Home » date » 2009 » May » 14 »

degree of non-seasonal differencing - aantal werklozen - Tim Vervaet

*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 11:36:27 -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/t12423227043sqotx3dxyrdj86.htm/, Retrieved Thu, 14 May 2009 19:38:24 +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/t12423227043sqotx3dxyrdj86.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 «

517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.26187	2.2066	0.01529
2	-0.20102	-1.6938	0.047341
3	-0.309947	-2.6117	0.005494
4	-0.267141	-2.251	0.013742
5	0.085221	0.7181	0.23753
6	0.201498	1.6979	0.046957
7	0.047098	0.3969	0.346332
8	-0.244639	-2.0614	0.021466
9	-0.277805	-2.3408	0.011027
10	-0.159203	-1.3415	0.092022
11	0.250991	2.1149	0.018975
12	0.747742	6.3006	0
13	0.174861	1.4734	0.072531
14	-0.168781	-1.4222	0.079677
15	-0.263621	-2.2213	0.01476
16	-0.215712	-1.8176	0.03667
17	0.06473	0.5454	0.293584
18	0.123743	1.0427	0.150317
19	0.01933	0.1629	0.435538
20	-0.230224	-1.9399	0.028182
21	-0.227703	-1.9187	0.029524
22	-0.090601	-0.7634	0.223873
23	0.188099	1.5849	0.058711
24	0.55345	4.6635	7e-06
25	0.117276	0.9882	0.163209
26	-0.184602	-1.5555	0.062139
27	-0.264345	-2.2274	0.014546
28	-0.163441	-1.3772	0.086392
29	0.053747	0.4529	0.326008
30	0.091557	0.7715	0.221494
31	0.009992	0.0842	0.466569
32	-0.18945	-1.5963	0.057428
33	-0.145917	-1.2295	0.111468
34	-0.063854	-0.538	0.296114
35	0.129199	1.0886	0.139995
36	0.420872	3.5463	0.000348
37	0.087509	0.7374	0.231667
38	-0.175586	-1.4795	0.071714
39	-0.219303	-1.8479	0.034393
40	-0.112911	-0.9514	0.172312
41	0.042229	0.3558	0.361511
42	0.097761	0.8238	0.20642
43	-0.003206	-0.027	0.489264
44	-0.152089	-1.2815	0.10209
45	-0.103298	-0.8704	0.193507
46	-0.061138	-0.5152	0.304021
47	0.07803	0.6575	0.256496
48	0.294365	2.4804	0.007749

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.26187	2.2066	0.01529
2	-0.289445	-2.4389	0.008617
3	-0.194837	-1.6417	0.052534
4	-0.211814	-1.7848	0.039284
5	0.119375	1.0059	0.158946
6	-0.000897	-0.0076	0.496994
7	-0.080825	-0.681	0.24903
8	-0.270581	-2.28	0.012808
9	-0.124048	-1.0453	0.149726
10	-0.197666	-1.6656	0.050104
11	0.18208	1.5342	0.064708
12	0.621785	5.2393	1e-06
13	-0.154884	-1.3051	0.09804
14	0.130924	1.1032	0.136837
15	0.050949	0.4293	0.334502
16	0.059487	0.5012	0.308873
17	-0.121475	-1.0236	0.154758
18	-0.08432	-0.7105	0.239864
19	0.021067	0.1775	0.429804
20	-0.103874	-0.8753	0.192192
21	0.006857	0.0578	0.477043
22	0.01518	0.1279	0.449292
23	-0.119103	-1.0036	0.159496
24	0.026897	0.2266	0.410678
25	-0.033368	-0.2812	0.3897
26	-0.128775	-1.0851	0.140779
27	-0.141755	-1.1944	0.118139
28	0.025519	0.215	0.415181
29	-0.071256	-0.6004	0.275071
30	-0.04627	-0.3899	0.348897
31	-0.014682	-0.1237	0.450947
32	0.068134	0.5741	0.283854
33	0.03243	0.2733	0.392722
34	-0.079888	-0.6731	0.251519
35	0.000606	0.0051	0.497969
36	-0.00862	-0.0726	0.47115
37	-0.002043	-0.0172	0.493156
38	-0.042049	-0.3543	0.362078
39	0.038467	0.3241	0.373396
40	0.012497	0.1053	0.458215
41	-0.01425	-0.1201	0.452383
42	0.090751	0.7647	0.223498
43	-0.087733	-0.7393	0.231094
44	-0.008826	-0.0744	0.470463
45	-0.067524	-0.569	0.285587
46	-0.045169	-0.3806	0.352317
47	-0.137721	-1.1605	0.124874
48	-0.113393	-0.9555	0.171292

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423227043sqotx3dxyrdj86/1yoij1242322583.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423227043sqotx3dxyrdj86/1yoij1242322583.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423227043sqotx3dxyrdj86/2hobn1242322583.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/14/t12423227043sqotx3dxyrdj86/2hobn1242322583.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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