differentiatie autocorrelatie-Inschrijvingen nieuwe personenwagens (eigen reeks)-Ling Weng

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 11 Apr 2011 19:36:46 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw.htm/, Retrieved Mon, 11 Apr 2011 21:35:23 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

26281 23899 25727 30733 28599 16723 43738 45272 46532 41032 37967 35366 33892 21560 26588 33527 24859 17952 45504 40129 40357 41913 33730 37842 33025 24050 30429 34507 25189 20253 48527 44446 46380 48950 38883 42928 37107 30186 32602 39892 32194 21629 59968 45694 55756 48554 41052 49822 39191 31994 35735 38930 33658 23849 58972 59249 63955 53785 52760 44795 37348 32370 32717 40974 33591 21124 58608 46865 51378 46235 47206 45382 41227 33795 31295 42625 33625 21538 56421 53152 53536 52408 41454 38271 35306 26414 31917 38030 27534 18387

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' @ 216.218.223.82 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.32303 -3.0475 0.001519 2 -0.115901 -1.0934 0.138583 3 0.136794 1.2905 0.100109 4 -0.038033 -0.3588 0.360296 5 -0.070451 -0.6646 0.254001 6 -0.124491 -1.1744 0.121676 7 -0.09064 -0.8551 0.197398 8 0.027373 0.2582 0.398409 9 0.133368 1.2582 0.105807 10 -0.158787 -1.498 0.068837 11 -0.248642 -2.3457 0.010607 12 0.78969 7.4499 0 13 -0.276585 -2.6093 0.005321 14 -0.076437 -0.7211 0.236367 15 0.08729 0.8235 0.206215 16 0.014869 0.1403 0.444381 17 -0.068958 -0.6506 0.258506 18 -0.127939 -1.207 0.11532 19 -0.045988 -0.4338 0.332725 20 -0.027374 -0.2582 0.398407 21 0.126478 1.1932 0.117983 22 -0.135194 -1.2754 0.102739 23 -0.187809 -1.7718 0.039926 24 0.650588 6.1376 0 25 -0.200583 -1.8923 0.030851 26 -0.066092 -0.6235 0.267273 27 0.035474 0.3347 0.369335 28 0.037416 0.353 0.362467 29 -0.077952 -0.7354 0.232017 30 -0.106443 -1.0042 0.159007 31 0.003082 0.0291 0.488435 32 -0.031499 -0.2972 0.383518 33 0.11117 1.0488 0.148561 34 -0.106043 -1.0004 0.159914 35 -0.185597 -1.7509 0.041703 36 0.509664 4.8082 3e-06 37 -0.139901 -1.3198 0.095139 38 -0.084671 -0.7988 0.213271 39 0.041312 0.3897 0.348831 40 0.063744 0.6014 0.274564 41 -0.098285 -0.9272 0.178161 42 -0.058433 -0.5513 0.29142 43 -0.018368 -0.1733 0.43141 44 -0.028604 -0.2699 0.393949 45 0.096305 0.9085 0.183022 46 -0.092028 -0.8682 0.193814 47 -0.119438 -1.1268 0.131433 48 0.367285 3.465 0.000409 49 -0.0808 -0.7623 0.223959 50 -0.083747 -0.7901 0.215795 51 0.032276 0.3045 0.380731 52 0.056073 0.529 0.299063 53 -0.104666 -0.9874 0.163057 54 -0.006532 -0.0616 0.475501 55 -0.020821 -0.1964 0.422361 56 -0.015363 -0.1449 0.442547 57 0.067354 0.6354 0.263395 58 -0.072793 -0.6867 0.247021 59 -0.093429 -0.8814 0.190236 60 0.253997 2.3962 0.00933 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.32303 -3.0475 0.001519 2 -0.245909 -2.3199 0.011317 3 0.012729 0.1201 0.452343 4 -0.00856 -0.0808 0.467909 5 -0.064307 -0.6067 0.272806 6 -0.221704 -2.0916 0.019664 7 -0.297993 -2.8113 0.003035 8 -0.225778 -2.13 0.017966 9 0.034061 0.3213 0.374358 10 -0.12672 -1.1955 0.117538 11 -0.562321 -5.3049 0 12 0.562987 5.3112 0 13 0.154038 1.4532 0.074843 14 0.045714 0.4313 0.33366 15 -0.150133 -1.4164 0.080081 16 0.129864 1.2251 0.111879 17 0.016448 0.1552 0.438518 18 -0.024507 -0.2312 0.408844 19 0.103103 0.9727 0.166675 20 -0.185815 -1.753 0.041524 21 -0.165055 -1.5571 0.061494 22 0.021034 0.1984 0.42158 23 0.133096 1.2556 0.106268 24 0.032033 0.3022 0.381603 25 0.06832 0.6445 0.260446 26 0.036169 0.3412 0.366871 27 -0.098021 -0.9247 0.178804 28 -0.040197 -0.3792 0.352716 29 0.067023 0.6323 0.264409 30 0.049795 0.4698 0.319837 31 0.018408 0.1737 0.431262 32 0.114818 1.0832 0.140825 33 0.010868 0.1025 0.459282 34 0.037774 0.3564 0.361206 35 -0.03407 -0.3214 0.374325 36 -0.028978 -0.2734 0.392598 37 -0.0389 -0.367 0.357252 38 -0.090482 -0.8536 0.197807 39 0.047761 0.4506 0.326697 40 0.006483 0.0612 0.475684 41 -0.03559 -0.3358 0.368922 42 0.040345 0.3806 0.352199 43 -0.061154 -0.5769 0.282723 44 -0.001919 -0.0181 0.492799 45 -0.027759 -0.2619 0.397011 46 0.004702 0.0444 0.48236 47 0.07722 0.7285 0.234113 48 -0.115758 -1.0921 0.138877 49 -0.017618 -0.1662 0.434184 50 0.000429 0.0041 0.498389 51 0.088577 0.8356 0.202799 52 -0.034632 -0.3267 0.372324 53 -0.056224 -0.5304 0.298572 54 0.035047 0.3306 0.37085 55 -0.037801 -0.3566 0.361113 56 0.012461 0.1176 0.453344 57 -0.002284 -0.0215 0.491429 58 -0.01091 -0.1029 0.459128 59 -0.081926 -0.7729 0.220817 60 0.010602 0.1 0.460276

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw/1qgmc1302550603.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw/1qgmc1302550603.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw/2h9ec1302550603.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw/2h9ec1302550603.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw/30eaj1302550603.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302550519ap73ovks83he6jw/30eaj1302550603.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 (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')

Copyright

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.

Privacy Policy

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