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Autocorrelatie waarden Bel20

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 20 Nov 2010 19:18:20 +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/Nov/20/t1290280687lq9nlvzljuaz8qi.htm/, Retrieved Sat, 20 Nov 2010 20:18:09 +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/Nov/20/t1290280687lq9nlvzljuaz8qi.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

2981,85 3080,58 3106,22 3119,31 3061,26 3097,31 3161,69 3257,16 3277,01 3295,32 3363,99 3494,17 3667,03 3813,06 3917,96 3895,51 3801,06 3570,12 3701,61 3862,27 3970,1 4138,52 4199,75 4290,89 4443,91 4502,64 4356,98 4591,27 4696,96 4621,4 4562,84 4202,52 4296,49 4435,23 4105,18 4116,68 3844,49 3720,98 3674,4 3857,62 3801,06 3504,37 3032,6 3047,03 2962,34 2197,82 2014,45 1862,83 1905,41 1810,99 1670,07 1864,44 2052,02 2029,6 2070,83 2293,41 2443,27 2513,17 2466,92 2502,66

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	0.968218	7.4998	0
2	0.923995	7.1572	0
3	0.877437	6.7966	0
4	0.819779	6.35	0
5	0.748078	5.7946	0
6	0.660954	5.1197	2e-06
7	0.574691	4.4515	1.9e-05
8	0.49143	3.8066	0.000167
9	0.39799	3.0828	0.001548
10	0.299605	2.3207	0.011859
11	0.211493	1.6382	0.053305
12	0.120747	0.9353	0.17669
13	0.031247	0.242	0.404788
14	-0.052175	-0.4041	0.343771
15	-0.132908	-1.0295	0.153688
16	-0.196639	-1.5232	0.066486
17	-0.26166	-2.0268	0.023567
18	-0.323366	-2.5048	0.007493
19	-0.36673	-2.8407	0.00307
20	-0.403504	-3.1255	0.001367
21	-0.434111	-3.3626	0.000674
22	-0.459041	-3.5557	0.000371
23	-0.474504	-3.6755	0.000254
24	-0.479352	-3.713	0.000225
25	-0.472276	-3.6582	0.000269
26	-0.461533	-3.575	0.00035
27	-0.440645	-3.4132	0.000578
28	-0.418989	-3.2455	0.00096
29	-0.400157	-3.0996	0.001475
30	-0.373477	-2.8929	0.002656
31	-0.344426	-2.6679	0.0049
32	-0.314012	-2.4323	0.009001
33	-0.284029	-2.2001	0.015832
34	-0.255299	-1.9775	0.02629
35	-0.223135	-1.7284	0.04453
36	-0.18712	-1.4494	0.076213
37	-0.154908	-1.1999	0.117445
38	-0.125415	-0.9715	0.16761
39	-0.096301	-0.7459	0.229308
40	-0.06641	-0.5144	0.304426
41	-0.037321	-0.2891	0.386757
42	-0.014956	-0.1158	0.45408
43	-0.000226	-0.0018	0.499305
44	0.018252	0.1414	0.444021
45	0.038137	0.2954	0.384352
46	0.050782	0.3934	0.347725
47	0.059134	0.4581	0.324285
48	0.063154	0.4892	0.313245

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.968218	7.4998	0
2	-0.215027	-1.6656	0.050504
3	-0.022918	-0.1775	0.429848
4	-0.203958	-1.5799	0.059699
5	-0.208154	-1.6124	0.056067
6	-0.256062	-1.9834	0.02595
7	0.039583	0.3066	0.380101
8	0.023325	0.1807	0.428615
9	-0.164199	-1.2719	0.104161
10	-0.067199	-0.5205	0.302307
11	0.126117	0.9769	0.166272
12	-0.206797	-1.6018	0.057222
13	-0.008446	-0.0654	0.474029
14	0.052583	0.4073	0.342618
15	-0.108172	-0.8379	0.202706
16	0.152494	1.1812	0.12109
17	-0.155732	-1.2063	0.11622
18	-0.015115	-0.1171	0.453594
19	0.105827	0.8197	0.207806
20	-0.082903	-0.6422	0.261607
21	0.000155	0.0012	0.499524
22	-0.051631	-0.3999	0.345312
23	0.040587	0.3144	0.377159
24	-0.0562	-0.4353	0.332444
25	0.11832	0.9165	0.181537
26	0.040373	0.3127	0.377787
27	-0.050561	-0.3916	0.348353
28	-0.152569	-1.1818	0.120975
29	-0.057753	-0.4474	0.328115
30	-0.048434	-0.3752	0.354429
31	0.043694	0.3385	0.368102
32	-0.023947	-0.1855	0.426735
33	-0.00843	-0.0653	0.474076
34	0.02125	0.1646	0.434905
35	-0.055738	-0.4317	0.333737
36	0.078101	0.605	0.273741
37	-0.029354	-0.2274	0.410451
38	-0.036107	-0.2797	0.390341
39	-0.036199	-0.2804	0.390068
40	0.085034	0.6587	0.256313
41	-0.049185	-0.381	0.352279
42	-0.062254	-0.4822	0.315703
43	-0.103533	-0.802	0.21287
44	0.089077	0.69	0.246432
45	0.07522	0.5826	0.281156
46	-0.134618	-1.0427	0.150625
47	0.01543	0.1195	0.452632
48	-0.085055	-0.6588	0.256261

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290280687lq9nlvzljuaz8qi/1ul2o1290280698.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290280687lq9nlvzljuaz8qi/1ul2o1290280698.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290280687lq9nlvzljuaz8qi/2ul2o1290280698.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/20/t1290280687lq9nlvzljuaz8qi/2ul2o1290280698.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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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