Home » date » 2009 » Dec » 16 »

correlatie zonder trend

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 16 Dec 2009 10:23:35 -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/16/t126098426558tmln38mr1hkgb.htm/, Retrieved Wed, 16 Dec 2009 18:24:27 +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/16/t126098426558tmln38mr1hkgb.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

2.46 2.46 2.45 2.45 2.46 2.43 2.44 2.44 2.43 2.43 2.42 2.43 2.43 2.42 2.41 2.42 2.39 2.4 2.39 2.4 2.41 2.41 2.41 2.41 2.42 2.43 2.43 2.43 2.44 2.42 2.44 2.42 2.42 2.42 2.43 2.44 2.43 2.44 2.44 2.45 2.45 2.43 2.44 2.45 2.46 2.44 2.43 2.42 2.41 2.43 2.41 2.43 2.43 2.44 2.43 2.44 2.43 2.44 2.44 2.43 2.43 2.43 2.43 2.44 2.47 2.48 2.49 2.5 2.51 2.49 2.49 2.48 2.48 2.48 2.5 2.5 2.5 2.5 2.5 2.48 2.49 2.48 2.5 2.5 2.49 2.48 2.47 2.46 2.43 2.42 2.43 2.45 2.45 2.46 2.44 2.45 2.45 2.42 2.41 2.39 2.39 2.38 2.37 2.37 2.38 2.39 2.41 2.42 2.48 2.53 2.56 2.56 2.53 2.57 2.56 2.57 2.58 2.57 2.6 2.63 2.72 2.83 2.9 2.92 2.94 2.95 2.98 3.02 3.16 3.2 3.18 3.17 3.19

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	0.435865	5.0077	1e-06
2	0.293341	3.3702	0.000493
3	0.117334	1.3481	0.089973
4	0.131343	1.509	0.066842
5	0.173904	1.998	0.023885
6	0.187913	2.159	0.016331
7	0.267408	3.0723	0.00129
8	0.210746	2.4213	0.008412
9	0.083239	0.9563	0.170322
10	0.060801	0.6986	0.243029
11	0.090426	1.0389	0.150372
12	0.130308	1.4971	0.068373
13	0.224222	2.5761	0.005546
14	0.086001	0.9881	0.162462
15	0.146146	1.6791	0.04775
16	0.012856	0.1477	0.441399
17	0.034018	0.3908	0.348272
18	0.111291	1.2786	0.101634
19	0.106864	1.2278	0.110859
20	0.024439	0.2808	0.389659
21	-0.073287	-0.842	0.200655
22	-0.099144	-1.1391	0.128366
23	-0.058491	-0.672	0.251377
24	-0.071868	-0.8257	0.205233
25	-0.05102	-0.5862	0.279379
26	-0.053368	-0.6131	0.270417
27	-0.037563	-0.4316	0.33338
28	-0.012383	-0.1423	0.443542
29	-0.025587	-0.294	0.384619
30	-0.055321	-0.6356	0.263073
31	-0.035183	-0.4042	0.34335
32	-0.080532	-0.9252	0.178263
33	-0.062191	-0.7145	0.238083
34	-0.096825	-1.1124	0.133986
35	-0.094556	-1.0864	0.139648
36	-0.021586	-0.248	0.40226
37	-0.053399	-0.6135	0.270298
38	0.025954	0.2982	0.383014
39	-0.067612	-0.7768	0.219333
40	-0.036476	-0.4191	0.337922
41	-0.062475	-0.7178	0.23708
42	-0.015124	-0.1738	0.431157
43	-0.011374	-0.1307	0.448115
44	-0.01982	-0.2277	0.410111
45	0.01223	0.1405	0.444236
46	0.033108	0.3804	0.352138
47	0.00443	0.0509	0.479744
48	-0.029606	-0.3401	0.367143

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.435865	5.0077	1e-06
2	0.127606	1.4661	0.072503
3	-0.06253	-0.7184	0.236884
4	0.086478	0.9936	0.161129
5	0.122465	1.407	0.080887
6	0.064757	0.744	0.229098
7	0.16166	1.8573	0.032746
8	0.028351	0.3257	0.372571
9	-0.10817	-1.2428	0.108076
10	0.019976	0.2295	0.409417
11	0.065939	0.7576	0.225025
12	0.027114	0.3115	0.37795
13	0.137134	1.5755	0.058762
14	-0.131172	-1.5071	0.067094
15	0.079998	0.9191	0.179858
16	-0.065251	-0.7497	0.227392
17	-0.00431	-0.0495	0.480292
18	0.111594	1.2821	0.101024
19	-0.021905	-0.2517	0.400846
20	-0.163517	-1.8787	0.031247
21	-0.080188	-0.9213	0.179289
22	-0.040927	-0.4702	0.319487
23	0.003277	0.0376	0.485013
24	-0.040852	-0.4693	0.319797
25	-0.067083	-0.7707	0.221123
26	-0.068025	-0.7815	0.217941
27	0.081654	0.9381	0.174946
28	0.051764	0.5947	0.276525
29	0.055173	0.6339	0.263626
30	-0.09182	-1.0549	0.146692
31	-0.012612	-0.1449	0.442507
32	-0.034198	-0.3929	0.347511
33	0.034264	0.3937	0.347233
34	-0.026286	-0.302	0.38156
35	-0.027908	-0.3206	0.374497
36	0.050167	0.5764	0.282671
37	-0.026745	-0.3073	0.379556
38	0.122997	1.4131	0.079987
39	-0.022909	-0.2632	0.396403
40	0.012052	0.1385	0.445042
41	-0.033777	-0.3881	0.349296
42	0.020115	0.2311	0.408796
43	0.010487	0.1205	0.452139
44	-0.020863	-0.2397	0.405469
45	0.058778	0.6753	0.250331
46	-0.015011	-0.1725	0.431667
47	-0.019821	-0.2277	0.410108
48	-0.030834	-0.3543	0.361856

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t126098426558tmln38mr1hkgb/1pzwd1260984213.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t126098426558tmln38mr1hkgb/1pzwd1260984213.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t126098426558tmln38mr1hkgb/2ph1x1260984213.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t126098426558tmln38mr1hkgb/2ph1x1260984213.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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

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