Home » date » 2009 » Jun » 04 »

DIFFERENTIEREN - YANNICK DE ROEY

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 04 Jun 2009 01:53:29 -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/04/t1244102035j9dym8l71yzhc7g.htm/, Retrieved Thu, 04 Jun 2009 09:53:55 +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/04/t1244102035j9dym8l71yzhc7g.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 «

509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.264075	2.2251	0.014625
2	-0.199348	-1.6797	0.048702
3	-0.304383	-2.5648	0.00622
4	-0.251231	-2.1169	0.018886
5	0.084518	0.7122	0.239348
6	0.200259	1.6874	0.047957
7	0.053055	0.4471	0.3281
8	-0.24202	-2.0393	0.022572
9	-0.277797	-2.3408	0.011029
10	-0.159592	-1.3448	0.091493
11	0.247956	2.0893	0.020132
12	0.743197	6.2623	0
13	0.171313	1.4435	0.076638
14	-0.16939	-1.4273	0.078937
15	-0.261996	-2.2076	0.015252
16	-0.204539	-1.7235	0.044577
17	0.06428	0.5416	0.294884
18	0.124201	1.0465	0.149432
19	0.030164	0.2542	0.40005
20	-0.230959	-1.9461	0.027801
21	-0.231374	-1.9496	0.027587
22	-0.094204	-0.7938	0.214986
23	0.18391	1.5497	0.062836
24	0.548043	4.6179	8e-06
25	0.113413	0.9556	0.17125
26	-0.187753	-1.582	0.059043
27	-0.266473	-2.2453	0.013931
28	-0.156614	-1.3197	0.095595
29	0.051457	0.4336	0.332953
30	0.090884	0.7658	0.223166
31	0.014004	0.118	0.453199
32	-0.189422	-1.5961	0.057455
33	-0.145846	-1.2289	0.11158
34	-0.066491	-0.5603	0.288533
35	0.125265	1.0555	0.147386
36	0.416194	3.5069	0.000395
37	0.084379	0.711	0.239709
38	-0.176477	-1.487	0.070719
39	-0.220396	-1.8571	0.033723
40	-0.104234	-0.8783	0.191375
41	0.04157	0.3503	0.363585
42	0.095533	0.805	0.211761
43	-0.003171	-0.0267	0.489381
44	-0.153435	-1.2929	0.100124
45	-0.107019	-0.9018	0.185118
46	-0.063809	-0.5377	0.296244
47	0.071062	0.5988	0.275613
48	0.287794	2.425	0.008927

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.264075	2.2251	0.014625
2	-0.289256	-2.4373	0.008652
3	-0.187848	-1.5828	0.058952
4	-0.193891	-1.6338	0.053369
5	0.113959	0.9602	0.170098
6	0.010395	0.0876	0.465226
7	-0.06738	-0.5678	0.285996
8	-0.260448	-2.1946	0.015733
9	-0.119464	-1.0066	0.158767
10	-0.182263	-1.5358	0.064519
11	0.193222	1.6281	0.053965
12	0.620476	5.2282	1e-06
13	-0.169333	-1.4268	0.079006
14	0.130367	1.0985	0.13785
15	0.025704	0.2166	0.414575
16	0.037678	0.3175	0.375904
17	-0.111364	-0.9384	0.175619
18	-0.094197	-0.7937	0.215002
19	0.029433	0.248	0.402423
20	-0.096883	-0.8163	0.208516
21	0.015587	0.1313	0.447941
22	0.014757	0.1243	0.450696
23	-0.113332	-0.955	0.171421
24	0.038401	0.3236	0.373608
25	-0.037355	-0.3148	0.376935
26	-0.130622	-1.1006	0.137384
27	-0.120906	-1.0188	0.155885
28	0.015871	0.1337	0.446998
29	-0.067767	-0.571	0.284896
30	-0.038284	-0.3226	0.373978
31	-0.038668	-0.3258	0.372758
32	0.076127	0.6415	0.261646
33	0.034605	0.2916	0.385726
34	-0.084892	-0.7153	0.238382
35	-0.008719	-0.0735	0.470821
36	-0.006639	-0.0559	0.477774
37	0.003186	0.0268	0.48933
38	-0.041511	-0.3498	0.363769
39	0.034425	0.2901	0.386303
40	0.024027	0.2025	0.420071
41	-0.013061	-0.1101	0.456339
42	0.090826	0.7653	0.223312
43	-0.092704	-0.7811	0.218658
44	-0.007333	-0.0618	0.475451
45	-0.076926	-0.6482	0.259475
46	-0.042211	-0.3557	0.361569
47	-0.142864	-1.2038	0.116334
48	-0.110671	-0.9325	0.177111

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102035j9dym8l71yzhc7g/1ld1c1244102005.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102035j9dym8l71yzhc7g/1ld1c1244102005.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102035j9dym8l71yzhc7g/2cng01244102005.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244102035j9dym8l71yzhc7g/2cng01244102005.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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