Home » date » 2010 » Aug » 19 »

tijdreeks 1- stap 20

*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, 19 Aug 2010 18:53:13 +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/Aug/19/t1282244012c00bkmbm2wu58tb.htm/, Retrieved Thu, 19 Aug 2010 20:53:32 +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/Aug/19/t1282244012c00bkmbm2wu58tb.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:

Aerts Ellen

Dataseries X:

» Textbox « » Textfile « » CSV «

25 24 23 21 41 40 25 15 16 16 17 19 18 19 20 21 46 47 30 16 15 18 30 31 32 36 30 31 61 57 45 33 31 36 46 49 34 40 41 48 75 77 71 54 50 56 66 66 48 63 71 70 88 92 91 80 81 81 98 106 85 93 96 92 115 109 119 107 107 106 132 143 120 123 132 136 158 151 155 138 143 139 168 182 154 158 167 170 197 190 196 174 180 171 200 215 184 186 197 186 211 205 218 199 213 207 236 248 211 220 235 223 245 236 253 246 255 248 274 288

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	0.957601	10.49	0
2	0.923541	10.1169	0
3	0.89936	9.852	0
4	0.878016	9.6182	0
5	0.864888	9.4744	0
6	0.845207	9.2588	0
7	0.820771	8.9911	0
8	0.788984	8.6429	0
9	0.766695	8.3987	0
10	0.744837	8.1593	0
11	0.730485	8.0021	0
12	0.723909	7.93	0
13	0.6826	7.4775	0
14	0.64778	7.0961	0
15	0.623064	6.8253	0
16	0.602134	6.596	0
17	0.590855	6.4725	0
18	0.570333	6.2477	0
19	0.543965	5.9588	0
20	0.51068	5.5942	0
21	0.488117	5.3471	0
22	0.465655	5.101	1e-06
23	0.450285	4.9326	1e-06
24	0.440612	4.8267	2e-06
25	0.402946	4.4141	1.1e-05
26	0.370954	4.0636	4.3e-05
27	0.347685	3.8087	0.000111
28	0.327124	3.5835	0.000246
29	0.314735	3.4477	0.00039
30	0.292665	3.206	0.000863
31	0.2642	2.8942	0.002259
32	0.228593	2.5041	0.006809
33	0.204507	2.2403	0.013457
34	0.182753	2.002	0.023772
35	0.166327	1.822	0.035471
36	0.155551	1.704	0.045486
37	0.119956	1.3141	0.095667
38	0.088745	0.9722	0.166466
39	0.066316	0.7265	0.234486
40	0.048329	0.5294	0.298745
41	0.037675	0.4127	0.340279
42	0.020397	0.2234	0.411789
43	-0.002738	-0.03	0.488062
44	-0.03309	-0.3625	0.358813
45	-0.053155	-0.5823	0.280733
46	-0.071585	-0.7842	0.217242
47	-0.08526	-0.934	0.176096
48	-0.094447	-1.0346	0.151465

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.957601	10.49	0
2	0.078808	0.8633	0.194847
3	0.111602	1.2225	0.11195
4	0.047112	0.5161	0.303371
5	0.114974	1.2595	0.105152
6	-0.051025	-0.559	0.288617
7	-0.051959	-0.5692	0.285147
8	-0.122169	-1.3383	0.091666
9	0.071051	0.7783	0.218955
10	-0.030172	-0.3305	0.370791
11	0.094437	1.0345	0.151491
12	0.106179	1.1631	0.123543
13	-0.366168	-4.0112	5.3e-05
14	0.015381	0.1685	0.433242
15	0.056794	0.6222	0.267511
16	0.025039	0.2743	0.392168
17	0.080024	0.8766	0.191222
18	-0.072059	-0.7894	0.215728
19	-0.043683	-0.4785	0.316576
20	-0.059931	-0.6565	0.256375
21	0.031575	0.3459	0.365015
22	-0.024937	-0.2732	0.392594
23	0.045753	0.5012	0.308574
24	0.014795	0.1621	0.435762
25	-0.159541	-1.7477	0.041539
26	0.002027	0.0222	0.491159
27	0.021381	0.2342	0.407608
28	-0.011187	-0.1225	0.451337
29	0.021515	0.2357	0.407039
30	-0.062763	-0.6875	0.246537
31	-0.041654	-0.4563	0.3245
32	-0.066138	-0.7245	0.235083
33	0.014298	0.1566	0.437902
34	0.004555	0.0499	0.480144
35	0.011211	0.1228	0.45123
36	0.017082	0.1871	0.425939
37	-0.101388	-1.1107	0.134469
38	-0.021443	-0.2349	0.407344
39	0.017265	0.1891	0.425157
40	0.009785	0.1072	0.457407
41	0.009597	0.1051	0.458225
42	-0.002768	-0.0303	0.48793
43	-0.022147	-0.2426	0.40436
44	-0.051474	-0.5639	0.286949
45	-0.013522	-0.1481	0.441246
46	-0.02901	-0.3178	0.375599
47	0.006518	0.0714	0.471598
48	-0.005428	-0.0595	0.476344

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282244012c00bkmbm2wu58tb/16ifb1282243990.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282244012c00bkmbm2wu58tb/16ifb1282243990.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282244012c00bkmbm2wu58tb/26ifb1282243990.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/19/t1282244012c00bkmbm2wu58tb/26ifb1282243990.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