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Autocorrelatie functie

*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: Mon, 23 Nov 2009 11:29:14 -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/23/t1259001060ykvh27csxmyupxb.htm/, Retrieved Mon, 23 Nov 2009 19:31:03 +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/23/t1259001060ykvh27csxmyupxb.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 «

8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3 8.2

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.853429	7.2917	0
2	0.595655	5.0893	1e-06
3	0.416789	3.561	0.000327
4	0.418374	3.5746	0.000313
5	0.542639	4.6363	8e-06
6	0.638982	5.4595	0
7	0.599416	5.1214	1e-06
8	0.469722	4.0133	7.2e-05
9	0.358775	3.0654	0.001523
10	0.339332	2.8993	0.002469
11	0.38267	3.2695	0.000822
12	0.414911	3.545	0.000345
13	0.333218	2.847	0.002863
14	0.222307	1.8994	0.030732
15	0.136095	1.1628	0.124349
16	0.098968	0.8456	0.200273
17	0.095027	0.8119	0.209742
18	0.083667	0.7148	0.238491
19	0.032594	0.2785	0.390713
20	-0.031706	-0.2709	0.393616
21	-0.079816	-0.682	0.248714
22	-0.098279	-0.8397	0.201911
23	-0.097328	-0.8316	0.204182
24	-0.099166	-0.8473	0.199805
25	-0.145578	-1.2438	0.108772
26	-0.179826	-1.5364	0.064378
27	-0.192706	-1.6465	0.051982
28	-0.187067	-1.5983	0.057148
29	-0.179672	-1.5351	0.064539
30	-0.188983	-1.6147	0.055348
31	-0.228375	-1.9512	0.027433
32	-0.277832	-2.3738	0.010119
33	-0.299856	-2.562	0.006236
34	-0.281966	-2.4091	0.009257
35	-0.247223	-2.1123	0.019042
36	-0.227147	-1.9407	0.028076

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.853429	7.2917	0
2	-0.488435	-4.1732	4.1e-05
3	0.3722	3.1801	0.001081
4	0.382071	3.2644	0.000836
5	0.163487	1.3968	0.083347
6	-0.039243	-0.3353	0.369183
7	-0.107199	-0.9159	0.181365
8	0.111334	0.9512	0.172311
9	0.034443	0.2943	0.384688
10	-0.016052	-0.1371	0.445646
11	-0.085415	-0.7298	0.233928
12	-0.002185	-0.0187	0.492577
13	-0.36087	-3.0833	0.001445
14	0.318044	2.7174	0.004107
15	-0.308133	-2.6327	0.005166
16	-0.151802	-1.297	0.099359
17	-0.026229	-0.2241	0.411652
18	-0.00589	-0.0503	0.48
19	-0.069476	-0.5936	0.277307
20	-0.057101	-0.4879	0.313553
21	0.000126	0.0011	0.499573
22	-0.004374	-0.0374	0.485146
23	0.109191	0.9329	0.176965
24	-0.103553	-0.8848	0.189597
25	0.083089	0.7099	0.240011
26	0.062872	0.5372	0.296388
27	0.047751	0.408	0.342241
28	0.048079	0.4108	0.341218
29	-0.036406	-0.3111	0.378324
30	0.005755	0.0492	0.48046
31	-0.067319	-0.5752	0.283472
32	-0.114516	-0.9784	0.165548
33	0.059172	0.5056	0.307342
34	-0.041133	-0.3514	0.363134
35	-0.149251	-1.2752	0.103141
36	-0.005605	-0.0479	0.480966

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259001060ykvh27csxmyupxb/14t9o1259000951.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259001060ykvh27csxmyupxb/14t9o1259000951.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259001060ykvh27csxmyupxb/29kdd1259000951.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/23/t1259001060ykvh27csxmyupxb/29kdd1259000951.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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