Home » date » 2010 » May » 05 »

Maandelijkse cijfers werkloosheid 2004-2010

*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, 05 May 2010 14:17:11 +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/May/05/t1273069099nyoafz2kgocabac.htm/, Retrieved Wed, 05 May 2010 16:18:22 +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/May/05/t1273069099nyoafz2kgocabac.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 «

580 575 558 564 581 597 587 536 524 537 536 533 528 516 502 506 518 534 528 478 469 490 493 508 517 514 510 527 542 565 555 499 511 526 532 549 561 557 566 588 620 626 620 573 573 574 580 590 593 597 595 612 628 629 621 569 567 573 584 589 591 595 594 611 613 611 594 543 537 544 555 561 562

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.889716	7.6017	0
2	0.721254	6.1624	0
3	0.608014	5.1949	1e-06
4	0.564373	4.822	4e-06
5	0.565276	4.8297	4e-06
6	0.540295	4.6163	8e-06
7	0.470946	4.0238	6.9e-05
8	0.396647	3.389	0.000567
9	0.369281	3.1551	0.001165
10	0.397473	3.396	0.000555
11	0.469123	4.0082	7.3e-05
12	0.484453	4.1392	4.6e-05
13	0.334773	2.8603	0.002758
14	0.153789	1.314	0.096485
15	0.028641	0.2447	0.403684
16	-0.026401	-0.2256	0.411084
17	-0.037907	-0.3239	0.373478
18	-0.070322	-0.6008	0.274907
19	-0.13604	-1.1623	0.124444
20	-0.199156	-1.7016	0.046544
21	-0.214639	-1.8339	0.035374
22	-0.182466	-1.559	0.061662
23	-0.118661	-1.0138	0.157003
24	-0.104811	-0.8955	0.186731
25	-0.214246	-1.8305	0.035627
26	-0.338835	-2.895	0.002499
27	-0.408008	-3.486	0.000417
28	-0.415865	-3.5531	0.000336
29	-0.391138	-3.3419	0.000657
30	-0.386059	-3.2985	0.000752
31	-0.404763	-3.4583	0.000455
32	-0.414877	-3.5447	0.000345
33	-0.385445	-3.2932	0.000764
34	-0.318992	-2.7255	0.004016
35	-0.233936	-1.9987	0.02468
36	-0.186934	-1.5972	0.057275

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.889716	7.6017	0
2	-0.337518	-2.8838	0.00258
3	0.270807	2.3138	0.011749
4	0.117955	1.0078	0.158438
5	0.134505	1.1492	0.12711
6	-0.141155	-1.206	0.11585
7	-0.039787	-0.3399	0.36744
8	0.025539	0.2182	0.413938
9	0.149	1.2731	0.103518
10	0.106804	0.9125	0.182246
11	0.238393	2.0368	0.022647
12	-0.256792	-2.194	0.015708
13	-0.662467	-5.6601	0
14	0.145245	1.241	0.109294
15	-0.154437	-1.3195	0.095561
16	-0.060683	-0.5185	0.302846
17	0.015082	0.1289	0.448912
18	0.119897	1.0244	0.154514
19	-0.029303	-0.2504	0.401504
20	-0.07177	-0.6132	0.270824
21	0.081028	0.6923	0.245471
22	-0.034157	-0.2918	0.38562
23	-0.067002	-0.5725	0.284382
24	0.046612	0.3983	0.345803
25	-0.006048	-0.0517	0.479465
26	-0.03939	-0.3365	0.368713
27	0.030672	0.2621	0.397006
28	-0.042545	-0.3635	0.358638
29	-0.052256	-0.4465	0.328289
30	-0.003985	-0.034	0.486466
31	0.051791	0.4425	0.329716
32	-0.008041	-0.0687	0.472706
33	-0.043429	-0.3711	0.355834
34	0.083527	0.7137	0.238859
35	-0.034199	-0.2922	0.385482
36	0.096916	0.828	0.205171

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/05/t1273069099nyoafz2kgocabac/1bhjq1273069029.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273069099nyoafz2kgocabac/1bhjq1273069029.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273069099nyoafz2kgocabac/2bhjq1273069029.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/05/t1273069099nyoafz2kgocabac/2bhjq1273069029.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; 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