Home » date » 2010 » Jun » 04 »

OPGAVE 6 BIS oef 2 stap 2

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 04 Jun 2010 16:29:40 +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/Jun/04/t1275669032xrjuyhxld4c8hdj.htm/, Retrieved Fri, 04 Jun 2010 18:30:35 +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/Jun/04/t1275669032xrjuyhxld4c8hdj.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 «

1954 2302 3054 2414 2226 2725 2589 3470 2400 3180 4009 3924 2072 2434 2956 2828 2687 2629 3150 4119 3030 3055 3821 4001 2529 2472 3134 2789 2758 2993 3282 3437 2804 3076 3782 3889 2271 2452 3084 2522 2769 3438 2839 3746 2632 2851 3871 3618 2389 2344 2678 2492 2858 2246 2800 3869 3007 3023 3907 4209 2353 2570 2903 2910 3782 2759 2931 3641 2794 3070 3576 4106 2452 2206 2488 2416 2534 2521 3093 3903 2907 3025 3812 4209 2138 2419 2622 2912 2708 2798 3254 2895 3263 3736 4077 4097 2175 3138 2823 2498 2822 2738 4137 3515 3785 3632 4504 4451 2550 2867 3458 2961 3163 2880 3331 3062 3534 3622 4464 5411 2564 2820 3508 3088 3299 2939 3320 3418 3604 3495 4163 4882 2211 3260 2992 2425 2707 3244 3965 3315 3333 3583 4021 4904 2252 2952 3573 3048 3059 2731 3563 3092 3478 3478 4308 5029 2075 3264 3308 3688 3136 2824 3644 4694 2914 3686 4358 5587 2265 3685 3754 etc...

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	-0.345728	-4.7151	2e-06
2	-0.23915	-3.2616	0.000659
3	0.049175	0.6707	0.251636
4	0.158995	2.1684	0.015699
5	0.016231	0.2214	0.412526
6	-0.273607	-3.7315	0.000126
7	0.020554	0.2803	0.389773
8	0.138499	1.8889	0.030232
9	0.0786	1.072	0.142563
10	-0.232159	-3.1662	0.000902
11	-0.238476	-3.2524	0.000679
12	0.740319	10.0966	0
13	-0.249138	-3.3978	0.000415
14	-0.198222	-2.7034	0.00375
15	0.056892	0.7759	0.219396
16	0.135471	1.8476	0.033126
17	0.010926	0.149	0.440855
18	-0.25638	-3.4966	0.000295
19	0.067197	0.9164	0.180311
20	0.061539	0.8393	0.201194
21	0.077885	1.0622	0.144758
22	-0.208444	-2.8428	0.002486
23	-0.18832	-2.5683	0.005502
24	0.647751	8.8341	0
25	-0.210286	-2.8679	0.002305
26	-0.166532	-2.2712	0.01214
27	0.039699	0.5414	0.294431
28	0.086508	1.1798	0.119791
29	0.037592	0.5127	0.304391
30	-0.215488	-2.9389	0.001856
31	0.048142	0.6566	0.256136
32	0.032107	0.4379	0.330989
33	0.105922	1.4446	0.075129
34	-0.224695	-3.0644	0.001253
35	-0.15526	-2.1175	0.017775
36	0.595082	8.1158	0
37	-0.203901	-2.7808	0.00299
38	-0.14848	-2.025	0.022149
39	0.028235	0.3851	0.35031
40	0.112335	1.532	0.063605
41	0.039935	0.5446	0.293327
42	-0.221144	-3.016	0.00146
43	0.026207	0.3574	0.360594
44	0.042168	0.5751	0.282959
45	0.09798	1.3363	0.091546
46	-0.194599	-2.654	0.004322
47	-0.140357	-1.9142	0.028564
48	0.51377	7.0069	0
49	-0.143402	-1.9557	0.025996
50	-0.161769	-2.2062	0.014296
51	0.02426	0.3309	0.37056
52	0.123318	1.6818	0.04714
53	-0.017586	-0.2398	0.405358
54	-0.169144	-2.3068	0.011083
55	0.07251	0.9889	0.161999
56	-0.005617	-0.0766	0.469509
57	0.09326	1.2719	0.102498
58	-0.208649	-2.8456	0.002465
59	-0.075616	-1.0313	0.151879
60	0.432313	5.896	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.345728	-4.7151	2e-06
2	-0.40737	-5.5558	0
3	-0.283278	-3.8634	7.7e-05
4	-0.058817	-0.8022	0.211743
5	0.068979	0.9407	0.174027
6	-0.211444	-2.8837	0.002197
7	-0.253057	-3.4512	0.000345
8	-0.214893	-2.9307	0.001903
9	-0.032923	-0.449	0.326976
10	-0.199769	-2.7245	0.003527
11	-0.676645	-9.2282	0
12	0.204662	2.7912	0.002899
13	0.025725	0.3508	0.36305
14	0.033067	0.451	0.326268
15	0.125213	1.7077	0.044682
16	0.067675	0.923	0.178611
17	0.058661	0.8	0.212356
18	0.026922	0.3672	0.356958
19	0.169071	2.3058	0.011112
20	0.022879	0.312	0.377682
21	-0.028323	-0.3863	0.349865
22	-0.070716	-0.9644	0.168038
23	-0.237135	-3.2341	0.000722
24	0.035188	0.4799	0.31593
25	0.057054	0.7781	0.218744
26	0.113668	1.5502	0.061394
27	0.098472	1.343	0.090458
28	-0.086193	-1.1755	0.120647
29	-0.022751	-0.3103	0.378344
30	0.047447	0.6471	0.259185
31	0.01481	0.202	0.420078
32	0.009707	0.1324	0.44741
33	0.046076	0.6284	0.265258
34	-0.1169	-1.5943	0.056284
35	-0.193552	-2.6397	0.004501
36	0.043629	0.595	0.276276
37	0.002726	0.0372	0.485191
38	-0.057898	-0.7896	0.215375
39	-0.089808	-1.2248	0.111096
40	-0.023018	-0.3139	0.376967
41	0.038971	0.5315	0.297853
42	0.050179	0.6844	0.247303
43	0.006594	0.0899	0.464222
44	0.00516	0.0704	0.471988
45	-0.097035	-1.3234	0.093666
46	0.019744	0.2693	0.394007
47	0.084331	1.1501	0.125785
48	-0.006837	-0.0932	0.462904
49	0.047618	0.6494	0.258431
50	-0.045731	-0.6237	0.266801
51	-0.026338	-0.3592	0.359924
52	0.059371	0.8097	0.20957
53	-0.109465	-1.4929	0.068579
54	-0.083767	-1.1424	0.127372
55	0.029421	0.4012	0.344349
56	-0.020089	-0.274	0.392201
57	0.05957	0.8124	0.208791
58	-0.021095	-0.2877	0.38695
59	0.018855	0.2571	0.398674
60	-0.064185	-0.8754	0.19125

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275669032xrjuyhxld4c8hdj/1b5q31275668978.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275669032xrjuyhxld4c8hdj/1b5q31275668978.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275669032xrjuyhxld4c8hdj/24w7o1275668978.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jun/04/t1275669032xrjuyhxld4c8hdj/24w7o1275668978.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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