Home » date » 2008 » Dec » 12 »

pacf onder de 25 jaar

*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 07:48:12 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/12/t1229093346bg6dl2gpu1swbza.htm/, Retrieved Fri, 12 Dec 2008 15:49:08 +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/t1229093346bg6dl2gpu1swbza.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 «

21,1 21,0 20,4 19,5 18,6 18,8 23,7 24,8 25,0 23,6 22,3 21,8 20,8 19,7 18,3 17,4 17,0 18,1 23,9 25,6 25,3 23,6 21,9 21,4 20,6 20,5 20,2 20,6 19,7 19,3 22,8 23,5 23,8 22,6 22,0 21,7 20,7 20,2 19,1 19,5 18,7 18,6 22,2 23,2 23,5 21,3 20,0 18,7 18,9 18,3 18,4 19,9 19,2 18,5 20,9 20,5 19,4 18,1 17,0 17,0 17,3 16,7 15,5 15,3 13,7 14,1 17,3 18,1

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.049937	-0.367	0.357541
2	-0.103111	-0.7577	0.225961
3	-0.28118	-2.0662	0.021808
4	-0.153505	-1.128	0.132148
5	-0.150588	-1.1066	0.136689
6	0.096717	0.7107	0.240156
7	0.103405	0.7599	0.225319
8	0.063536	0.4669	0.321228
9	0.239993	1.7636	0.04173
10	-0.090748	-0.6669	0.25385
11	0.039253	0.2884	0.387054
12	-0.20937	-1.5385	0.064877
13	-0.148128	-1.0885	0.140601
14	-0.096705	-0.7106	0.240186
15	0.198147	1.4561	0.07558
16	0.005789	0.0425	0.483112
17	0.161199	1.1846	0.120688
18	0.090093	0.662	0.255378
19	-0.10318	-0.7582	0.225809
20	-0.074323	-0.5462	0.293601
21	-0.112851	-0.8293	0.205297
22	-0.052145	-0.3832	0.351542
23	0.03267	0.2401	0.405591
24	0.083046	0.6103	0.272125
25	0.067715	0.4976	0.310393
26	0.078075	0.5737	0.284267
27	0.022718	0.1669	0.434019
28	-0.102711	-0.7548	0.226833
29	-0.069643	-0.5118	0.30545
30	-0.123928	-0.9107	0.183256
31	-0.006525	-0.0479	0.480967
32	0.070152	0.5155	0.304151
33	0.099071	0.728	0.234873
34	0.206343	1.5163	0.067637
35	0.021723	0.1596	0.436885
36	-0.17145	-1.2599	0.106563
37	-0.223003	-1.6387	0.053542
38	0.007266	0.0534	0.478809
39	0.053391	0.3923	0.348175
40	0.058531	0.4301	0.334413
41	0.019471	0.1431	0.443379
42	0.047873	0.3518	0.363182
43	0.006196	0.0455	0.481925
44	0.008924	0.0656	0.473978
45	-0.060617	-0.4454	0.328891
46	-0.07735	-0.5684	0.286057
47	-0.057907	-0.4255	0.336072
48	0.068322	0.5021	0.308833
49	0.071926	0.5285	0.299643
50	0.035189	0.2586	0.398468
51	-0.016742	-0.123	0.451272
52	-0.026462	-0.1945	0.423275
53	0.005375	0.0395	0.484321
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.049937	-0.367	0.357541
2	-0.105868	-0.778	0.219991
3	-0.296211	-2.1767	0.016947
4	-0.228105	-1.6762	0.049738
5	-0.30532	-2.2436	0.01449
6	-0.155384	-1.1418	0.12928
7	-0.144506	-1.0619	0.146504
8	-0.182924	-1.3442	0.09225
9	0.154907	1.1383	0.130004
10	-0.063407	-0.4659	0.321565
11	0.175117	1.2868	0.101819
12	-0.011128	-0.0818	0.467563
13	-0.102546	-0.7536	0.227196
14	-0.081213	-0.5968	0.276571
15	0.0108	0.0794	0.468518
16	-0.171304	-1.2588	0.106755
17	-0.010284	-0.0756	0.470019
18	0.017802	0.1308	0.448202
19	-0.046476	-0.3415	0.367015
20	0.004645	0.0341	0.486448
21	-0.016898	-0.1242	0.450819
22	-0.025519	-0.1875	0.425975
23	0.04081	0.2999	0.382707
24	-0.08275	-0.6081	0.272839
25	0.04433	0.3258	0.372932
26	-0.047991	-0.3527	0.362857
27	0.055516	0.408	0.34246
28	-0.008743	-0.0643	0.474504
29	-0.020769	-0.1526	0.439633
30	-0.081506	-0.5989	0.275857
31	-0.032651	-0.2399	0.405644
32	-0.084135	-0.6183	0.269499
33	-0.053574	-0.3937	0.347681
34	0.184369	1.3548	0.090557
35	0.08715	0.6404	0.262305
36	-0.044189	-0.3247	0.373323
37	-0.069962	-0.5141	0.304635
38	0.009741	0.0716	0.471599
39	0.106177	0.7802	0.219329
40	-0.099817	-0.7335	0.233213
41	-0.112375	-0.8258	0.206281
42	-0.077662	-0.5707	0.285287
43	-0.13174	-0.9681	0.168658
44	-0.051776	-0.3805	0.352542
45	-0.093095	-0.6841	0.248417
46	-0.055377	-0.4069	0.342833
47	-0.029886	-0.2196	0.413499
48	0.070043	0.5147	0.304428
49	-0.054569	-0.401	0.345002
50	-0.027975	-0.2056	0.41895
51	-0.052303	-0.3843	0.351115
52	-0.074217	-0.5454	0.293869
53	-0.036398	-0.2675	0.395064
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093346bg6dl2gpu1swbza/1jc7e1229093290.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093346bg6dl2gpu1swbza/1jc7e1229093290.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093346bg6dl2gpu1swbza/2855q1229093290.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229093346bg6dl2gpu1swbza/2855q1229093290.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -2.0 ; par3 = 2 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -2.0 ; par3 = 2 ; 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