Home » date » 2008 » Dec » 10 »

Autocorrelatie

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 10 Dec 2008 10:15:49 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/10/t1228929652i8nv69kf2ifdym6.htm/, Retrieved Wed, 10 Dec 2008 17:20:52 +0000

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/10/t1228929652i8nv69kf2ifdym6.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

0,9554 0,9922 0,9778 0,9808 0,9811 1,0014 1,0183 1,0622 1,0773 1,0807 1,0848 1,1582 1,1663 1,1372 1,1139 1,1222 1,1692 1,1702 1,2286 1,2613 1,2646 1,2262 1,1985 1,2007 1,2138 1,2266 1,2176 1,2218 1,249 1,2991 1,3408 1,3119 1,3014 1,3201 1,2938 1,2694 1,2165 1,2037 1,2292 1,2256 1,2015 1,1786 1,1856 1,2103 1,1938 1,202 1,2271 1,277 1,265 1,2684 1,2811 1,2727 1,2611 1,2881 1,3213 1,2999 1,3074 1,3242 1,3516 1,3511

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.902864	6.9936	0
2	0.802137	6.2133	0
3	0.709483	5.4956	0
4	0.627685	4.862	4e-06
5	0.534917	4.1434	5.4e-05
6	0.438561	3.3971	0.000607
7	0.365397	2.8304	0.003158
8	0.317742	2.4612	0.00837
9	0.269711	2.0892	0.020471
10	0.214811	1.6639	0.050671
11	0.157737	1.2218	0.113276
12	0.125595	0.9729	0.167266
13	0.092885	0.7195	0.237319
14	0.056734	0.4395	0.330954
15	0.011856	0.0918	0.463568
16	-0.027455	-0.2127	0.416154
17	-0.04139	-0.3206	0.37481
18	-0.050765	-0.3932	0.347774
19	-0.041838	-0.3241	0.373503
20	-0.032597	-0.2525	0.400761
21	-0.024773	-0.1919	0.424238
22	-0.030372	-0.2353	0.407405
23	-0.043268	-0.3351	0.369341
24	-0.060581	-0.4693	0.320293
25	-0.085045	-0.6588	0.256286
26	-0.101263	-0.7844	0.217952
27	-0.12218	-0.9464	0.173869
28	-0.1437	-1.1131	0.135054
29	-0.162452	-1.2584	0.10657
30	-0.170541	-1.321	0.095758
31	-0.149353	-1.1569	0.125952
32	-0.131416	-1.0179	0.156395
33	-0.110748	-0.8578	0.197195
34	-0.073366	-0.5683	0.28598
35	-0.048284	-0.374	0.35486
36	-0.033021	-0.2558	0.399498

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.902864	6.9936	0
2	-0.070472	-0.5459	0.293588
3	-0.011681	-0.0905	0.464103
4	0.003152	0.0244	0.490301
5	-0.111038	-0.8601	0.19658
6	-0.073423	-0.5687	0.285829
7	0.061108	0.4733	0.318843
8	0.073434	0.5688	0.285801
9	-0.040404	-0.313	0.377694
10	-0.0597	-0.4624	0.322722
11	-0.059653	-0.4621	0.32285
12	0.067578	0.5235	0.301291
13	-0.041793	-0.3237	0.373634
14	-0.024687	-0.1912	0.424497
15	-0.062791	-0.4864	0.314235
16	-0.034455	-0.2669	0.395235
17	0.080701	0.6251	0.267135
18	0.009261	0.0717	0.471525
19	0.111905	0.8668	0.194748
20	-0.009265	-0.0718	0.471514
21	-0.044853	-0.3474	0.364741
22	-0.099635	-0.7718	0.221639
23	-0.03314	-0.2567	0.399142
24	-0.022931	-0.1776	0.429809
25	-0.043437	-0.3365	0.36885
26	0.035227	0.2729	0.392947
27	-0.060675	-0.47	0.320035
28	-0.029557	-0.2289	0.409844
29	-0.030807	-0.2386	0.406102
30	0.043707	0.3386	0.368065
31	0.133606	1.0349	0.152433
32	-0.024489	-0.1897	0.425096
33	0.012187	0.0944	0.462552
34	0.091158	0.7061	0.241427
35	-0.059052	-0.4574	0.324513
36	-0.031348	-0.2428	0.404485

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228929652i8nv69kf2ifdym6/1g7js1228929343.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228929652i8nv69kf2ifdym6/1g7js1228929343.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228929652i8nv69kf2ifdym6/2601u1228929343.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228929652i8nv69kf2ifdym6/2601u1228929343.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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 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')

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.

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