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Time Series Analysis - verkoop rode wijn - Renske van der Eijk

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 14 May 2009 11:22:35 -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/14/t12423218189eiag4v4jbsgbqv.htm/, Retrieved Thu, 14 May 2009 19:23:40 +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/14/t12423218189eiag4v4jbsgbqv.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 «
464 675 703 887 1139 1077 1318 1260 1120 963 996 960 530 883 894 1045 1199 1287 1565 1577 1076 918 1008 1063 544 635 804 980 1018 1064 1404 1286 1104 999 996 1015 615 722 832 977 1270 1437 1520 1708 1151 934 1159 1209 699 830 996 1124 1458 1270 1753 2258 1208 1241 1265 1828 809 997 1164 1205 1538 1513 1378 2083 1357 1536 1526 1376
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.5602184.75365e-06
20.3470712.9450.002173
30.2274131.92970.028794
40.07390.62710.2663
5-0.147591-1.25230.107248
6-0.30614-2.59770.005687
7-0.219919-1.86610.033052
80.0240480.20410.419443
90.1184051.00470.159204
100.2247461.9070.030253
110.3894563.30460.000742
120.6702455.68720
130.4252983.60880.000282
140.2163971.83620.035229
150.1207181.02430.154554
16-0.03844-0.32620.372619
17-0.219874-1.86570.033079
18-0.337498-2.86380.00274
19-0.292311-2.48030.007732
20-0.106289-0.90190.18506
21-0.012029-0.10210.459491
220.073650.62490.266993
230.2118371.79750.038225
240.4193243.55810.000333
250.2767042.34790.010815
260.109520.92930.177918
270.0255250.21660.414571
28-0.088482-0.75080.227612
29-0.209951-1.78150.039525
30-0.337064-2.86010.002769
31-0.306637-2.60190.005624
32-0.143669-1.21910.113399
33-0.084178-0.71430.238685
34-0.021429-0.18180.428113
350.0844820.71690.237891
360.254722.16140.016996
370.1663611.41160.081185
380.0105010.08910.464624
39-0.046748-0.39670.346391
40-0.126681-1.07490.142999
41-0.210904-1.78960.038864
42-0.277878-2.35790.01055
43-0.280946-2.38390.009884
44-0.134209-1.13880.129281
45-0.093386-0.79240.215363
46-0.046087-0.39110.348453
470.0023680.02010.492013
480.14361.21850.113509


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.5602184.75365e-06
20.0484260.41090.341181
30.0222990.18920.42523
4-0.10561-0.89610.186585
5-0.242903-2.06110.021453
6-0.200815-1.7040.046349
70.1238581.0510.148393
80.3704773.14360.001212
90.1695571.43870.077279
100.1035070.87830.191355
110.0907070.76970.222004
120.435853.69830.00021
13-0.252972-2.14650.0176
14-0.159939-1.35710.08949
15-0.03782-0.32090.374603
16-0.109138-0.92610.178753
17-0.040449-0.34320.366217
180.0618370.52470.300699
190.0047090.040.484118
20-0.115062-0.97630.166083
21-0.02057-0.17450.430963
22-0.050804-0.43110.333846
23-0.05484-0.46530.321548
240.0600880.50990.305854
25-0.003923-0.03330.486767
26-0.026922-0.22840.409975
27-0.037174-0.31540.376672
280.0467460.39670.346398
290.0611830.51920.302622
30-0.080113-0.67980.249411
310.0052260.04430.482377
320.0245950.20870.417636
33-0.089006-0.75520.226284
34-0.04045-0.34320.366212
350.0049470.0420.483317
360.0140160.11890.45283
37-0.074858-0.63520.263658
38-0.054292-0.46070.323206
39-0.015721-0.13340.447124
40-0.050131-0.42540.335917
410.0076860.06520.47409
420.1345011.14130.128769
43-0.039536-0.33550.369121
44-0.045036-0.38210.351739
45-0.021267-0.18050.428652
460.0067970.05770.477085
47-0.137142-1.16370.124196
480.0753540.63940.262296
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423218189eiag4v4jbsgbqv/1guls1242321754.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423218189eiag4v4jbsgbqv/1guls1242321754.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423218189eiag4v4jbsgbqv/2w9rw1242321754.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423218189eiag4v4jbsgbqv/2w9rw1242321754.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')
 




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