Home » date » 2009 » Dec » 09 »

Verbetering Workshop 9

*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: Wed, 09 Dec 2009 12:28:23 -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/Dec/09/t12603870444et77r6rs3uhvsf.htm/, Retrieved Wed, 09 Dec 2009 20:30:46 +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/Dec/09/t12603870444et77r6rs3uhvsf.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:

ShwWs9 verbetering

Dataseries X:

» Textbox « » Textfile « » CSV «

423.4 404.1 500 472.6 496.1 562 434.8 538.2 577.6 518.1 625.2 561.2 523.3 536.1 607.3 637.3 606.9 652.9 617.2 670.4 729.9 677.2 710 844.3 748.2 653.9 742.6 854.2 808.4 1819 1936.5 1966.1 2083.1 1620.1 1527.6 1795 1685.1 1851.8 2164.4 1981.8 1726.5 2144.6 1758.2 1672.9 1837.3 1596.1 1446 1898.4 1964.1 1755.9 2255.3 1881.2 2117.9 1656.5 1544.1 2098.9 2133.3 1963.5 1801.2 2365.4 1936.5 1667.6 1983.5 2058.6 2448.3 1858.1 1625.4 2130.6 2515.7 2230.2 2086.9 2235 2100.2 2288.6 2490 2573.7 2543.8 2004.7 2390 2338.4 2724.5 2292.5 2386 2477.9 2337 2605.1 2560.8 2839.3 2407.2 2085.2 2735.6 2798.7 3053.2 2405 2471.9 2727.3 2790.7 2385.4 3206.6 2705.6 3518.4 1954.9 2584.3 2535.8 2685.9 2866 2236.6 2934.9 2668.6 2371.2 3165.9 2887.2 3112.2 2671.2 2432.6 2812.3 3095.7 2862.9 2607.3 2862.5

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	0.531042	5.5188	0
2	0.549794	5.7136	0
3	0.3133	3.2559	0.000755
4	0.263964	2.7432	0.003563
5	0.284798	2.9597	0.001893
6	0.156377	1.6251	0.053526
7	0.199438	2.0726	0.020294
8	0.149113	1.5496	0.062078
9	0.137391	1.4278	0.078116
10	-0.036796	-0.3824	0.351459
11	-0.095297	-0.9904	0.162108
12	-0.28843	-2.9974	0.001689
13	-0.182828	-1.9	0.03005
14	-0.289845	-3.0122	0.001616
15	-0.158137	-1.6434	0.051604
16	-0.167499	-1.7407	0.042292
17	-0.106471	-1.1065	0.13549
18	-0.024721	-0.2569	0.398871
19	-0.144899	-1.5058	0.067515
20	-0.064273	-0.6679	0.252797
21	-0.133646	-1.3889	0.083862
22	-0.086261	-0.8964	0.186003
23	-0.098533	-1.024	0.154066
24	-0.154306	-1.6036	0.055862
25	-0.068971	-0.7168	0.237531
26	0.011319	0.1176	0.453288
27	0.002835	0.0295	0.488274
28	-0.030544	-0.3174	0.375768
29	-0.10714	-1.1134	0.133997
30	-0.080028	-0.8317	0.203714
31	-0.092823	-0.9646	0.168438
32	-0.051547	-0.5357	0.296637
33	-0.039625	-0.4118	0.340654
34	-0.029239	-0.3039	0.380909
35	0.063661	0.6616	0.254823
36	0.011671	0.1213	0.451842
37	0.045695	0.4749	0.317918
38	0.020175	0.2097	0.417163
39	0.04007	0.4164	0.338966
40	0.064915	0.6746	0.250679
41	0.08856	0.9203	0.179722
42	0.052534	0.5459	0.293113
43	0.106768	1.1096	0.134826
44	0.073958	0.7686	0.221907
45	0.046724	0.4856	0.314128
46	0.045457	0.4724	0.318796
47	-0.02967	-0.3083	0.379207
48	0.056998	0.5923	0.277432
49	-0.010502	-0.1091	0.456649
50	0.030208	0.3139	0.377091
51	-0.025661	-0.2667	0.395112
52	0.017258	0.1793	0.429001
53	0.023555	0.2448	0.403541
54	-0.00738	-0.0767	0.469502
55	0.017823	0.1852	0.426701
56	-0.033292	-0.346	0.365017
57	-0.00336	-0.0349	0.486105
58	0.02396	0.249	0.401919
59	0.045571	0.4736	0.318374
60	0.062074	0.6451	0.260119

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.531042	5.5188	0
2	0.372968	3.876	9.1e-05
3	-0.109739	-1.1404	0.128312
4	-0.032835	-0.3412	0.366795
5	0.20583	2.1391	0.017342
6	-0.101831	-1.0583	0.146149
7	0.013301	0.1382	0.445159
8	0.092334	0.9596	0.16971
9	-0.028797	-0.2993	0.382657
10	-0.305118	-3.1709	0.000989
11	-0.074423	-0.7734	0.220481
12	-0.222636	-2.3137	0.011289
13	0.08311	0.8637	0.194833
14	-0.085321	-0.8867	0.18861
15	0.11783	1.2245	0.111709
16	0.027932	0.2903	0.386082
17	0.099627	1.0354	0.151409
18	0.105603	1.0975	0.137441
19	-0.080288	-0.8344	0.202955
20	0.009803	0.1019	0.459524
21	0.044839	0.466	0.321085
22	-0.155921	-1.6204	0.054033
23	-0.113247	-1.1769	0.120911
24	-0.247515	-2.5723	0.005731
25	0.054945	0.571	0.28459
26	0.127686	1.3269	0.093662
27	-0.000539	-0.0056	0.497771
28	-0.110987	-1.1534	0.125644
29	0.032455	0.3373	0.368281
30	0.131477	1.3663	0.087334
31	-0.059121	-0.6144	0.270119
32	0.145697	1.5141	0.066457
33	0.040965	0.4257	0.335581
34	-0.142582	-1.4818	0.070658
35	0.030909	0.3212	0.374332
36	-0.142259	-1.4784	0.071106
37	0.01522	0.1582	0.437309
38	0.040396	0.4198	0.337729
39	0.045687	0.4748	0.317946
40	-0.035759	-0.3716	0.355454
41	0.053872	0.5599	0.288368
42	0.003617	0.0376	0.485044
43	-0.015572	-0.1618	0.435873
44	0.055915	0.5811	0.281198
45	-0.060771	-0.6316	0.264507
46	-0.019071	-0.1982	0.421635
47	-0.056494	-0.5871	0.279179
48	-0.059009	-0.6132	0.270503
49	0.050718	0.5271	0.29961
50	0.0582	0.6048	0.273281
51	0.042183	0.4384	0.330995
52	0.016721	0.1738	0.431186
53	0.034138	0.3548	0.361727
54	0.021836	0.2269	0.410453
55	0.018749	0.1948	0.422938
56	-0.006576	-0.0683	0.472823
57	-0.105681	-1.0983	0.137265
58	0.044191	0.4593	0.323489
59	-0.000754	-0.0078	0.49688
60	0.004391	0.0456	0.481843

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603870444et77r6rs3uhvsf/1pcwg1260386901.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603870444et77r6rs3uhvsf/1pcwg1260386901.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603870444et77r6rs3uhvsf/2nx6y1260386901.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603870444et77r6rs3uhvsf/2nx6y1260386901.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by