Home » date » 2007 » Nov » 29 » attachments

autocorreltatie f

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 07:44:20 -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/t11963468861li7v5b57o2qp4d.htm/, Retrieved Thu, 29 Nov 2007 15:34:46 +0100

User-defined keywords:

stat time serie

Dataseries X:

» Textbox « » Textfile « » CSV «

103.52 103.5 103.52 103.53 103.53 103.53 103.52 103.54 103.59 103.59 103.59 103.59 103.63 103.74 103.7 103.72 103.81 103.8 104.22 106.91 107.06 107.17 107.25 107.28 107.24 107.23 107.34 107.34 107.3 107.24 107.3 107.32 107.28 107.33 107.33 107.33 107.28 107.28 107.29 107.29 107.23 107.24 107.24 107.2 107.23 107.2 107.21 107.24 107.21 113.89 114.05 114.05 114.05 114.05 115.12 115.68 116.05 116.18 116.35 116.44 117 117.61 118.17 118.33 118.33 118.42 118.5 118.67 119.09 119.14 119.23 119.33

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 3 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 8.4261 0 1 0.013714 0.1156 0.454166 2 -0.034906 -0.2941 0.61524 3 -0.044053 -0.3712 0.644201 4 -0.051106 -0.4306 0.665976 5 0.091936 0.7747 0.220553 6 0.033771 0.2846 0.388406 7 0.013854 0.1167 0.453701 8 -0.030551 -0.2574 0.601205 9 -0.051242 -0.4318 0.666392 10 -0.053732 -0.4528 0.673946 11 0.018625 0.1569 0.437869 12 0.022953 0.1934 0.423598 13 0.006459 0.0544 0.478374 14 -0.035211 -0.2967 0.616216 15 -0.064933 -0.5471 0.707001 16 -0.045062 -0.3797 0.647348 17 -0.059394 -0.5005 0.690851 18 -0.036533 -0.3078 0.620443 19 0.012734 0.1073 0.457429 20 -0.05156 -0.4345 0.667362 21 -0.045866 -0.3865 0.649849 22 -0.038059 -0.3207 0.625306 23 -0.007617 -0.0642 0.525497 24 -0.025147 -0.2119 0.583599 25 -0.029336 -0.2472 0.597263 26 -0.023537 -0.1983 0.578321 27 -0.015389 -0.1297 0.551402 28 -0.008723 -0.0735 0.529194 29 -0.008496 -0.0716 0.528433 30 0.32016 2.6977 0.004358 31 0.033697 0.2839 0.388643 32 -0.029673 -0.25 0.598357 33 -0.017528 -0.1477 0.558498 34 -0.024086 -0.203 0.580123 35 0.021232 0.1789 0.429262 36 0.019305 0.1627 0.435622 37 -0.00543 -0.0458 0.518181 38 -0.023345 -0.1967 0.57769 39 -0.023955 -0.2018 0.579693 40 -0.028992 -0.2443 0.596146 41 0.002365 0.0199 0.492077 42 0.003474 0.0293 0.488364 43 -0.007149 -0.0602 0.523931 44 -0.02829 -0.2384 0.593862 45 -0.039908 -0.3363 0.631171 46 -0.035057 -0.2954 0.615723 47 -0.033968 -0.2862 0.612227 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.013714 0.1156 0.454166 1 -0.035101 -0.2958 0.615864 2 -0.043137 -0.3635 0.641337 3 -0.051327 -0.4325 0.666653 4 0.09063 0.7637 0.2238 5 0.0263 0.2216 0.412628 6 0.015072 0.127 0.449651 7 -0.024455 -0.2061 0.581334 8 -0.038459 -0.3241 0.626579 9 -0.059509 -0.5014 0.69119 10 0.011232 0.0946 0.462433 11 0.009789 0.0825 0.467246 12 0.00291 0.0245 0.490252 13 -0.029877 -0.2517 0.599017 14 -0.04902 -0.4131 0.659593 15 -0.044528 -0.3752 0.645686 16 -0.070478 -0.5939 0.722754 17 -0.054236 -0.457 0.675468 18 0.001245 0.0105 0.495831 19 -0.054789 -0.4617 0.677133 20 -0.041913 -0.3532 0.637494 21 -0.032613 -0.2748 0.607867 22 -0.009327 -0.0786 0.531212 23 -0.048407 -0.4079 0.657709 24 -0.043026 -0.3625 0.640988 25 -0.03435 -0.2894 0.613454 26 -0.023585 -0.1987 0.57848 27 -0.022518 -0.1897 0.574972 28 -0.01848 -0.1557 0.56165 29 0.31818 2.681 0.00456 30 0.025478 0.2147 0.415315 31 -0.021082 -0.1776 0.570245 32 -0.002022 -0.017 0.506774 33 -0.006243 -0.0526 0.520903 34 -0.062467 -0.5264 0.699861 35 -0.021683 -0.1827 0.572223 36 -0.023555 -0.1985 0.578379 37 -0.023403 -0.1972 0.577882 38 -0.014185 -0.1195 0.547402 39 -0.010599 -0.0893 0.535455 40 -0.026055 -0.2195 0.586572 41 -0.040431 -0.3407 0.632822 42 -0.037782 -0.3184 0.624427 43 -0.026782 -0.2257 0.588947 44 -0.022233 -0.1873 0.574034 45 -0.025769 -0.2171 0.585636 46 -0.004592 -0.0387 0.515379 47 -0.016569 -0.1396 0.555319

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t11963468861li7v5b57o2qp4d/1qpzg1196347455.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t11963468861li7v5b57o2qp4d/1qpzg1196347455.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t11963468861li7v5b57o2qp4d/2bvmw1196347455.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/29/t11963468861li7v5b57o2qp4d/2bvmw1196347455.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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