Home » date » 2009 » Dec » 28 »

tijdreeks d2

*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: Mon, 28 Dec 2009 12:08:44 -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/28/t1262027379gky9zl5gyzp5r09.htm/, Retrieved Mon, 28 Dec 2009 20:09:41 +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/28/t1262027379gky9zl5gyzp5r09.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

110,75 110,64 110,46 110,66 110,48 110,5 110,96 111,17 111,07 111,75 111,45 111,24 111,09 111,29 111,15 110,88 111,22 110,62 110,2 109,49 109,32 108,71 107,85 107,44 106,93 106,19 105,71 105,67 105,7 105,28 105,34 105,58 105,23 105,46 104,92 104,68 104,58 104,32 104,36 104,38 104,25 103,93 103,95 103,6 103,23 103,31 102,82 102,76 102,68 102,37 102,54 102,65 102,63 102,22 102,04 101,85 101,88 101,33 100,8

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	0.322037	2.1842	0.017043
2	0.325761	2.2094	0.016082
3	0.424298	2.8777	0.003028
4	0.400849	2.7187	0.004606
5	-0.031612	-0.2144	0.41559
6	0.052594	0.3567	0.361471
7	0.132005	0.8953	0.187644
8	-0.116034	-0.787	0.217666
9	-0.227291	-1.5416	0.065016
10	-0.211726	-1.436	0.078885
11	-0.101606	-0.6891	0.247103
12	-0.470346	-3.19	0.001281
13	-0.252177	-1.7103	0.04697
14	-0.117379	-0.7961	0.21503
15	-0.125561	-0.8516	0.199426
16	-0.249703	-1.6936	0.048555
17	0.003362	0.0228	0.490954
18	-0.00018	-0.0012	0.499515
19	-0.074885	-0.5079	0.306976
20	-0.029124	-0.1975	0.422143
21	0.016291	0.1105	0.456251
22	0.084937	0.5761	0.283688
23	-0.012249	-0.0831	0.467076
24	0.002102	0.0143	0.494343
25	0.101793	0.6904	0.246708
26	-0.049824	-0.3379	0.368479
27	-0.098613	-0.6688	0.253474
28	-0.021201	-0.1438	0.443145
29	-0.04001	-0.2714	0.393663
30	-0.101809	-0.6905	0.246674
31	-0.058755	-0.3985	0.346054
32	0.010899	0.0739	0.470697
33	-0.015924	-0.108	0.457231
34	-0.040984	-0.278	0.391142
35	-0.017724	-0.1202	0.45242
36	0.074441	0.5049	0.308027

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.322037	2.1842	0.017043
2	0.247746	1.6803	0.04984
3	0.315708	2.1412	0.018793
4	0.229444	1.5562	0.063262
5	-0.402476	-2.7297	0.004476
6	-0.227858	-1.5454	0.06455
7	0.049183	0.3336	0.370108
8	-0.063451	-0.4303	0.334476
9	-0.056283	-0.3817	0.352209
10	-0.253218	-1.7174	0.046315
11	0.056412	0.3826	0.351887
12	-0.255187	-1.7308	0.045099
13	0.087678	0.5947	0.277492
14	0.243614	1.6523	0.052645
15	0.157556	1.0686	0.145414
16	0.000189	0.0013	0.499492
17	-0.173504	-1.1768	0.122673
18	-0.210978	-1.4309	0.079606
19	0.000841	0.0057	0.497736
20	0.046382	0.3146	0.377251
21	-0.097293	-0.6599	0.256314
22	-0.015192	-0.103	0.459192
23	0.02373	0.1609	0.436422
24	-0.186175	-1.2627	0.10653
25	0.153442	1.0407	0.151728
26	-0.092907	-0.6301	0.265865
27	0.028469	0.1931	0.423871
28	-0.03632	-0.2463	0.403259
29	-0.119515	-0.8106	0.210888
30	0.075722	0.5136	0.305005
31	-0.030477	-0.2067	0.418576
32	0.088948	0.6033	0.274644
33	-0.032501	-0.2204	0.413256
34	-0.065884	-0.4468	0.328542
35	0.027386	0.1857	0.426732
36	-0.066414	-0.4504	0.327255

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262027379gky9zl5gyzp5r09/1hcnq1262027322.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262027379gky9zl5gyzp5r09/1hcnq1262027322.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262027379gky9zl5gyzp5r09/2ddez1262027322.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t1262027379gky9zl5gyzp5r09/2ddez1262027322.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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

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