Home » date » 2008 » Dec » 16 »

Paper (P)ACF werkloosheid 31/01/2002 - 31/12/2007 na differentiatie

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Dec 2008 11:49:34 -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/16/t12294535919tzw5i9x2jtb4cv.htm/, Retrieved Tue, 16 Dec 2008 19:53:11 +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/16/t12294535919tzw5i9x2jtb4cv.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 «

95.2 95 94 92.2 91 91.2 103.4 105 104.6 103.8 101.8 102.4 103.8 103.4 102 101.8 100.2 101.4 113.8 116 115.6 113 109.4 111 112.4 112.2 111 108.8 107.4 108.6 118.8 122.2 122.6 122.2 118.8 119 118.2 117.8 116.8 114.6 113.4 113.8 124.2 125.8 125.6 122.4 119 119.4 118.6 118 116 114.8 114.6 114.6 124 125.2 124 117.6 113.2 111.4 112.2 109.8 106.4 105.2 102.2 99.8 111 113 108.4 105.4 102 102.8

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.004391	0.0337	0.486603
2	0.022089	0.1697	0.432925
3	0.006056	0.0465	0.481529
4	-0.032179	-0.2472	0.402816
5	-0.056531	-0.4342	0.332855
6	-0.022048	-0.1694	0.433048
7	-0.042612	-0.3273	0.372296
8	0.005348	0.0411	0.483684
9	0.138156	1.0612	0.146462
10	-0.18081	-1.3888	0.085053
11	0.022351	0.1717	0.432139
12	-0.257354	-1.9768	0.026373
13	-0.097089	-0.7458	0.229389
14	0.115847	0.8898	0.188583
15	0.010939	0.084	0.466661
16	0.020278	0.1558	0.438378
17	-0.087321	-0.6707	0.252505
18	0.153758	1.181	0.121163
19	0.072874	0.5598	0.288883
20	0.083578	0.642	0.261687
21	-0.01736	-0.1333	0.447189
22	0.005126	0.0394	0.484364
23	0.121262	0.9314	0.177712
24	-0.13259	-1.0184	0.156312
25	-0.08443	-0.6485	0.259583
26	-0.213391	-1.6391	0.053259
27	0.066481	0.5107	0.305749
28	-0.078534	-0.6032	0.274333
29	0.104442	0.8022	0.212819
30	-0.126135	-0.9689	0.168285
31	-0.081025	-0.6224	0.268049
32	0.057107	0.4386	0.331259
33	-0.064821	-0.4979	0.310203
34	0.002736	0.021	0.491652
35	-0.001351	-0.0104	0.495878
36	0.018843	0.1447	0.442705
37	0.090822	0.6976	0.244077
38	0.156791	1.2043	0.116634
39	-0.127519	-0.9795	0.165668
40	-0.020409	-0.1568	0.437983
41	-0.005899	-0.0453	0.482005
42	-0.115047	-0.8837	0.190224
43	0.07567	0.5812	0.281649
44	-0.071734	-0.551	0.291859
45	-0.048214	-0.3703	0.356228
46	0.031575	0.2425	0.404605
47	-0.012768	-0.0981	0.461105
48	-0.036628	-0.2813	0.389715
49	-0.07448	-0.5721	0.284716
50	-0.039849	-0.3061	0.380309
51	0.030599	0.235	0.407497
52	0.083953	0.6449	0.26076
53	-0.026274	-0.2018	0.420377
54	0.092816	0.7129	0.239349
55	0.012172	0.0935	0.462915
56	0.047757	0.3668	0.357529
57	-0.001647	-0.0127	0.494974
58	0.00223	0.0171	0.493195
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.004391	0.0337	0.486603
2	0.02207	0.1695	0.432982
3	0.005867	0.0451	0.482104
4	-0.032735	-0.2514	0.401173
5	-0.056609	-0.4348	0.332639
6	-0.020339	-0.1562	0.438194
7	-0.039749	-0.3053	0.380599
8	0.006146	0.0472	0.481252
9	0.137501	1.0562	0.147599
10	-0.190004	-1.4595	0.074872
11	0.016777	0.1289	0.448951
12	-0.271913	-2.0886	0.020534
13	-0.084339	-0.6478	0.259806
14	0.142619	1.0955	0.138879
15	-0.000119	-9e-04	0.499638
16	0.021841	0.1678	0.43367
17	-0.175159	-1.3454	0.091818
18	0.142347	1.0934	0.139333
19	0.129282	0.993	0.162375
20	0.056448	0.4336	0.333085
21	0.082504	0.6337	0.264355
22	-0.132266	-1.016	0.1569
23	0.118863	0.913	0.182478
24	-0.198331	-1.5234	0.066499
25	-0.107941	-0.8291	0.205191
26	-0.132876	-1.0206	0.155797
27	0.015127	0.1162	0.453948
28	-0.013699	-0.1052	0.458277
29	0.010236	0.0786	0.468799
30	-0.091418	-0.7022	0.24266
31	-0.014918	-0.1146	0.454582
32	0.067054	0.5151	0.30422
33	0.019646	0.1509	0.440284
34	-0.065791	-0.5054	0.307597
35	0.085947	0.6602	0.255856
36	-0.144997	-1.1137	0.134954
37	0.051026	0.3919	0.348258
38	-0.016922	-0.13	0.448511
39	-0.106672	-0.8194	0.207939
40	0.016628	0.1277	0.449403
41	-0.136222	-1.0463	0.149835
42	-0.095946	-0.737	0.232028
43	0.008819	0.0677	0.47311
44	0.032988	0.2534	0.400426
45	0.050545	0.3882	0.349616
46	-0.067513	-0.5186	0.302998
47	0.028496	0.2189	0.413749
48	-0.027082	-0.208	0.417966
49	-0.053579	-0.4115	0.341081
50	-0.041979	-0.3224	0.374127
51	-0.040748	-0.313	0.377695
52	-0.044928	-0.3451	0.365625
53	0.010334	0.0794	0.468502
54	-0.005311	-0.0408	0.483799
55	-0.012976	-0.0997	0.460473
56	-0.024173	-0.1857	0.426669
57	-0.00545	-0.0419	0.483375
58	0.014965	0.1149	0.454438
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/16/t12294535919tzw5i9x2jtb4cv/1r0lr1229453368.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294535919tzw5i9x2jtb4cv/1r0lr1229453368.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294535919tzw5i9x2jtb4cv/2kyod1229453368.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t12294535919tzw5i9x2jtb4cv/2kyod1229453368.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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