Home » date » 2007 » Nov » 29 » attachments

WS 4 - Q2 - methode 2 - reeks 2 (2)

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 29 Nov 2007 03:26:12 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/29/t1196331419g70uvh4nkibwq0p.htm/, Retrieved Thu, 29 Nov 2007 11:17:01 +0100

User-defined keywords:

Christel Stuer, Steven Coomans

Dataseries X:

» Textbox « » Textfile « » CSV «

100,6 101,2 93,1 84,2 85,8 91,8 92,4 80,3 79,7 62,5 57,1 100,8 100,7 86,2 83,2 71,7 77,5 89,8 80,3 78,7 93,8 57,6 60,6 91 85,3 77,4 77,3 68,3 69,9 81,7 75,1 69,9 84 54,3 60 89,9 77 85,3 77,6 69,2 75,5 85,7 72,2 79,9 85,3 52,2 61,2 82,4 85,4 78,2 70,2 70,2 69,3 77,5 66,1 69 79,2 58,2 64,5 76,4

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 4 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 6.9282 0 1 0.208161 1.4422 0.077873 2 0.155742 1.079 0.142987 3 0.229866 1.5926 0.058912 4 -0.091995 -0.6374 0.736541 5 0.068761 0.4764 0.31798 6 0.021574 0.1495 0.440906 7 -0.098793 -0.6845 0.751511 8 0.060611 0.4199 0.338207 9 -0.051415 -0.3562 0.638378 10 -0.003748 -0.026 0.510304 11 -0.010892 -0.0755 0.529919 12 -0.217817 -1.5091 0.931083 13 -0.085052 -0.5893 0.720774 14 -0.002692 -0.0187 0.507403 15 -0.040372 -0.2797 0.609548 16 -0.144278 -0.9996 0.838739 17 0.06987 0.4841 0.315266 18 0.067225 0.4657 0.321752 19 -0.082745 -0.5733 0.715432 20 0.00935 0.0648 0.474311 21 0.073645 0.5102 0.306115 22 -0.105684 -0.7322 0.766197 23 0.100199 0.6942 0.245452 24 -0.042541 -0.2947 0.615266 25 -0.142777 -0.9892 0.836234 26 -0.002426 -0.0168 0.50667 27 -0.150759 -1.0445 0.849254 28 -0.027563 -0.191 0.575319 29 -0.019033 -0.1319 0.55218 30 -0.162358 -1.1248 0.866876 31 0.077357 0.5359 0.297237 32 -0.029122 -0.2018 0.579523 33 -0.202211 -1.401 0.916171 34 -0.058175 -0.403 0.655649 35 -0.074744 -0.5178 0.696525 36 0.042504 0.2945 0.384832 37 0.118831 0.8233 0.20721 38 0.077305 0.5356 0.297358 39 0.009938 0.0689 0.472697 40 0.045068 0.3122 0.378106 41 0.034791 0.241 0.405275 42 -0.013553 -0.0939 0.537209 43 -0.050883 -0.3525 0.637006 44 -0.0671 -0.4649 0.677941 45 -0.013504 -0.0936 0.537077 46 0.025808 0.1788 0.429421 47 -0.004375 -0.0303 0.512027 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.208161 1.4422 0.077873 1 0.117503 0.8141 0.209809 2 0.187392 1.2983 0.100196 3 -0.198946 -1.3783 0.912755 4 0.08165 0.5657 0.287121 5 -0.020486 -0.1419 0.556135 6 -0.056439 -0.391 0.651243 7 0.046074 0.3192 0.375476 8 -0.042417 -0.2939 0.61494 9 0.041539 0.2878 0.387372 10 -0.067222 -0.4657 0.678243 11 -0.184969 -1.2815 0.896914 12 -0.028566 -0.1979 0.578025 13 0.092381 0.64 0.262596 14 0.047716 0.3306 0.371199 15 -0.236788 -1.6405 0.946282 16 0.176556 1.2232 0.11361 17 0.095847 0.664 0.254919 18 -0.141341 -0.9792 0.833813 19 -0.081808 -0.5668 0.713249 20 0.194684 1.3488 0.091864 21 -0.101551 -0.7036 0.757448 22 0.032374 0.2243 0.411741 23 -0.127583 -0.8839 0.809428 24 -0.092074 -0.6379 0.736718 25 0.031834 0.2206 0.413187 26 -0.074512 -0.5162 0.695969 27 -0.071599 -0.496 0.688938 28 0.027054 0.1874 0.426054 29 0.028111 0.1948 0.423203 30 -0.003278 -0.0227 0.509012 31 -0.14296 -0.9905 0.83654 32 -0.065196 -0.4517 0.673238 33 -0.070488 -0.4884 0.686238 34 0.051416 0.3562 0.361617 35 0.113427 0.7858 0.21791 36 0.074191 0.514 0.304802 37 -0.040809 -0.2827 0.610702 38 -0.09063 -0.6279 0.733478 39 0.004443 0.0308 0.487784 40 -0.020876 -0.1446 0.557196 41 -0.020637 -0.143 0.556546 42 -0.029488 -0.2043 0.580507 43 -0.07962 -0.5516 0.708116 44 0.010757 0.0745 0.470451 45 -0.057759 -0.4002 0.654596 46 0.028887 0.2001 0.421111 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196331419g70uvh4nkibwq0p/1adp51196331964.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196331419g70uvh4nkibwq0p/1adp51196331964.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196331419g70uvh4nkibwq0p/2ut151196331964.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t1196331419g70uvh4nkibwq0p/2ut151196331964.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(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