Home » date » 2009 » Nov » 27 »

WS 8.3 Autocorrelatie

*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: Fri, 27 Nov 2009 13:46:31 -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/Nov/27/t1259354875tf4p20bwk0hqps5.htm/, Retrieved Fri, 27 Nov 2009 21:47:57 +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/Nov/27/t1259354875tf4p20bwk0hqps5.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 «

474605 470390 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500875 506971 569323 579714 577992 565644 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565724 557274 560576 548854 531673 525919 511038 498662 555362 564591 541667 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516441 528222 532638

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	0.881143	6.8819	0
2	0.782232	6.1094	0
3	0.693304	5.4149	1e-06
4	0.590281	4.6102	1.1e-05
5	0.50275	3.9266	0.000111
6	0.393224	3.0712	0.001591
7	0.312782	2.4429	0.00874
8	0.218495	1.7065	0.046501
9	0.085938	0.6712	0.252314
10	-0.018832	-0.1471	0.441775
11	-0.095666	-0.7472	0.228913
12	-0.180556	-1.4102	0.081782
13	-0.201042	-1.5702	0.060772
14	-0.210038	-1.6405	0.053029
15	-0.257472	-2.0109	0.02438
16	-0.277901	-2.1705	0.016937
17	-0.292851	-2.2872	0.012832
18	-0.257569	-2.0117	0.024339
19	-0.249844	-1.9513	0.027806
20	-0.238015	-1.859	0.033929
21	-0.205981	-1.6088	0.056416
22	-0.176716	-1.3802	0.086281
23	-0.180268	-1.4079	0.082113
24	-0.195438	-1.5264	0.066037
25	-0.201098	-1.5706	0.060721
26	-0.206973	-1.6165	0.055573
27	-0.178066	-1.3907	0.084679
28	-0.175097	-1.3676	0.088235
29	-0.171421	-1.3388	0.092796
30	-0.185668	-1.4501	0.076075
31	-0.193664	-1.5126	0.067777
32	-0.178668	-1.3954	0.083971
33	-0.168478	-1.3159	0.096573
34	-0.150849	-1.1782	0.121652
35	-0.124532	-0.9726	0.16729
36	-0.094776	-0.7402	0.231003
37	-0.080457	-0.6284	0.266048
38	-0.072978	-0.57	0.285393
39	-0.074064	-0.5785	0.282541
40	-0.037329	-0.2916	0.385809
41	0.006395	0.0499	0.480165
42	0.019244	0.1503	0.440513
43	0.036968	0.2887	0.386884
44	0.02326	0.1817	0.428225
45	0.023793	0.1858	0.426598
46	0.016771	0.131	0.448107
47	0.003538	0.0276	0.489023
48	0.012833	0.1002	0.460246
49	0.022271	0.1739	0.431244
50	0.02731	0.2133	0.415904
51	0.032185	0.2514	0.401186
52	0.00934	0.073	0.471042
53	-0.013727	-0.1072	0.457488
54	-0.002335	-0.0182	0.492756
55	0.008706	0.068	0.473006
56	0.027041	0.2112	0.416719
57	0.032043	0.2503	0.401611
58	0.031341	0.2448	0.403723
59	0.037771	0.295	0.384498
60	0.01741	0.136	0.446144

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.881143	6.8819	0
2	0.026026	0.2033	0.4198
3	-0.004245	-0.0332	0.48683
4	-0.108595	-0.8482	0.199833
5	-0.001515	-0.0118	0.495298
6	-0.153652	-1.2001	0.117378
7	0.051171	0.3997	0.345403
8	-0.126356	-0.9869	0.163803
9	-0.238271	-1.861	0.033786
10	-0.039071	-0.3052	0.380643
11	0.056102	0.4382	0.331406
12	-0.11471	-0.8959	0.186911
13	0.222984	1.7416	0.043313
14	0.053461	0.4175	0.338874
15	-0.253426	-1.9793	0.026149
16	0.042303	0.3304	0.371117
17	0.057557	0.4495	0.32732
18	0.108509	0.8475	0.200019
19	-0.140071	-1.094	0.139131
20	0.035999	0.2812	0.389768
21	-0.134231	-1.0484	0.1493
22	0.051583	0.4029	0.344225
23	-0.095042	-0.7423	0.230377
24	-0.120319	-0.9397	0.175532
25	-0.079934	-0.6243	0.267377
26	0.013024	0.1017	0.459656
27	0.114219	0.8921	0.187929
28	-0.089444	-0.6986	0.243734
29	0.002923	0.0228	0.490931
30	-0.100017	-0.7812	0.218865
31	0.037575	0.2935	0.38508
32	0.008368	0.0654	0.474053
33	0.10958	0.8558	0.197716
34	-0.086671	-0.6769	0.250507
35	-0.019121	-0.1493	0.44089
36	-0.070356	-0.5495	0.292334
37	0.034275	0.2677	0.394919
38	-0.050251	-0.3925	0.348037
39	-0.040133	-0.3134	0.377504
40	0.061858	0.4831	0.315368
41	-0.011732	-0.0916	0.463646
42	-0.066348	-0.5182	0.303098
43	-0.008485	-0.0663	0.473691
44	-0.062394	-0.4873	0.313891
45	-0.055713	-0.4351	0.332501
46	0.050485	0.3943	0.347367
47	-0.051055	-0.3988	0.345734
48	0.057067	0.4457	0.328695
49	-0.011339	-0.0886	0.464862
50	0.015415	0.1204	0.452284
51	-0.04076	-0.3183	0.375655
52	-0.032944	-0.2573	0.398907
53	-0.019964	-0.1559	0.438303
54	0.026533	0.2072	0.41826
55	0.015124	0.1181	0.45318
56	-0.028343	-0.2214	0.412774
57	0.000562	0.0044	0.498258
58	-0.049606	-0.3874	0.349893
59	-0.035976	-0.281	0.389838
60	-0.051194	-0.3998	0.345336

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259354875tf4p20bwk0hqps5/18oxp1259354790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259354875tf4p20bwk0hqps5/18oxp1259354790.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259354875tf4p20bwk0hqps5/2isti1259354790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259354875tf4p20bwk0hqps5/2isti1259354790.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; 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