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Wisselkoers Autocorrelatie

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 03 May 2010 09:42:56 +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/May/03/t1272879852p5tekmstlnfbby8.htm/, Retrieved Mon, 03 May 2010 11:44:12 +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/2010/May/03/t1272879852p5tekmstlnfbby8.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227 1.4684 1.457 1.4718 1.4748 1.5527 1.575 1.5557 1.5553 1.577 1.4975 1.4369 1.3322 1.2732 1.3449 1.3239 1.2785 1.305 1.319 1.365 1.4016 1.4088 1.4268 1.4562 1.4816 1.4914 1.4614 1.4272

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	0.949851	9.355	0
2	0.883739	8.7038	0
3	0.816509	8.0417	0
4	0.750218	7.3888	0
5	0.68583	6.7546	0
6	0.625343	6.1589	0
7	0.574176	5.655	0
8	0.530211	5.222	1e-06
9	0.490882	4.8346	3e-06
10	0.454643	4.4777	1e-05
11	0.424629	4.1821	3.2e-05
12	0.39981	3.9377	7.7e-05
13	0.381689	3.7592	0.000146
14	0.366636	3.6109	0.000243
15	0.352604	3.4727	0.000386
16	0.333024	3.2799	0.000722
17	0.317079	3.1229	0.001181
18	0.29575	2.9128	0.002223
19	0.261889	2.5793	0.005701
20	0.221276	2.1793	0.015865
21	0.180044	1.7732	0.039665
22	0.146561	1.4435	0.076057
23	0.114869	1.1313	0.130354
24	0.096322	0.9487	0.172574
25	0.081696	0.8046	0.211505
26	0.069627	0.6857	0.247255
27	0.052661	0.5187	0.302591
28	0.03519	0.3466	0.364828
29	0.020888	0.2057	0.418717
30	0.013132	0.1293	0.448678
31	0.008214	0.0809	0.467843
32	0.001037	0.0102	0.495935
33	-0.005366	-0.0528	0.47898
34	-0.002384	-0.0235	0.490657
35	0.010052	0.099	0.46067
36	0.025131	0.2475	0.402518
37	0.03354	0.3303	0.370931
38	0.040623	0.4001	0.344985
39	0.050411	0.4965	0.310337
40	0.052955	0.5216	0.301586
41	0.043084	0.4243	0.336132
42	0.022454	0.2211	0.412721
43	-0.000186	-0.0018	0.49927
44	-0.019701	-0.194	0.423278
45	-0.038455	-0.3787	0.352854
46	-0.059451	-0.5855	0.279778
47	-0.081945	-0.8071	0.210803
48	-0.098498	-0.9701	0.167207
49	-0.110225	-1.0856	0.140175
50	-0.124328	-1.2245	0.111866
51	-0.137827	-1.3574	0.088896
52	-0.148618	-1.4637	0.073253
53	-0.152816	-1.5051	0.067778
54	-0.16386	-1.6138	0.054906
55	-0.179884	-1.7717	0.039796
56	-0.197367	-1.9438	0.027406
57	-0.218184	-2.1489	0.017067
58	-0.241506	-2.3786	0.00967
59	-0.264323	-2.6033	0.005341
60	-0.282795	-2.7852	0.003217

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.949851	9.355	0
2	-0.18898	-1.8612	0.03287
3	-0.021663	-0.2134	0.415747
4	-0.027614	-0.272	0.393114
5	-0.02083	-0.2051	0.418943
6	-0.002434	-0.024	0.490462
7	0.050079	0.4932	0.311486
8	0.015395	0.1516	0.439901
9	0.001098	0.0108	0.495697
10	-0.005465	-0.0538	0.478593
11	0.034369	0.3385	0.367862
12	0.018221	0.1795	0.428976
13	0.0461	0.454	0.32541
14	0.006197	0.061	0.475729
15	-0.001886	-0.0186	0.492607
16	-0.066475	-0.6547	0.257103
17	0.053986	0.5317	0.298076
18	-0.072707	-0.7161	0.23783
19	-0.116242	-1.1448	0.127545
20	-0.048965	-0.4823	0.315357
21	-0.011723	-0.1155	0.45416
22	0.05143	0.5065	0.306817
23	-0.024434	-0.2406	0.40517
24	0.111497	1.0981	0.137436
25	-0.032778	-0.3228	0.373762
26	-0.012348	-0.1216	0.451729
27	-0.079895	-0.7869	0.216636
28	-0.006122	-0.0603	0.476023
29	0.012418	0.1223	0.451457
30	0.050268	0.4951	0.310831
31	-0.001188	-0.0117	0.495345
32	-0.048739	-0.48	0.316147
33	0.008277	0.0815	0.4676
34	0.111771	1.1008	0.13685
35	0.078493	0.7731	0.22068
36	0.036703	0.3615	0.359263
37	-0.065245	-0.6426	0.261002
38	0.029083	0.2864	0.38758
39	0.009638	0.0949	0.462284
40	-0.062312	-0.6137	0.270424
41	-0.112766	-1.1106	0.13474
42	-0.099786	-0.9828	0.164081
43	-0.022514	-0.2217	0.412491
44	0.028353	0.2792	0.390325
45	0.029098	0.2866	0.387522
46	-0.031827	-0.3135	0.377301
47	-0.02651	-0.2611	0.397286
48	0.00541	0.0533	0.478809
49	-0.003912	-0.0385	0.484672
50	-0.07174	-0.7066	0.240766
51	-0.011244	-0.1107	0.456024
52	-0.027352	-0.2694	0.394103
53	0.004162	0.041	0.483692
54	-0.135404	-1.3336	0.092733
55	-0.030146	-0.2969	0.383589
56	-0.018398	-0.1812	0.428294
57	-0.020022	-0.1972	0.422043
58	-0.010334	-0.1018	0.459573
59	0.041792	0.4116	0.340768
60	0.025324	0.2494	0.401783

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/03/t1272879852p5tekmstlnfbby8/1q3x01272879773.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272879852p5tekmstlnfbby8/1q3x01272879773.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272879852p5tekmstlnfbby8/2q3x01272879773.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/03/t1272879852p5tekmstlnfbby8/2q3x01272879773.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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