Home » date » 2009 » Jun » 02 »

autocorrelation - sigaretten - caroline thys

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 02 Jun 2009 08:25:07 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/02/t1243952761xo9ovx4l6navygx.htm/, Retrieved Tue, 02 Jun 2009 16:26:03 +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/2009/Jun/02/t1243952761xo9ovx4l6navygx.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 «

106,07 106,07 106,07 106,07 106,07 106,2 107,5 108,31 108,53 108,61 108,62 108,62 108,62 108,62 110,1 110,74 110,77 110,77 110,78 110,78 110,78 110,84 110,84 110,84 110,84 110,84 111,01 112,66 114,04 114,16 114,2 114,2 114,23 114,23 114,23 114,23 114,23 114,23 115,97 116,96 117,08 117,08 117,08 117,63 119,12 119,47 119,5 119,52 119,49 119,49 119,5 119,5 119,56 122,35 122,92 122,92 123,04 123,04 123,04 123,06 123,33 128,21 129,57 129,79 131,66 135,01 136,01 136,31 136,37 136,4 136,4 136,4 137,34 142,18 143,79 144,08 144,08 144,09 144,09 144,11 144,11 144,15 144,15 144,16 144,2 144,38 144,38 144,28 144,46 144,53 144,53 145,34 147,98 150,42 150,53 150,64

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.970826	9.5121	0
2	0.939219	9.2024	0
3	0.907004	8.8868	0
4	0.87727	8.5955	0
5	0.8501	8.3292	0
6	0.823626	8.0699	0
7	0.797921	7.818	0
8	0.772268	7.5666	0
9	0.745068	7.3001	0
10	0.716498	7.0202	0
11	0.687246	6.7336	0
12	0.656972	6.437	0
13	0.624653	6.1203	0
14	0.591478	5.7953	0
15	0.559247	5.4795	0
16	0.527234	5.1658	1e-06
17	0.49487	4.8487	2e-06
18	0.461815	4.5248	9e-06
19	0.427944	4.193	3.1e-05
20	0.392758	3.8482	0.000107
21	0.35573	3.4854	0.000371
22	0.318183	3.1175	0.001203
23	0.282181	2.7648	0.003415
24	0.252075	2.4698	0.007642
25	0.222803	2.183	0.015737
26	0.193015	1.8912	0.030809
27	0.162443	1.5916	0.05738
28	0.132272	1.296	0.099042
29	0.102439	1.0037	0.159026
30	0.072205	0.7075	0.240496
31	0.042503	0.4164	0.339009
32	0.016313	0.1598	0.436675
33	-0.008222	-0.0806	0.46798
34	-0.033072	-0.324	0.373306
35	-0.056963	-0.5581	0.289031
36	-0.074952	-0.7344	0.232255
37	-0.092987	-0.9111	0.182268
38	-0.111575	-1.0932	0.138519
39	-0.129343	-1.2673	0.104056
40	-0.147056	-1.4409	0.07644
41	-0.164966	-1.6163	0.054652
42	-0.182945	-1.7925	0.038102
43	-0.200185	-1.9614	0.026364
44	-0.213136	-2.0883	0.019709
45	-0.224767	-2.2023	0.015021
46	-0.23658	-2.318	0.011286
47	-0.249232	-2.442	0.008219
48	-0.262822	-2.5751	0.005774

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.970826	9.5121	0
2	-0.057108	-0.5595	0.288548
3	-0.025213	-0.247	0.402703
4	0.027218	0.2667	0.395142
5	0.025494	0.2498	0.401644
6	-0.007005	-0.0686	0.47271
7	-0.001198	-0.0117	0.495331
8	-0.011309	-0.1108	0.456002
9	-0.039541	-0.3874	0.34965
10	-0.035695	-0.3497	0.363652
11	-0.024798	-0.243	0.404272
12	-0.035511	-0.3479	0.364325
13	-0.056122	-0.5499	0.29184
14	-0.03475	-0.3405	0.36712
15	-0.005669	-0.0555	0.477911
16	-0.023193	-0.2272	0.410359
17	-0.032126	-0.3148	0.37681
18	-0.033557	-0.3288	0.371517
19	-0.035362	-0.3465	0.36487
20	-0.045973	-0.4504	0.326703
21	-0.055351	-0.5423	0.294424
22	-0.034191	-0.335	0.369177
23	-0.003337	-0.0327	0.486993
24	0.070163	0.6875	0.246728
25	-0.019242	-0.1885	0.425427
26	-0.034659	-0.3396	0.367456
27	-0.029251	-0.2866	0.387519
28	-0.00764	-0.0749	0.470242
29	-0.014979	-0.1468	0.441812
30	-0.029819	-0.2922	0.385397
31	-0.015433	-0.1512	0.440063
32	0.033126	0.3246	0.373107
33	-0.001869	-0.0183	0.492716
34	-0.034323	-0.3363	0.368693
35	-0.007623	-0.0747	0.47031
36	0.079059	0.7746	0.220236
37	-0.029038	-0.2845	0.388314
38	-0.027621	-0.2706	0.39363
39	0.004876	0.0478	0.480996
40	-0.017913	-0.1755	0.430525
41	-0.032611	-0.3195	0.375013
42	-0.025827	-0.2531	0.400383
43	-0.016211	-0.1588	0.437066
44	0.035845	0.3512	0.3631
45	-0.012375	-0.1213	0.451872
46	-0.024012	-0.2353	0.407251
47	-0.025946	-0.2542	0.399937
48	-0.041042	-0.4021	0.344241

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952761xo9ovx4l6navygx/1kd911243952706.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952761xo9ovx4l6navygx/1kd911243952706.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952761xo9ovx4l6navygx/2ga301243952706.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/02/t1243952761xo9ovx4l6navygx/2ga301243952706.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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