Opdracht6bis: autocorrelatie (eigen reeks) (diff) - Yesse De Ley

*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 21:21:20 +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/t1302556815ocmcut3ku1tx3y2.htm/, Retrieved Mon, 11 Apr 2011 23:20:18 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

101397 97994 94044 91159 87239 89235 118647 125620 125154 117529 109459 108483 107137 104699 100804 96066 91971 93228 120144 127233 127166 118194 109940 106683 102834 99882 96666 92540 88744 89321 115870 122401 122030 113802 105791 103076 98658 96945 92497 90687 88796 90015 113228 118711 117460 106556 97347 92657 93118 89037 83570 81693 75956 73993 97088 102394 96549 89727 82336 82653 82303 79596 74472 73562 66618 69029 89899 93774 90305 83799 80320 82497 84420 84646 84186 83269 77793 81145 101691 107357 104253 95963 91432 94324 93855 92183 87600 83641 78195 79604 100846 105293 102518 93132 87479 85476

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' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.337047 3.2851 0.000714 2 -0.163731 -1.5959 0.056922 3 -0.358984 -3.4989 0.000356 4 -0.28979 -2.8245 0.002885 5 -0.037671 -0.3672 0.357155 6 0.045029 0.4389 0.33087 7 -0.008603 -0.0839 0.466674 8 -0.233644 -2.2773 0.012506 9 -0.297766 -2.9023 0.002303 10 -0.147112 -1.4339 0.077446 11 0.295715 2.8823 0.002441 12 0.838001 8.1678 0 13 0.277995 2.7096 0.003997 14 -0.151606 -1.4777 0.071402 15 -0.318096 -3.1004 0.001272 16 -0.252712 -2.4631 0.007786 17 -0.034272 -0.334 0.369543 18 0.02781 0.2711 0.393466 19 -0.021174 -0.2064 0.418467 20 -0.204111 -1.9894 0.024765 21 -0.246812 -2.4056 0.009041 22 -0.116472 -1.1352 0.129567 23 0.252958 2.4655 0.007738 24 0.706028 6.8815 0 25 0.219271 2.1372 0.017575 26 -0.142402 -1.388 0.084197 27 -0.279849 -2.7276 0.003799 28 -0.208838 -2.0355 0.022293 29 -0.020046 -0.1954 0.422754 30 0.028809 0.2808 0.389738 31 -0.0155 -0.1511 0.440118 32 -0.180883 -1.763 0.040555 33 -0.193582 -1.8868 0.031121 34 -0.087895 -0.8567 0.196884 35 0.228809 2.2302 0.014046 36 0.581429 5.6671 0 37 0.169928 1.6563 0.050485 38 -0.135898 -1.3246 0.094246 39 -0.237566 -2.3155 0.011368 40 -0.15751 -1.5352 0.064027 41 -0.000921 -0.009 0.49643 42 0.043776 0.4267 0.33529 43 -0.018288 -0.1783 0.429452 44 -0.154565 -1.5065 0.067627 45 -0.164569 -1.604 0.056014 46 -0.072487 -0.7065 0.240799 47 0.179013 1.7448 0.042126 48 0.464722 4.5295 9e-06 49 0.128689 1.2543 0.106403 50 -0.118367 -1.1537 0.12576 51 -0.185006 -1.8032 0.037262 52 -0.112945 -1.1009 0.136871 53 0.012552 0.1223 0.451444 54 0.024258 0.2364 0.406802 55 -0.011896 -0.1159 0.45397 56 -0.116149 -1.1321 0.130226 57 -0.117036 -1.1407 0.128426 58 -0.056091 -0.5467 0.292931 59 0.148493 1.4473 0.075548 60 0.349003 3.4017 0.000491 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.337047 3.2851 0.000714 2 -0.312874 -3.0495 0.001485 3 -0.226455 -2.2072 0.014854 4 -0.151417 -1.4758 0.071648 5 -0.006261 -0.061 0.475733 6 -0.131605 -1.2827 0.101354 7 -0.143699 -1.4006 0.082295 8 -0.355409 -3.4641 4e-04 9 -0.337207 -3.2867 0.000711 10 -0.393738 -3.8377 0.000112 11 -0.057906 -0.5644 0.286905 12 0.666011 6.4915 0 13 -0.320241 -3.1213 0.001193 14 0.082916 0.8082 0.210506 15 0.146184 1.4248 0.078743 16 0.069002 0.6725 0.251434 17 -0.012574 -0.1226 0.451357 18 -0.032442 -0.3162 0.376268 19 -0.044922 -0.4378 0.331247 20 -0.011168 -0.1089 0.456773 21 -0.0369 -0.3597 0.35995 22 -0.023831 -0.2323 0.408412 23 -0.119667 -1.1664 0.123193 24 0.001101 0.0107 0.49573 25 -0.102122 -0.9954 0.161045 26 -0.049949 -0.4868 0.313745 27 -0.068596 -0.6686 0.25269 28 -0.031243 -0.3045 0.380701 29 -0.056386 -0.5496 0.291947 30 -0.007031 -0.0685 0.472755 31 -0.010913 -0.1064 0.457758 32 -0.05802 -0.5655 0.286531 33 0.040613 0.3958 0.346553 34 -0.01566 -0.1526 0.439507 35 0.023274 0.2268 0.410517 36 -0.088111 -0.8588 0.196307 37 0.02439 0.2377 0.406302 38 -0.042615 -0.4154 0.339407 39 0.001638 0.016 0.493648 40 -0.005387 -0.0525 0.479118 41 -0.020937 -0.2041 0.419368 42 0.033897 0.3304 0.370917 43 -0.040425 -0.394 0.347228 44 0.045336 0.4419 0.329789 45 -0.060949 -0.5941 0.276944 46 -0.010606 -0.1034 0.458942 47 -0.112631 -1.0978 0.137535 48 -0.047056 -0.4586 0.323767 49 -0.054469 -0.5309 0.298364 50 -0.054926 -0.5353 0.29683 51 -0.041772 -0.4071 0.34241 52 -0.061796 -0.6023 0.274202 53 -0.045658 -0.445 0.328659 54 -0.141775 -1.3819 0.085129 55 0.046125 0.4496 0.32702 56 -0.016192 -0.1578 0.437467 57 -0.013052 -0.1272 0.449521 58 -0.024318 -0.237 0.406574 59 0.069386 0.6763 0.250249 60 -0.081271 -0.7921 0.215128

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t1302556815ocmcut3ku1tx3y2/15ezz1302556878.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302556815ocmcut3ku1tx3y2/15ezz1302556878.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302556815ocmcut3ku1tx3y2/2r34k1302556879.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302556815ocmcut3ku1tx3y2/2r34k1302556879.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302556815ocmcut3ku1tx3y2/3nds91302556879.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302556815ocmcut3ku1tx3y2/3nds91302556879.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