autocorrelatie US Airlines

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 19 May 2011 07:06:18 +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/May/19/t1305788572xsx0kynzsq6wj22.htm/, Retrieved Thu, 19 May 2011 09:02:52 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

6827 6178 7084 8162 8462 9644 10466 10748 9963 8194 6848 7027 7269 6775 7819 8371 9069 10248 11030 10882 10333 9109 7685 7602 8350 7829 8829 9948 10638 11253 11424 11391 10665 9396 7775 7933 8186 7444 8484 9948 10252 12282 11637 11577 12417 9637 8094 9280 8334 7899 9994 10078 10801 12950 12222 12246 13281 10366 8730 9614 8639 8772 10894 10455 11179 10588 10794 12770 13812 10857 9290 10925 9491 8919 11607 8852 12537 14759 13667 13731 15110 12185 10645 12161 10840 10436 13589 13402 13103 14933 14147 14057 16234 12389 11595 12772

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 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.777298 7.6159 0 2 0.589599 5.7769 0 3 0.483685 4.7391 4e-06 4 0.196483 1.9251 0.028586 5 0.055277 0.5416 0.294673 6 0.075974 0.7444 0.229229 7 0.027589 0.2703 0.393749 8 0.157132 1.5396 0.063477 9 0.392481 3.8455 0.000108 10 0.452437 4.433 1.2e-05 11 0.550307 5.3919 0 12 0.663443 6.5004 0 13 0.508514 4.9824 1e-06 14 0.356909 3.497 0.000357 15 0.253611 2.4849 0.007345 16 0.010001 0.098 0.461072 17 -0.126888 -1.2432 0.108402 18 -0.113054 -1.1077 0.135379 19 -0.145569 -1.4263 0.078516 20 -0.029862 -0.2926 0.385236 21 0.156086 1.5293 0.064737 22 0.214637 2.103 0.019041 23 0.344811 3.3784 0.000527 24 0.431357 4.2264 2.7e-05 25 0.314826 3.0846 0.001331 26 0.200479 1.9643 0.026194 27 0.101681 0.9963 0.160812 28 -0.084098 -0.824 0.205995 29 -0.180746 -1.7709 0.039872 30 -0.185323 -1.8158 0.036262 31 -0.207732 -2.0354 0.022286 32 -0.094756 -0.9284 0.177759 33 0.059892 0.5868 0.279351 34 0.111827 1.0957 0.13798 35 0.228229 2.2362 0.013828 36 0.301639 2.9554 0.001964 37 0.20943 2.052 0.021447 38 0.119362 1.1695 0.122548 39 0.016894 0.1655 0.434439 40 -0.151196 -1.4814 0.070885 41 -0.232418 -2.2772 0.012496 42 -0.247522 -2.4252 0.008584 43 -0.266652 -2.6126 0.005214 44 -0.178605 -1.75 0.04166 45 -0.064205 -0.6291 0.265397 46 -0.018104 -0.1774 0.429791 47 0.074145 0.7265 0.234661 48 0.129594 1.2698 0.10362 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.777298 7.6159 0 2 -0.03687 -0.3613 0.359353 3 0.093994 0.921 0.179692 4 -0.514783 -5.0438 1e-06 5 0.237185 2.3239 0.011119 6 0.190104 1.8626 0.032786 7 0.077283 0.7572 0.225389 8 0.358537 3.5129 0.000339 9 0.241474 2.366 0.009997 10 -0.031082 -0.3045 0.380687 11 0.072792 0.7132 0.238722 12 0.151819 1.4875 0.070077 13 -0.240606 -2.3575 0.010215 14 -0.080776 -0.7914 0.215318 15 -0.077958 -0.7638 0.22342 16 -0.084347 -0.8264 0.205306 17 -0.135004 -1.3228 0.094529 18 -0.012283 -0.1203 0.45223 19 -0.001087 -0.0106 0.495763 20 0.083124 0.8144 0.208703 21 -0.12586 -1.2332 0.110262 22 0.03408 0.3339 0.369586 23 0.225259 2.2071 0.014846 24 -0.06027 -0.5905 0.278115 25 0.022131 0.2168 0.414396 26 -0.093676 -0.9178 0.180504 27 0.106935 1.0477 0.148694 28 0.002616 0.0256 0.4898 29 -0.002727 -0.0267 0.489369 30 -0.008115 -0.0795 0.468398 31 -0.03664 -0.359 0.360194 32 0.00901 0.0883 0.46492 33 -0.069199 -0.678 0.249697 34 -0.010063 -0.0986 0.460833 35 0.039039 0.3825 0.351467 36 0.009916 0.0972 0.461401 37 -0.038619 -0.3784 0.35299 38 -0.099222 -0.9722 0.166703 39 -0.030915 -0.3029 0.38131 40 0.0312 0.3057 0.380247 41 -0.043747 -0.4286 0.334575 42 0.040074 0.3926 0.347725 43 -0.072679 -0.7121 0.239063 44 -0.048045 -0.4707 0.319446 45 -0.062106 -0.6085 0.272144 46 -0.040531 -0.3971 0.34608 47 0.040187 0.3937 0.347321 48 -0.036646 -0.3591 0.360171

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/19/t1305788572xsx0kynzsq6wj22/1op741305788774.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305788572xsx0kynzsq6wj22/1op741305788774.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305788572xsx0kynzsq6wj22/2dtgl1305788774.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305788572xsx0kynzsq6wj22/2dtgl1305788774.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305788572xsx0kynzsq6wj22/3vy521305788774.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305788572xsx0kynzsq6wj22/3vy521305788774.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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 (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

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