Home » date » 2009 » May » 17 »

autocorrelatie jurk: non seasonal op 1 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 04:53:07 -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/t1242557640opo5725urud9aaz.htm/, Retrieved Sun, 17 May 2009 12:54:00 +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/t1242557640opo5725urud9aaz.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.08983	-0.7984	0.213509
2	-0.078971	-0.7019	0.2424
3	-0.027113	-0.241	0.405095
4	-0.05785	-0.5142	0.304281
5	-0.019065	-0.1694	0.432938
6	0.071084	0.6318	0.264669
7	-0.025879	-0.23	0.409337
8	-0.029047	-0.2582	0.398471
9	-0.155258	-1.38	0.085745
10	-0.083121	-0.7388	0.23111
11	0.025406	0.2258	0.410965
12	0.112047	0.9959	0.16117
13	-0.005947	-0.0529	0.478989
14	-0.061213	-0.5441	0.293961
15	-0.219582	-1.9517	0.02726
16	0.088513	0.7867	0.216898
17	-0.034677	-0.3082	0.379365
18	0.161237	1.4331	0.077887
19	0.005658	0.0503	0.480008
20	0.010348	0.092	0.463475
21	-0.118029	-1.0491	0.148673
22	-0.166135	-1.4766	0.071874
23	0.125051	1.1115	0.134867
24	0.097105	0.8631	0.195351
25	0.096232	0.8553	0.197479
26	-0.095618	-0.8499	0.198984
27	-0.002688	-0.0239	0.490501
28	-0.035224	-0.3131	0.377525
29	-0.05096	-0.4529	0.325917
30	0.069043	0.6137	0.2706
31	-0.037835	-0.3363	0.368775
32	-0.084517	-0.7512	0.227381
33	-0.082003	-0.7289	0.234122
34	0.013488	0.1199	0.452439
35	0.142919	1.2703	0.103855
36	0.035197	0.3128	0.377615
37	0.096455	0.8573	0.196933
38	-0.059858	-0.532	0.2981
39	-0.015757	-0.1401	0.444487
40	-0.029308	-0.2605	0.397578
41	0.123577	1.0984	0.137687
42	-0.054492	-0.4843	0.314743
43	0.204755	1.8199	0.036281
44	-0.023356	-0.2076	0.418042
45	-0.161537	-1.4358	0.077507
46	-0.012379	-0.11	0.456335
47	0.025672	0.2282	0.410049
48	-0.00433	-0.0385	0.484698

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.08983	-0.7984	0.213509
2	-0.087748	-0.7799	0.218883
3	-0.043393	-0.3857	0.350382
4	-0.073047	-0.6493	0.259027
5	-0.039267	-0.349	0.364005
6	0.053403	0.4747	0.318172
7	-0.023655	-0.2103	0.417006
8	-0.029968	-0.2664	0.395327
9	-0.168825	-1.5006	0.068729
10	-0.124311	-1.1049	0.136279
11	-0.033307	-0.296	0.383989
12	0.074795	0.6648	0.25406
13	-0.011602	-0.1031	0.459064
14	-0.072255	-0.6422	0.261297
15	-0.243557	-2.1648	0.016712
16	0.02796	0.2485	0.402192
17	-0.088255	-0.7844	0.217567
18	0.108163	0.9614	0.16965
19	-0.041228	-0.3664	0.357508
20	0.020782	0.1847	0.426964
21	-0.098566	-0.8761	0.191823
22	-0.221558	-1.9692	0.026215
23	0.036486	0.3243	0.373286
24	-0.021979	-0.1954	0.42281
25	0.12347	1.0974	0.137895
26	-0.107111	-0.952	0.171995
27	0.065802	0.5849	0.280155
28	-0.069631	-0.6189	0.268883
29	-0.105718	-0.9396	0.175133
30	-0.071288	-0.6336	0.264078
31	-0.117872	-1.0477	0.148994
32	-0.123935	-1.1016	0.136999
33	-0.057407	-0.5102	0.30565
34	0.000182	0.0016	0.499358
35	0.122586	1.0896	0.139609
36	-0.09373	-0.8331	0.203653
37	0.027951	0.2484	0.402222
38	-0.053516	-0.4757	0.317815
39	-0.015729	-0.1398	0.444588
40	0.028096	0.2497	0.401725
41	0.028555	0.2538	0.400154
42	-0.029702	-0.264	0.396233
43	0.129866	1.1543	0.125935
44	0.067649	0.6013	0.27469
45	-0.085343	-0.7585	0.22519
46	-0.043312	-0.385	0.35065
47	-0.017547	-0.156	0.438232
48	-0.023013	-0.2045	0.419228

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242557640opo5725urud9aaz/1kd7e1242557582.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242557640opo5725urud9aaz/1kd7e1242557582.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242557640opo5725urud9aaz/2974d1242557582.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/17/t1242557640opo5725urud9aaz/2974d1242557582.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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