Home » date » 2008 » Dec » 12 »

Autocorrelation function: niet-duurzame consumptiegoederen

*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: Fri, 12 Dec 2008 04:39:18 -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/12/t1229082078ex8sn3t5hbcc5gx.htm/, Retrieved Fri, 12 Dec 2008 12:41:21 +0100

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/12/t1229082078ex8sn3t5hbcc5gx.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

99.5 98.2 108.9 100.0 105.0 108.4 96.7 100.5 115.6 114.9 110.7 107.7 113.5 106.9 119.6 109.4 106.9 118.7 108.9 113.1 125.1 126.5 122.7 127.5 107.1 112.0 122.1 111.5 113.2 128.2 115.1 117.4 132.0 130.8 128.0 132.7 117.0 110.9 123.5 117.4 122.7 123.5 111.5 113.8 131.2 127.0 126.2 121.2 118.8 117.9 135.2 120.7 126.4 129.6 113.4 120.5 135.5 137.6 130.6 133.1 121.5 120.5 136.9 123.7 128.5 135.0 120.9 121.1 132.2 134.5 133.6 136.1 124.5 124.6 133.5 132.3 125.3 135.5 121.2 117.5 135.9

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.488892	-4.0315	7.1e-05
2	0.101217	0.8347	0.203416
3	-0.1668	-1.3755	0.08675
4	0.123613	1.0193	0.155827
5	-0.074928	-0.6179	0.269362
6	0.055562	0.4582	0.324142
7	-0.057181	-0.4715	0.319387
8	-0.022668	-0.1869	0.426139
9	0.045831	0.3779	0.353328
10	0.010914	0.09	0.464277
11	0.120659	0.995	0.161637
12	-0.252767	-2.0844	0.020443
13	0.127871	1.0545	0.147704
14	-0.005082	-0.0419	0.483349
15	-0.035694	-0.2943	0.384696
16	-0.056685	-0.4674	0.320842
17	0.187593	1.5469	0.063261
18	-0.084386	-0.6959	0.244443
19	-0.043129	-0.3557	0.361601
20	-0.074427	-0.6137	0.270716
21	0.173174	1.428	0.07893
22	-0.097878	-0.8071	0.211205
23	0.180973	1.4923	0.070118
24	-0.270374	-2.2296	0.014541
25	0.123285	1.0166	0.156466
26	-0.116719	-0.9625	0.169608
27	0.221793	1.829	0.035896
28	-0.132124	-1.0895	0.139885
29	-0.038397	-0.3166	0.376247
30	0.04137	0.3411	0.367024
31	0.043393	0.3578	0.36079
32	0.06751	0.5567	0.289779
33	-0.135223	-1.1151	0.134371
34	0.064408	0.5311	0.298532
35	-0.085537	-0.7054	0.2415
36	0.101745	0.839	0.202201

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.488892	-4.0315	7.1e-05
2	-0.181078	-1.4932	0.070004
3	-0.267492	-2.2058	0.015391
4	-0.113544	-0.9363	0.176214
5	-0.114704	-0.9459	0.173782
6	-0.066372	-0.5473	0.292976
7	-0.08079	-0.6662	0.253765
8	-0.148629	-1.2256	0.112283
9	-0.071133	-0.5866	0.279715
10	-0.033473	-0.276	0.391682
11	0.166316	1.3715	0.087367
12	-0.128341	-1.0583	0.146825
13	-0.078544	-0.6477	0.259684
14	0.022929	0.1891	0.425297
15	-0.121128	-0.9988	0.160705
16	-0.172025	-1.4186	0.080298
17	0.098473	0.812	0.209804
18	0.092024	0.7589	0.225282
19	-0.070434	-0.5808	0.281644
20	-0.207083	-1.7077	0.046132
21	0.045741	0.3772	0.353604
22	-0.000754	-0.0062	0.497528
23	0.257694	2.125	0.018612
24	-0.097585	-0.8047	0.211897
25	-0.066765	-0.5506	0.291869
26	-0.114718	-0.946	0.173752
27	0.02597	0.2142	0.415534
28	-0.03606	-0.2974	0.383549
29	-0.03788	-0.3124	0.377859
30	0.073296	0.6044	0.273791
31	-0.008708	-0.0718	0.471482
32	0.050927	0.42	0.33792
33	0.022107	0.1823	0.427944
34	-0.018168	-0.1498	0.440677
35	0.062272	0.5135	0.304631
36	0.01368	0.1128	0.455256

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229082078ex8sn3t5hbcc5gx/1fwfv1229081956.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229082078ex8sn3t5hbcc5gx/1fwfv1229081956.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229082078ex8sn3t5hbcc5gx/2b2i71229081956.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229082078ex8sn3t5hbcc5gx/2b2i71229081956.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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 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