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Autocorrelatie jurk birgit teugels

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 17 May 2009 04:31:12 -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/17/t1242556335tus6snpo0u8baj4.htm/, Retrieved Sun, 17 May 2009 12:32:17 +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/17/t1242556335tus6snpo0u8baj4.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 «

20,73 20,73 20,74 20,74 20,75 20,75 20,77 20,78 20,78 20,8 20,84 20,85 20,86 20,86 20,86 20,86 20,9 20,92 20,95 20,95 20,95 20,96 21,1 21,18 21,19 21,19 21,19 21,19 21,19 21,21 21,22 21,22 21,22 21,23 21,41 21,42 21,43 21,44 21,44 21,44 21,48 21,53 21,54 21,54 21,54 21,54 21,54 21,54 21,54 21,54 21,54 21,54 21,57 21,6 21,61 21,6 21,6 21,71 21,75 21,84 21,85 21,92 21,92 21,93 22 22 21,99 22,01 22,01 22,06 22,03 22,05 22,05 22,06 22,06 22,13 22,06 22,25 22,28 22,18

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	0.964127	8.6234	0
2	0.922823	8.254	0
3	0.882236	7.891	0
4	0.848865	7.5925	0
5	0.811674	7.2598	0
6	0.776248	6.943	0
7	0.739546	6.6147	0
8	0.702397	6.2824	0
9	0.663951	5.9386	0
10	0.626967	5.6078	0
11	0.589431	5.272	1e-06
12	0.552857	4.9449	2e-06
13	0.514299	4.6	8e-06
14	0.475202	4.2503	2.9e-05
15	0.434645	3.8876	0.000104
16	0.394342	3.5271	0.00035
17	0.356644	3.1899	0.001016
18	0.319072	2.8539	0.002749
19	0.280007	2.5045	0.007148
20	0.242671	2.1705	0.016466
21	0.204338	1.8277	0.035665
22	0.170119	1.5216	0.066027
23	0.143648	1.2848	0.101281
24	0.123422	1.1039	0.136468
25	0.101896	0.9114	0.182415
26	0.078192	0.6994	0.243175
27	0.054751	0.4897	0.312839
28	0.031725	0.2838	0.388664
29	0.009391	0.084	0.466636
30	-0.012647	-0.1131	0.45511
31	-0.035779	-0.32	0.374895
32	-0.059565	-0.5328	0.297837
33	-0.083645	-0.7481	0.228283
34	-0.107642	-0.9628	0.169279
35	-0.125225	-1.12	0.133023
36	-0.144385	-1.2914	0.100139
37	-0.164257	-1.4692	0.072856
38	-0.185346	-1.6578	0.050638
39	-0.206355	-1.8457	0.034318
40	-0.225821	-2.0198	0.023376
41	-0.242382	-2.1679	0.016568
42	-0.258625	-2.3132	0.01164
43	-0.274743	-2.4574	0.008079
44	-0.292812	-2.619	0.005273
45	-0.310988	-2.7816	0.003372
46	-0.328158	-2.9351	0.002175
47	-0.33777	-3.0211	0.00169
48	-0.34773	-3.1102	0.001295

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.964127	8.6234	0
2	-0.09534	-0.8527	0.198174
3	-0.005572	-0.0498	0.480189
4	0.079847	0.7142	0.238599
5	-0.088499	-0.7916	0.215478
6	0.016516	0.1477	0.441466
7	-0.033956	-0.3037	0.381069
8	-0.037397	-0.3345	0.369443
9	-0.028698	-0.2567	0.39904
10	-0.006906	-0.0618	0.475449
11	-0.033474	-0.2994	0.382704
12	-0.010064	-0.09	0.464251
13	-0.049851	-0.4459	0.328445
14	-0.033378	-0.2985	0.383033
15	-0.041383	-0.3701	0.356129
16	-0.029774	-0.2663	0.395343
17	0.011442	0.1023	0.459372
18	-0.037481	-0.3352	0.369159
19	-0.046444	-0.4154	0.339477
20	0.005095	0.0456	0.481882
21	-0.053936	-0.4824	0.315412
22	0.030612	0.2738	0.392472
23	0.08316	0.7438	0.229587
24	0.039252	0.3511	0.363225
25	-0.03369	-0.3013	0.38197
26	-0.035066	-0.3136	0.377305
27	-0.011179	-0.1	0.460302
28	-0.0271	-0.2424	0.404549
29	-0.01596	-0.1427	0.443424
30	-0.02538	-0.227	0.410498
31	-0.045782	-0.4095	0.341637
32	-0.033325	-0.2981	0.383213
33	-0.027125	-0.2426	0.404461
34	-0.034379	-0.3075	0.379634
35	0.060925	0.5449	0.29366
36	-0.068713	-0.6146	0.270284
37	-0.039903	-0.3569	0.361052
38	-0.025774	-0.2305	0.409133
39	-0.038443	-0.3438	0.365932
40	0.002229	0.0199	0.49207
41	0.00222	0.0199	0.492105
42	-0.033054	-0.2956	0.384133
43	-0.017909	-0.1602	0.436569
44	-0.045545	-0.4074	0.342415
45	-0.016496	-0.1475	0.441535
46	0.005368	0.048	0.480912
47	0.065458	0.5855	0.279938
48	-0.050492	-0.4516	0.326384

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242556335tus6snpo0u8baj4/13ozn1242556270.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242556335tus6snpo0u8baj4/13ozn1242556270.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242556335tus6snpo0u8baj4/2e8731242556270.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242556335tus6snpo0u8baj4/2e8731242556270.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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