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verbetering 2

*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, 30 Nov 2009 11:27:52 -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/30/t125960573124wx908qaj22wu6.htm/, Retrieved Mon, 30 Nov 2009 19:28:53 +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/30/t125960573124wx908qaj22wu6.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 «

611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587

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	0.88878	6.8845	0
2	0.747528	5.7903	0
3	0.652794	5.0565	2e-06
4	0.611459	4.7363	7e-06
5	0.604875	4.6853	8e-06
6	0.584777	4.5297	1.4e-05
7	0.523773	4.0571	7.3e-05
8	0.452005	3.5012	0.00044
9	0.431338	3.3411	0.00072
10	0.463198	3.5879	0.000336
11	0.530712	4.1109	6.1e-05
12	0.521067	4.0362	7.8e-05
13	0.371258	2.8758	0.002786
14	0.215202	1.6669	0.050369
15	0.110584	0.8566	0.197542
16	0.051493	0.3989	0.345706
17	0.024757	0.1918	0.424288
18	-0.013096	-0.1014	0.459768
19	-0.079261	-0.6139	0.270785
20	-0.145891	-1.1301	0.131473
21	-0.164382	-1.2733	0.103912
22	-0.1411	-1.093	0.139391
23	-0.09012	-0.6981	0.243917
24	-0.106419	-0.8243	0.206512
25	-0.217163	-1.6821	0.04887
26	-0.315345	-2.4426	0.008771
27	-0.367514	-2.8468	0.003019
28	-0.383294	-2.969	0.002145
29	-0.374875	-2.9038	0.002577
30	-0.380379	-2.9464	0.002286
31	-0.400342	-3.101	0.001468
32	-0.413749	-3.2049	0.001083
33	-0.390848	-3.0275	0.001816
34	-0.334452	-2.5907	0.006004
35	-0.269159	-2.0849	0.020671
36	-0.256682	-1.9882	0.025676

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.88878	6.8845	0
2	-0.201845	-1.5635	0.061599
3	0.167227	1.2953	0.100083
4	0.1425	1.1038	0.137043
5	0.126946	0.9833	0.164699
6	-0.036287	-0.2811	0.389808
7	-0.110394	-0.8551	0.197947
8	-0.00806	-0.0624	0.475212
9	0.188949	1.4636	0.074262
10	0.145155	1.1244	0.132668
11	0.206704	1.6011	0.057301
12	-0.285578	-2.2121	0.01539
13	-0.568851	-4.4063	2.2e-05
14	-0.097299	-0.7537	0.226996
15	-0.057952	-0.4489	0.327562
16	-0.101301	-0.7847	0.217866
17	0.016947	0.1313	0.448001
18	0.02765	0.2142	0.415568
19	0.093053	0.7208	0.236921
20	-0.035894	-0.278	0.390972
21	-0.078839	-0.6107	0.271858
22	-0.131563	-1.0191	0.156128
23	0.101579	0.7868	0.217239
24	0.122311	0.9474	0.173613
25	-0.029697	-0.23	0.409425
26	0.046336	0.3589	0.36046
27	0.038063	0.2948	0.384569
28	-0.034352	-0.2661	0.39554
29	-0.05261	-0.4075	0.34254
30	-0.121352	-0.94	0.175497
31	0.089644	0.6944	0.245063
32	0.068286	0.5289	0.2994
33	0.022854	0.177	0.430043
34	-0.030661	-0.2375	0.40654
35	-0.077636	-0.6014	0.274932
36	0.064581	0.5002	0.309367

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/30/t125960573124wx908qaj22wu6/16rsj1259605671.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t125960573124wx908qaj22wu6/16rsj1259605671.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t125960573124wx908qaj22wu6/2l2u81259605671.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t125960573124wx908qaj22wu6/2l2u81259605671.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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