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biefstuk ACF

*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: Tue, 21 Dec 2010 13:22:24 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/21/t129293765140sv7m9wguni51b.htm/, Retrieved Tue, 21 Dec 2010 14:20:52 +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/2010/Dec/21/t129293765140sv7m9wguni51b.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

10,92 10,98 11,15 11,19 11,33 11,38 11,4 11,45 11,56 11,61 11,82 11,77 11,85 11,82 11,92 11,86 11,87 11,94 11,86 11,92 11,83 11,91 11,93 11,99 11,96 12,12 11,85 12,01 12,1 12,21 12,31 12,31 12,39 12,35 12,41 12,51 12,27 12,51 12,44 12,47 12,51 12,58 12,5 12,52 12,59 12,51 12,67 12,64 12,54 12,66 12,67 12,62 12,72 12,85 12,85 12,82

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.454872	-2.9828	0.002346
2	0.350175	2.2963	0.013299
3	-0.09388	-0.6156	0.270698
4	0.058295	0.3823	0.352074
5	0.006654	0.0436	0.482699
6	0.050097	0.3285	0.372062
7	0.016472	0.108	0.457242
8	-0.001114	-0.0073	0.497104
9	-0.082771	-0.5428	0.295046
10	0.014036	0.092	0.463546
11	0.016441	0.1078	0.457322
12	-0.31636	-2.0745	0.022026
13	0.084626	0.5549	0.290909
14	-0.093409	-0.6125	0.271709
15	-0.08421	-0.5522	0.291835
16	0.14337	0.9401	0.176199
17	-0.182388	-1.196	0.119125
18	0.058338	0.3825	0.35197
19	-0.032534	-0.2133	0.416036
20	0.013942	0.0914	0.463791
21	0.131839	0.8645	0.196048
22	-0.110146	-0.7223	0.237017
23	0.170633	1.1189	0.134693
24	-0.118219	-0.7752	0.221227
25	0.1629	1.0682	0.145693
26	-0.085454	-0.5604	0.28907
27	0.132935	0.8717	0.194103
28	-0.141753	-0.9295	0.1789
29	0.144954	0.9505	0.173578
30	-0.107566	-0.7054	0.242196
31	0.056198	0.3685	0.357149
32	-0.083	-0.5443	0.294534
33	0.005773	0.0379	0.484989
34	-0.040159	-0.2633	0.396774
35	-0.001829	-0.012	0.495244
36	-0.009705	-0.0636	0.474775

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.454872	-2.9828	0.002346
2	0.180642	1.1846	0.12135
3	0.154848	1.0154	0.157796
4	0.010216	0.067	0.473451
5	0.001658	0.0109	0.495688
6	0.067933	0.4455	0.329108
7	0.062691	0.4111	0.341523
8	-0.012132	-0.0796	0.46848
9	-0.151004	-0.9902	0.163809
10	-0.086501	-0.5672	0.286756
11	0.076858	0.504	0.30842
12	-0.372666	-2.4437	0.009357
13	-0.297839	-1.9531	0.02867
14	0.084509	0.5542	0.291168
15	-0.01239	-0.0812	0.467812
16	0.128242	0.8409	0.202517
17	-0.024352	-0.1597	0.436937
18	-0.062099	-0.4072	0.342937
19	0.154381	1.0123	0.158518
20	0.085618	0.5614	0.288708
21	0.080789	0.5298	0.299498
22	-0.055421	-0.3634	0.359035
23	0.079185	0.5192	0.303125
24	-0.209166	-1.3716	0.088652
25	-0.059422	-0.3897	0.349356
26	-0.052903	-0.3469	0.365177
27	-0.038241	-0.2508	0.401597
28	0.004056	0.0266	0.489453
29	-0.012654	-0.083	0.467126
30	-0.050002	-0.3279	0.372295
31	0.050379	0.3304	0.371368
32	-0.018791	-0.1232	0.451253
33	0.079411	0.5207	0.302611
34	0.052399	0.3436	0.366409
35	0.038736	0.254	0.40035
36	-0.071326	-0.4677	0.321174

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t129293765140sv7m9wguni51b/1zzys1292937741.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t129293765140sv7m9wguni51b/1zzys1292937741.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t129293765140sv7m9wguni51b/29rxv1292937741.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t129293765140sv7m9wguni51b/29rxv1292937741.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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