Home » date » 2010 » Dec » 22 »

Autocorrelatiefunctie D=1

*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: Wed, 22 Dec 2010 19:04:52 +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/Dec/22/t12930445688g8dlxaupmr30az.htm/, Retrieved Wed, 22 Dec 2010 20:02:48 +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/2010/Dec/22/t12930445688g8dlxaupmr30az.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

27951 29781 32914 33488 35652 36488 35387 35676 34844 32447 31068 29010 29812 30951 32974 32936 34012 32946 31948 30599 27691 25073 23406 22248 22896 25317 26558 26471 27543 26198 24725 25005 23462 20780 19815 19761 21454 23899 24939 23580 24562 24696 23785 23812 21917 19713 19282 18788 21453 24482 27474 27264 27349 30632 29429 30084 26290 24379 23335 21346 21106 24514 28353 30805 31348 34556 33855 34787 32529 29998 29257 28155 30466 35704 39327 39351 42234 43630 43722 43121 37985 37135 34646 33026 35087 38846 42013 43908 42868 44423 44167 43636 44382 42142 43452 36912 42413 45344 44873 47510 49554 47369 45998 48140 48441 44928 40454 38661 37246 36843 36424 37594 38144 38737 34560 36080 33508 35462 33374 32110 35533 35532 37903 36763 40399 44164 44496 43110 43880 43930 44327

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	40 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.209778	-2.2788	0.01224
2	0.187397	2.0357	0.022012
3	0.042731	0.4642	0.321687
4	0.155267	1.6866	0.047158
5	0.010591	0.115	0.454301
6	-0.010445	-0.1135	0.454928
7	0.064042	0.6957	0.244001
8	0.074083	0.8047	0.211293
9	-0.141825	-1.5406	0.063044
10	0.025532	0.2773	0.391
11	0.085569	0.9295	0.177258
12	-0.400937	-4.3553	1.4e-05
13	0.24352	2.6453	0.004637
14	-0.250189	-2.7178	0.003782
15	0.058309	0.6334	0.263849
16	-0.216953	-2.3567	0.010043
17	-0.063648	-0.6914	0.245339
18	0.033903	0.3683	0.356663
19	-0.030663	-0.3331	0.369829
20	-0.079811	-0.867	0.193858
21	0.187524	2.037	0.021942
22	-0.151613	-1.6469	0.051116
23	0.079183	0.8601	0.195726
24	-0.026099	-0.2835	0.388642
25	-0.068028	-0.739	0.230694
26	0.207326	2.2521	0.013082
27	-0.134602	-1.4622	0.073178
28	0.153391	1.6663	0.049158
29	-0.041542	-0.4513	0.326314
30	0.027775	0.3017	0.3817
31	0.018478	0.2007	0.420629
32	0.000848	0.0092	0.496335
33	-0.102036	-1.1084	0.134972
34	0.041829	0.4544	0.325196
35	-0.115475	-1.2544	0.106092
36	-0.025375	-0.2756	0.391654
37	-0.03766	-0.4091	0.341608
38	-0.122046	-1.3258	0.09374
39	0.118086	1.2827	0.101049
40	-0.144107	-1.5654	0.060083
41	0.112981	1.2273	0.111079
42	-0.086236	-0.9368	0.175396
43	-0.052395	-0.5692	0.285166
44	-0.014902	-0.1619	0.435838
45	-0.044049	-0.4785	0.316593
46	0.009095	0.0988	0.460734
47	-0.025743	-0.2796	0.39012
48	-0.028834	-0.3132	0.377335
49	0.03434	0.373	0.354898
50	0.075999	0.8256	0.205359
51	-0.079988	-0.8689	0.193336
52	0.065407	0.7105	0.239398
53	-0.076009	-0.8257	0.205329
54	0.088456	0.9609	0.16929
55	-0.041802	-0.4541	0.325301
56	0.022838	0.2481	0.40225
57	-0.033008	-0.3586	0.360282
58	0.019006	0.2065	0.418397
59	-0.021178	-0.2301	0.409225
60	0.002181	0.0237	0.490571

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.209778	-2.2788	0.01224
2	0.149991	1.6293	0.052956
3	0.115156	1.2509	0.106721
4	0.168991	1.8357	0.034459
5	0.050909	0.553	0.290652
6	-0.064887	-0.7049	0.241144
7	0.00943	0.1024	0.459291
8	0.080132	0.8705	0.19291
9	-0.140404	-1.5252	0.064945
10	-0.063747	-0.6925	0.245
11	0.112751	1.2248	0.111546
12	-0.415301	-4.5113	8e-06
13	0.159044	1.7277	0.043333
14	-0.087707	-0.9527	0.171335
15	-0.063559	-0.6904	0.245642
16	-0.054673	-0.5939	0.276859
17	-0.143307	-1.5567	0.061109
18	0.053693	0.5833	0.280419
19	0.138001	1.4991	0.068263
20	0.002412	0.0262	0.489569
21	0.141867	1.5411	0.062989
22	-0.053909	-0.5856	0.27963
23	0.004274	0.0464	0.481524
24	-0.138165	-1.5009	0.068031
25	-0.013914	-0.1511	0.440059
26	0.090942	0.9879	0.162616
27	-0.018096	-0.1966	0.42225
28	-0.008855	-0.0962	0.461766
29	-0.08057	-0.8752	0.191618
30	0.035499	0.3856	0.350238
31	-0.010837	-0.1177	0.453244
32	-0.050831	-0.5522	0.29094
33	-0.044366	-0.4819	0.315372
34	-0.174435	-1.8948	0.03028
35	0.090076	0.9785	0.164922
36	-0.187334	-2.035	0.022047
37	0.071882	0.7808	0.218232
38	0.017715	0.1924	0.423865
39	-0.020257	-0.22	0.413108
40	0.054191	0.5887	0.278605
41	0.026966	0.2929	0.385048
42	0.021704	0.2358	0.407013
43	-0.062857	-0.6828	0.248035
44	-0.069781	-0.758	0.224975
45	-0.106003	-1.1515	0.125931
46	-0.006455	-0.0701	0.472111
47	-0.049793	-0.5409	0.294803
48	-0.135105	-1.4676	0.072434
49	0.038412	0.4173	0.338622
50	0.069094	0.7506	0.227206
51	-0.036374	-0.3951	0.346733
52	-0.043307	-0.4704	0.319456
53	-0.032468	-0.3527	0.362474
54	0.031526	0.3425	0.366305
55	0.018682	0.2029	0.419767
56	0.00419	0.0455	0.481888
57	-0.102257	-1.1108	0.134456
58	-0.000635	-0.0069	0.497256
59	-0.052213	-0.5672	0.285835
60	-0.162627	-1.7666	0.039942

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930445688g8dlxaupmr30az/1gcx91293044650.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930445688g8dlxaupmr30az/1gcx91293044650.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930445688g8dlxaupmr30az/294xu1293044650.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930445688g8dlxaupmr30az/294xu1293044650.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930445688g8dlxaupmr30az/394xu1293044650.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t12930445688g8dlxaupmr30az/394xu1293044650.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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