Home » date » 2009 » May » 27 »

Datareeks - Omzet aardolie- en aardgaswinning, aardolieindustrie - Silke van den Berg

*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, 27 May 2009 10:56:25 -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/27/t1243443456jd9n5ognopoygc2.htm/, Retrieved Wed, 27 May 2009 18:57:38 +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/27/t1243443456jd9n5ognopoygc2.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 «

493395,00 487190,00 519493,00 519453,00 538588,00 438224,00 542034,00 512027,00 619880,00 533737,00 573789,00 589213,00 532168,00 551102,00 593789,00 527106,00 547327,00 601305,00 610872,00 601325,00 642143,00 614216,00 657979,00 673098,00 602297,00 615381,00 703671,00 733852,00 716596,00 745798,00 742027,10 679181,20 739022,70 645410,60 729382,10 671052,70 744954,80 677639,30 778207,20 763316,20 658531,60 831700,10 664156,30 621402,10 683588,70 600023,80 643273,80 653615,90 620177,50 574128,80 599828,00 599369,40 596617,70 616114,60 510226,90 493960,10 634503,30 588556,20 603239,00 617458,20 646543,50 680125,60 731595,80 759600,30 785031,70 849573,30 762342,00 815346,60 929603,20 784057,50 944667,70 1007258,30 664292,70 873207,40 1146510,00 1417266,80 1089387,90 1373379,70 1009397,60 818175,10 1003458,10 961142,70 1121906,60 1141713,30 1042352,60 992223,60 920525,30 1076093,40 967880,40 1236416,10

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	0.798231	7.5727	0
2	0.750472	7.1196	0
3	0.692863	6.5731	0
4	0.639524	6.0671	0
5	0.631678	5.9926	0
6	0.640591	6.0772	0
7	0.610245	5.7893	0
8	0.503359	4.7753	3e-06
9	0.487822	4.6279	6e-06
10	0.421202	3.9959	6.6e-05
11	0.377925	3.5853	0.000273
12	0.412004	3.9086	9e-05
13	0.289126	2.7429	0.003674
14	0.255409	2.423	0.008697
15	0.162501	1.5416	0.063337
16	0.072455	0.6874	0.246809
17	0.035042	0.3324	0.370166
18	0.052256	0.4957	0.310643
19	0.005543	0.0526	0.479088
20	-0.055237	-0.524	0.300774
21	-0.05267	-0.4997	0.309262
22	-0.092761	-0.88	0.190599
23	-0.112572	-1.068	0.144199
24	-0.088182	-0.8366	0.202526
25	-0.13424	-1.2735	0.103058
26	-0.142339	-1.3504	0.090145
27	-0.135804	-1.2884	0.100463
28	-0.153302	-1.4544	0.074664
29	-0.135468	-1.2852	0.101016
30	-0.113347	-1.0753	0.142557
31	-0.118847	-1.1275	0.131269
32	-0.110721	-1.0504	0.148175
33	-0.073625	-0.6985	0.243343
34	-0.073222	-0.6946	0.244535
35	-0.053161	-0.5043	0.30763
36	-0.001206	-0.0114	0.495448
37	-0.011486	-0.109	0.456735
38	-0.00715	-0.0678	0.473034
39	0.025298	0.24	0.405439
40	0.007728	0.0733	0.470861
41	0.036979	0.3508	0.363274
42	0.046084	0.4372	0.331511
43	0.050652	0.4805	0.316009
44	0.042993	0.4079	0.34217
45	0.062322	0.5912	0.277921
46	0.049571	0.4703	0.319651
47	0.047956	0.4549	0.325121
48	0.070118	0.6652	0.253813

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.798231	7.5727	0
2	0.312267	2.9624	0.001952
3	0.09655	0.916	0.18107
4	0.025934	0.246	0.403109
5	0.134014	1.2714	0.103437
6	0.168439	1.598	0.056779
7	0.002737	0.026	0.489671
8	-0.281777	-2.6732	0.004461
9	0.039307	0.3729	0.355051
10	-0.040271	-0.382	0.351664
11	-0.059358	-0.5631	0.287377
12	0.152107	1.443	0.076244
13	-0.336909	-3.1962	0.000961
14	0.005279	0.0501	0.480084
15	-0.133646	-1.2679	0.104056
16	-0.220078	-2.0878	0.019819
17	0.06409	0.608	0.272355
18	0.120964	1.1476	0.127094
19	-0.095529	-0.9063	0.183608
20	0.026683	0.2531	0.400371
21	0.046479	0.4409	0.330158
22	0.183723	1.743	0.042379
23	0.061015	0.5788	0.282073
24	-0.070238	-0.6663	0.25345
25	0.005151	0.0489	0.480567
26	0.038501	0.3652	0.357891
27	0.135594	1.2864	0.100809
28	-0.012338	-0.117	0.453543
29	0.016537	0.1569	0.437843
30	-0.027936	-0.265	0.3958
31	-0.028688	-0.2722	0.393061
32	-0.003831	-0.0363	0.485546
33	0.015393	0.146	0.44211
34	-0.016836	-0.1597	0.436731
35	0.011876	0.1127	0.455274
36	-0.037878	-0.3593	0.360089
37	0.001375	0.013	0.494811
38	0.002759	0.0262	0.48959
39	0.020665	0.196	0.422508
40	-0.099618	-0.9451	0.17358
41	-0.023312	-0.2212	0.412736
42	-0.042048	-0.3989	0.345456
43	0.037892	0.3595	0.36004
44	-0.002649	-0.0251	0.490003
45	-0.028186	-0.2674	0.394889
46	-0.029147	-0.2765	0.391393
47	0.001482	0.0141	0.494408
48	0.020091	0.1906	0.424634

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/27/t1243443456jd9n5ognopoygc2/1xvg41243443383.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/27/t1243443456jd9n5ognopoygc2/1xvg41243443383.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/27/t1243443456jd9n5ognopoygc2/2lry01243443383.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/27/t1243443456jd9n5ognopoygc2/2lry01243443383.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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