IKO opdracht 6BIS (stap 2) werknemers x1000 Marin Peeters MAR 201B

*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 09:48:23 +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/t1305798365oinmld0asrqsxt4.htm/, Retrieved Thu, 19 May 2011 11:46:08 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

3893.9 3799.2 3769.6 3768.6 3854.9 3778.5 3779.7 3803.2 3900.3 3792.6 3767.4 3752.6 3829.6 3722.6 3692.9 3681 3762.9 3661.7 3633.1 3621.5 3710 3619.4 3595.2 3573.2 3650.1 3554.2 3537 3528.6 3597.1 3521.9 3516.5 3515.7 3600.2 3517.1 3513.7 3528.2 3608.3 3502.5 3502.5 3495.3 3543.8 3425.3 3418.4 3406.4 3446.1 3341.1 3347 3354.9 3399 3288.9 3279 3275.2 3314 3227.1 3225.3 3228.6 3287.1 3210.1 3213.1 3228 3287 3211 3199.8 3166.3 3164 3156.7 3156 3165.5 3179.2 3182.5 3179.5 3193.5 3219.6 3221.9 3210.1

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 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.368936 -3.1737 0.001097 2 -0.094793 -0.8154 0.208719 3 -0.40189 -3.4572 0.000454 4 0.900099 7.7429 0 5 -0.396702 -3.4126 0.000523 6 -0.112297 -0.966 0.168591 7 -0.39423 -3.3913 0.00056 8 0.833207 7.1675 0 9 -0.367669 -3.1628 0.001133 10 -0.09178 -0.7895 0.216165 11 -0.350177 -3.0123 0.001773 12 0.782651 6.7326 0 13 -0.339798 -2.9231 0.002298 14 -0.073442 -0.6318 0.264741 15 -0.316155 -2.7197 0.004069 16 0.69953 6.0176 0 17 -0.341346 -2.9364 0.002212 18 -0.068885 -0.5926 0.277638 19 -0.275939 -2.3737 0.010103 20 0.6311 5.4289 0 21 -0.324229 -2.7891 0.003358 22 -0.052655 -0.453 0.325952 23 -0.218907 -1.8831 0.031807 24 0.575733 4.9526 2e-06 25 -0.301226 -2.5912 0.005757 26 -0.04633 -0.3985 0.345689 27 -0.176906 -1.5218 0.066161 28 0.506725 4.359 2.1e-05 29 -0.288859 -2.4849 0.00761 30 -0.048513 -0.4173 0.338825 31 -0.151683 -1.3048 0.097998 32 0.447326 3.848 0.000125 33 -0.264024 -2.2712 0.013021 34 -0.050455 -0.434 0.332764 35 -0.125033 -1.0756 0.142807 36 0.395227 3.3999 0.000545 37 -0.22309 -1.9191 0.029415 38 -0.036269 -0.312 0.37796 39 -0.090319 -0.7769 0.219833 40 0.342074 2.9426 0.002172 41 -0.175362 -1.5085 0.067839 42 -0.042147 -0.3626 0.358982 43 -0.085053 -0.7317 0.233345 44 0.268302 2.308 0.011898 45 -0.140471 -1.2084 0.115374 46 -0.047892 -0.412 0.340772 47 -0.078812 -0.678 0.249955 48 0.214638 1.8464 0.034418 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.368936 -3.1737 0.001097 2 -0.267288 -2.2993 0.012156 3 -0.679187 -5.8426 0 4 0.771113 6.6334 0 5 -0.400232 -3.4429 0.000475 6 -0.186221 -1.6019 0.056715 7 0.061273 0.5271 0.299855 8 -0.15215 -1.3088 0.097319 9 0.083966 0.7223 0.236192 10 -0.014017 -0.1206 0.452175 11 0.027863 0.2397 0.405618 12 0.002535 0.0218 0.491332 13 -0.029959 -0.2577 0.39867 14 0.083474 0.7181 0.237488 15 0.003313 0.0285 0.488671 16 -0.170852 -1.4697 0.072937 17 -0.03553 -0.3056 0.380369 18 -0.016113 -0.1386 0.445067 19 -0.001315 -0.0113 0.495503 20 -0.046938 -0.4038 0.343772 21 -0.013361 -0.1149 0.454405 22 -0.024416 -0.21 0.417108 23 0.027 0.2323 0.408489 24 -0.010678 -0.0919 0.463531 25 0.035548 0.3058 0.38031 26 -0.020574 -0.177 0.430002 27 -0.023867 -0.2053 0.418946 28 -0.014982 -0.1289 0.448901 29 0.018114 0.1558 0.438298 30 0.000828 0.0071 0.497167 31 -0.105003 -0.9033 0.184658 32 0.030053 0.2585 0.39836 33 0.02057 0.1769 0.430017 34 -0.121385 -1.0442 0.149898 35 -0.000804 -0.0069 0.497251 36 -0.056402 -0.4852 0.314489 37 0.047428 0.408 0.342228 38 0.056792 0.4885 0.313306 39 0.00844 0.0726 0.471158 40 0.02433 0.2093 0.417397 41 0.135257 1.1635 0.124177 42 -0.081027 -0.697 0.243987 43 -0.020219 -0.1739 0.431197 44 0.00681 0.0586 0.476723 45 -0.038044 -0.3273 0.372196 46 0.025755 0.2216 0.412636 47 -0.065902 -0.5669 0.286245 48 0.038659 0.3326 0.370203

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/19/t1305798365oinmld0asrqsxt4/1j7jz1305798501.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305798365oinmld0asrqsxt4/1j7jz1305798501.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305798365oinmld0asrqsxt4/28bsh1305798501.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305798365oinmld0asrqsxt4/28bsh1305798501.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305798365oinmld0asrqsxt4/3rav21305798501.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/19/t1305798365oinmld0asrqsxt4/3rav21305798501.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; 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