207
4	0.075612	0.6971	0.243818
5	0.118528	1.0928	0.13879
6	-0.143545	-1.3234	0.094623
7	0.003606	0.0332	0.486778
8	-0.035777	-0.3298	0.371164
9	0.177208	1.6338	0.053002
10	0.073008	0.6731	0.251356
11	0.162351	1.4968	0.069075
12	-0.11271	-1.0391	0.150845
13	-0.520561	-4.7993	3e-06
14	-0.049275	-0.4543	0.325389
15	-0.076627	-0.7065	0.240916
16	0.016284	0.1501	0.440509
17	0.013864	0.1278	0.449296
18	-0.00066	-0.0061	0.497578
19	0.093886	0.8656	0.194577
20	-0.036084	-0.3327	0.370099
21	-0.008634	-0.0796	0.468371
22	-0.041929	-0.3866	0.350022
23	-0.058782	-0.5419	0.294639
24	0.065171	0.6008	0.274772
25	-0.162497	-1.4982	0.068899
26	-0.002584	-0.0238	0.490524
27	-0.024515	-0.226	0.410865
28	-0.010372	-0.0956	0.462023
29	-0.073183	-0.6747	0.250845
30	0.025708	0.237	0.406608
31	-0.010779	-0.0994	0.460536
32	-0.000757	-0.007	0.497224
33	-0.029721	-0.274	0.392368
34	-0.042799	-0.3946	0.347069
35	0.020065	0.185	0.42684
36	-0.046593	-0.4296	0.334298
37	-0.128761	-1.1871	0.119244
38	-0.034144	-0.3148	0.376845
39	0.01169	0.1078	0.457213
40	0.007996	0.0737	0.470702
41	-0.027751	-0.2558	0.399344
42	-0.000757	-0.007	0.497226
43	-0.008542	-0.0788	0.468705
44	-0.054	-0.4979	0.309937
45	0.009065	0.0836	0.466794
46	-0.0526	-0.4849	0.31448
47	-0.000243	-0.0022	0.499108
48	0.041334	0.3811	0.352048

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242238327vaf6kn7g72nhr42/1ufar1242238286.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242238327vaf6kn7g72nhr42/1ufar1242238286.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242238327vaf6kn7g72nhr42/26fo51242238286.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/13/t1242238327vaf6kn7g72nhr42/26fo51242238286.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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