Home » date » 2010 » Apr » 28 »

Autocorrelatie - Goudkoers - Steffi Heivers

*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, 28 Apr 2010 16:02:27 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Apr/28/t12724706271s6h8fzy21liwc7.htm/, Retrieved Wed, 28 Apr 2010 18:03:47 +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/2010/Apr/28/t12724706271s6h8fzy21liwc7.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

25204 24977 24320 22680 22052 21467 21383 21777 21928 21814 22937 23595 20830 19650 19195 19644 18483 18079 19178 18391 18441 18584 20108 20148 19394 17745 17696 17032 16438 15683 15594 15713 15937 16171 15928 16348 15579 15305 15648 14954 15137 15839 16050 15168 17064 16005 14886 14931 14544 13812 13031 12574 11964 11451 11346 11353 10702 10646 10556 10463 10407 10625 10872 10805 10653 10574 10431 10383 10296 10872 10635 10297 10570

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	0.943798	8.0638	0
2	0.884449	7.5567	0
3	0.832321	7.1114	0
4	0.789079	6.7419	0
5	0.74362	6.3535	0
6	0.70648	6.0362	0
7	0.674309	5.7613	0
8	0.638791	5.4578	0
9	0.602745	5.1499	1e-06
10	0.564692	4.8247	4e-06
11	0.518859	4.4331	1.6e-05
12	0.461781	3.9455	9.1e-05
13	0.417821	3.5699	0.000318
14	0.377142	3.2223	0.000951
15	0.339463	2.9004	0.002461
16	0.29941	2.5582	0.006299
17	0.267007	2.2813	0.012724
18	0.240314	2.0532	0.021816
19	0.206357	1.7631	0.041033
20	0.182002	1.555	0.062133
21	0.156989	1.3413	0.091988
22	0.131163	1.1207	0.133054
23	0.090488	0.7731	0.220972
24	0.050365	0.4303	0.334115
25	0.014723	0.1258	0.450121
26	-0.010645	-0.091	0.463889
27	-0.038756	-0.3311	0.370748
28	-0.059469	-0.5081	0.306457
29	-0.069304	-0.5921	0.277795
30	-0.081435	-0.6958	0.244387
31	-0.088949	-0.76	0.224857
32	-0.099782	-0.8525	0.198352
33	-0.112347	-0.9599	0.170139
34	-0.131513	-1.1236	0.132423
35	-0.150784	-1.2883	0.100856
36	-0.173069	-1.4787	0.071761
37	-0.190252	-1.6255	0.054182
38	-0.205368	-1.7547	0.041756
39	-0.22428	-1.9163	0.029624
40	-0.237591	-2.03	0.023002
41	-0.255296	-2.1813	0.016193
42	-0.278031	-2.3755	0.010076
43	-0.303	-2.5888	0.005808
44	-0.323453	-2.7636	0.003616
45	-0.355512	-3.0375	0.001654
46	-0.378534	-3.2342	0.000917
47	-0.39274	-3.3556	0.00063
48	-0.409724	-3.5007	0.000398

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.943798	8.0638	0
2	-0.057716	-0.4931	0.311703
3	0.035585	0.304	0.380981
4	0.049365	0.4218	0.337215
5	-0.045565	-0.3893	0.34909
6	0.061301	0.5238	0.301018
7	0.022131	0.1891	0.425275
8	-0.047552	-0.4063	0.34286
9	-0.006696	-0.0572	0.477266
10	-0.041428	-0.354	0.362193
11	-0.095453	-0.8156	0.208705
12	-0.123711	-1.057	0.147001
13	0.077913	0.6657	0.253853
14	-0.031469	-0.2689	0.394393
15	-0.003689	-0.0315	0.48747
16	-0.039684	-0.3391	0.36777
17	0.023167	0.1979	0.421823
18	0.036398	0.311	0.378348
19	-0.077147	-0.6591	0.255939
20	0.086746	0.7412	0.230488
21	-0.030851	-0.2636	0.39642
22	-0.016229	-0.1387	0.445049
23	-0.143374	-1.225	0.112259
24	-0.057805	-0.4939	0.311434
25	0.00693	0.0592	0.476473
26	0.046776	0.3997	0.345289
27	-0.058468	-0.4995	0.309448
28	0.019908	0.1701	0.432703
29	0.08435	0.7207	0.236702
30	-0.031927	-0.2728	0.392894
31	0.038127	0.3258	0.372771
32	-0.015317	-0.1309	0.44812
33	-0.016485	-0.1409	0.444187
34	-0.024686	-0.2109	0.416769
35	-0.075213	-0.6426	0.261241
36	-0.081416	-0.6956	0.244439
37	0.015477	0.1322	0.44758
38	-0.016828	-0.1438	0.443037
39	-0.108389	-0.9261	0.178729
40	0.018477	0.1579	0.4375
41	-0.052244	-0.4464	0.328326
42	-0.090274	-0.7713	0.221508
43	-0.021218	-0.1813	0.428323
44	-0.013147	-0.1123	0.455436
45	-0.097633	-0.8342	0.203452
46	0.055668	0.4756	0.317879
47	0.014062	0.1201	0.452347
48	-0.105804	-0.904	0.184487

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/28/t12724706271s6h8fzy21liwc7/1bx2y1272470544.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/28/t12724706271s6h8fzy21liwc7/1bx2y1272470544.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/28/t12724706271s6h8fzy21liwc7/2bx2y1272470544.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/28/t12724706271s6h8fzy21liwc7/2bx2y1272470544.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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