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Partiële autocorrelatie met d=1

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 21 Nov 2009 12:45:06 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/21/t125883278765dqq8ijypswufm.htm/, Retrieved Sat, 21 Nov 2009 20:46:29 +0100

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/Nov/21/t125883278765dqq8ijypswufm.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 «

5560 3922 3759 4138 4634 3996 4308 4429 5219 4929 5755 5592 4163 4962 5208 4755 4491 5732 5731 5040 6102 4904 5369 5578 4619 4731 5011 5299 4146 4625 4736 4219 5116 4205 4121 5103 4300 4578 3809 5526 4247 3830 4394 4826 4409 4569 4106 4794 3914 3793 4405 4022 4100 4788 3163 3585 3903 4178 3863 4187

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	-0.449196	-3.4503	0.00052
2	-0.119822	-0.9204	0.180564
3	0.165376	1.2703	0.104486
4	0.014923	0.1146	0.454567
5	-0.082225	-0.6316	0.265049
6	-0.036303	-0.2788	0.390668
7	0.071266	0.5474	0.293082
8	-0.089746	-0.6893	0.246653
9	-0.030715	-0.2359	0.407152
10	0.212132	1.6294	0.054277
11	-0.266228	-2.0449	0.022665
12	0.161271	1.2387	0.110173
13	-0.007693	-0.0591	0.476539
14	0.024684	0.1896	0.425135
15	-0.082678	-0.6351	0.263922
16	-0.01065	-0.0818	0.46754
17	0.015805	0.1214	0.451893
18	0.021876	0.168	0.433566
19	-0.04629	-0.3556	0.361718
20	-0.020895	-0.1605	0.436518
21	0.032229	0.2476	0.402669
22	0.047969	0.3685	0.356925
23	-0.051726	-0.3973	0.346283
24	0.001485	0.0114	0.49547
25	0.008292	0.0637	0.474715
26	0.039311	0.302	0.381875
27	0.001162	0.0089	0.496454
28	-0.052053	-0.3998	0.345365
29	0.043901	0.3372	0.368578
30	0.044192	0.3394	0.367741
31	-0.089505	-0.6875	0.247231
32	-0.008763	-0.0673	0.473282
33	0.131421	1.0095	0.158436
34	-0.165424	-1.2706	0.104421
35	0.0768	0.5899	0.278752
36	0.041429	0.3182	0.37572

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.449196	-3.4503	0.00052
2	-0.402894	-3.0947	0.001505
3	-0.136261	-1.0466	0.149767
4	0.012869	0.0988	0.460797
5	-0.002636	-0.0202	0.491958
6	-0.097318	-0.7475	0.228861
7	-0.0571	-0.4386	0.33128
8	-0.147267	-1.1312	0.131278
9	-0.183288	-1.4079	0.08221
10	0.118469	0.91	0.183268
11	-0.144385	-1.109	0.135956
12	0.044468	0.3416	0.366947
13	-0.031277	-0.2402	0.405487
14	0.080043	0.6148	0.270518
15	-0.029404	-0.2259	0.411048
16	-0.103046	-0.7915	0.215909
17	-0.173593	-1.3334	0.093764
18	-0.039432	-0.3029	0.381523
19	-0.063075	-0.4845	0.314916
20	-0.118868	-0.913	0.182469
21	-0.040243	-0.3091	0.379163
22	-0.062261	-0.4782	0.317124
23	-0.015325	-0.1177	0.453348
24	-0.104779	-0.8048	0.212077
25	-0.082826	-0.6362	0.263553
26	-0.052028	-0.3996	0.345434
27	0.037682	0.2894	0.386628
28	-0.053969	-0.4145	0.33999
29	0.039935	0.3067	0.380059
30	0.08015	0.6156	0.270249
31	-0.047944	-0.3683	0.356996
32	-0.117018	-0.8988	0.186198
33	0.058674	0.4507	0.326936
34	-0.114685	-0.8809	0.190971
35	-0.017779	-0.1366	0.44592
36	-0.009698	-0.0745	0.470436

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/21/t125883278765dqq8ijypswufm/13omj1258832704.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/21/t125883278765dqq8ijypswufm/13omj1258832704.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/21/t125883278765dqq8ijypswufm/2yu8m1258832704.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/21/t125883278765dqq8ijypswufm/2yu8m1258832704.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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