Home » date » 2008 » Dec » 13 »

ACF d=0 D=0 voor Xt

*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: Sat, 13 Dec 2008 02:26:24 -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/13/t12291604492b4k185ds39ggqr.htm/, Retrieved Sat, 13 Dec 2008 10:27:29 +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/13/t12291604492b4k185ds39ggqr.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 «

97,8 107,4 117,5 105,6 97,4 99,5 98 104,3 100,6 101,1 103,9 96,9 95,5 108,4 117 103,8 100,8 110,6 104 112,6 107,3 98,9 109,8 104,9 102,2 123,9 124,9 112,7 121,9 100,6 104,3 120,4 107,5 102,9 125,6 107,5 108,8 128,4 121,1 119,5 128,7 108,7 105,5 119,8 111,3 110,6 120,1 97,5 107,7 127,3 117,2 119,8 116,2 111 112,4 130,6 109,1 118,8 123,9 101,6 112,8 128 129,6 125,8 119,5 115,7 113,6 129,7 112 116,8 127 112,1 114,2 121,1 131,6 125 120,4 117,7 117,5 120,6 127,5 112,3 124,5 115,2

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	0.364037	3.3365	0.000633
2	0.210784	1.9319	0.028373
3	0.489129	4.4829	1.2e-05
4	0.189957	1.741	0.042674
5	0.278323	2.5509	0.006279
6	0.542068	4.9681	2e-06
7	0.170338	1.5612	0.061121
8	0.169711	1.5554	0.061802
9	0.378871	3.4724	0.000409
10	0.044438	0.4073	0.342418
11	0.232545	2.1313	0.017993
12	0.609339	5.5847	0
13	0.150596	1.3802	0.085588
14	0.076078	0.6973	0.24378
15	0.242158	2.2194	0.014577
16	-0.045404	-0.4161	0.339185
17	0.129933	1.1909	0.118532
18	0.284999	2.6121	0.00533
19	-0.038086	-0.3491	0.363956
20	0.01551	0.1422	0.443649
21	0.13217	1.2114	0.114578
22	-0.136006	-1.2465	0.10802
23	0.097476	0.8934	0.187102
24	0.279264	2.5595	0.006137
25	-0.006789	-0.0622	0.475268
26	-0.008165	-0.0748	0.470262
27	0.059302	0.5435	0.294108
28	-0.164895	-1.5113	0.067235
29	0.029687	0.2721	0.393112
30	0.082385	0.7551	0.226159
31	-0.103009	-0.9441	0.173916
32	-0.050152	-0.4597	0.323476
33	-0.061039	-0.5594	0.288679
34	-0.186142	-1.706	0.04585
35	0.021661	0.1985	0.421557
36	0.142836	1.3091	0.097032
37	-0.044231	-0.4054	0.343114
38	-0.039217	-0.3594	0.360089
39	-0.034015	-0.3118	0.378
40	-0.122005	-1.1182	0.133335
41	-0.022039	-0.202	0.420206
42	0.001317	0.0121	0.495199
43	-0.083756	-0.7676	0.222427
44	-0.067318	-0.617	0.269458
45	-0.136082	-1.2472	0.107893
46	-0.192184	-1.7614	0.040905
47	-0.08186	-0.7503	0.227598
48	-0.006847	-0.0628	0.475054

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.364037	3.3365	0.000633
2	0.090217	0.8269	0.205332
3	0.449173	4.1167	4.5e-05
4	-0.15054	-1.3797	0.085668
5	0.289176	2.6503	0.004804
6	0.27274	2.4997	0.007188
7	-0.135616	-1.2429	0.108675
8	0.012625	0.1157	0.454078
9	0.056379	0.5167	0.303355
10	-0.182698	-1.6745	0.04888
11	0.209333	1.9186	0.029218
12	0.406348	3.7242	0.000177
13	-0.161157	-1.477	0.071704
14	-0.211484	-1.9383	0.027974
15	-0.160284	-1.469	0.07278
16	-0.108628	-0.9956	0.161155
17	0.006569	0.0602	0.476067
18	-0.081018	-0.7425	0.229915
19	0.067621	0.6198	0.268547
20	-0.037977	-0.3481	0.36433
21	-0.012998	-0.1191	0.45273
22	0.007485	0.0686	0.472733
23	0.094123	0.8627	0.195392
24	-0.069489	-0.6369	0.26297
25	0.102562	0.94	0.174958
26	-0.05121	-0.4693	0.320018
27	0.045299	0.4152	0.339536
28	-0.090424	-0.8288	0.204797
29	-0.001207	-0.0111	0.495601
30	-0.123402	-1.131	0.130637
31	0.138078	1.2655	0.104594
32	-0.10385	-0.9518	0.171964
33	-0.028659	-0.2627	0.396728
34	-0.001861	-0.0171	0.493216
35	0.054417	0.4987	0.309632
36	0.119534	1.0955	0.138205
37	-0.005083	-0.0466	0.481476
38	-0.057106	-0.5234	0.301041
39	0.023878	0.2188	0.41365
40	0.022575	0.2069	0.418292
41	-0.08077	-0.7403	0.2306
42	-0.031265	-0.2865	0.387581
43	0.003221	0.0295	0.48826
44	-0.046644	-0.4275	0.335054
45	-0.03125	-0.2864	0.387634
46	-0.092511	-0.8479	0.199457
47	-0.072329	-0.6629	0.254603
48	-0.131208	-1.2025	0.116266

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291604492b4k185ds39ggqr/1jb5f1229160379.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291604492b4k185ds39ggqr/1jb5f1229160379.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291604492b4k185ds39ggqr/2h6dq1229160379.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291604492b4k185ds39ggqr/2h6dq1229160379.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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