Home » date » 2008 » Dec » 19 »

Paper statistiek_Autocorrelation function (d=1, D=1)_NDC

*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, 19 Dec 2008 02:47:25 -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/19/t1229680104ookciazeygg4bc4.htm/, Retrieved Fri, 19 Dec 2008 10:48:28 +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/19/t1229680104ookciazeygg4bc4.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 «

98.6 98 106.8 96.7 100.2 107.7 92 98.4 107.4 117.7 105.7 97.5 99.9 98.2 104.5 100.8 101.5 103.9 99.6 98.4 112.7 118.4 108.1 105.4 114.6 106.9 115.9 109.8 101.8 114.2 110.8 108.4 127.5 128.6 116.6 127.4 105 108.3 125 111.6 106.5 130.3 115 116.1 134 126.5 125.8 136.4 114.9 110.9 125.5 116.8 116.8 125.5 104.2 115.1 132.8 123.3 124.8 122 117.4 117.9 137.4 114.6 124.7 129.6 109.4 120.9 134.9 136.3 133.2 127.2 122.7 120.5 137.8 119.1 124.3 134.4 121.1 122.2 127.7 137.4 132.2 129.2 124.9 124.8 128.2 134.4 118.6 132.6 123.2 112.8 138.3

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	-0.501361	-4.4843	1.2e-05
2	-0.056398	-0.5044	0.307668
3	0.183165	1.6383	0.052645
4	-0.194246	-1.7374	0.043084
5	0.065822	0.5887	0.278851
6	0.176643	1.5799	0.059033
7	-0.28059	-2.5097	0.007051
8	0.044529	0.3983	0.345741
9	0.270239	2.4171	0.00896
10	-0.258354	-2.3108	0.01171
11	0.114589	1.0249	0.154245
12	-0.004373	-0.0391	0.484449
13	-0.204614	-1.8301	0.035478
14	0.210624	1.8839	0.031608
15	-0.009874	-0.0883	0.464922
16	-0.222253	-1.9879	0.025122
17	0.302728	2.7077	0.004141
18	-0.069206	-0.619	0.268838
19	-0.152064	-1.3601	0.088809
20	0.118241	1.0576	0.146716
21	-0.011264	-0.1007	0.460001
22	-0.14837	-1.3271	0.094132
23	0.36156	3.2339	0.000888
24	-0.327863	-2.9325	0.002192
25	0.030255	0.2706	0.393693
26	0.105181	0.9408	0.174829
27	-0.001955	-0.0175	0.493044
28	-0.072387	-0.6475	0.259596
29	0.067324	0.6022	0.274384
30	-0.095939	-0.8581	0.1967
31	0.024539	0.2195	0.413417
32	0.179326	1.6039	0.056335
33	-0.202375	-1.8101	0.037018
34	0.024355	0.2178	0.414057
35	0.069118	0.6182	0.269098
36	-0.114587	-1.0249	0.154251
37	0.157022	1.4044	0.082028
38	0.003314	0.0296	0.488212
39	-0.157648	-1.41	0.081201
40	0.128404	1.1485	0.127096
41	-0.030369	-0.2716	0.393305
42	-0.074083	-0.6626	0.25474
43	0.055218	0.4939	0.311372
44	0.068832	0.6157	0.269936
45	-0.180448	-1.614	0.055235
46	0.216525	1.9367	0.028159
47	-0.078896	-0.7057	0.241223
48	-0.077893	-0.6967	0.244006
49	0.10345	0.9253	0.1788
50	-0.048032	-0.4296	0.334317
51	-0.118064	-1.056	0.147074
52	0.205284	1.8361	0.035028
53	-0.120811	-1.0806	0.141568
54	0.011595	0.1037	0.45883
55	0.137411	1.229	0.111329
56	-0.191005	-1.7084	0.04572
57	0.045506	0.407	0.342541
58	0.055571	0.497	0.31026
59	-0.088129	-0.7883	0.216439
60	0.065471	0.5856	0.279899

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.501361	-4.4843	1.2e-05
2	-0.411096	-3.677	0.000213
3	-0.101013	-0.9035	0.184489
4	-0.2191	-1.9597	0.026757
5	-0.172315	-1.5412	0.063604
6	0.118887	1.0634	0.145409
7	-0.105394	-0.9427	0.174343
8	-0.234011	-2.0931	0.019756
9	0.14448	1.2923	0.099992
10	0.069758	0.6239	0.267222
11	0.066667	0.5963	0.276333
12	0.014859	0.1329	0.447303
13	-0.152773	-1.3664	0.087814
14	-0.10997	-0.9836	0.16414
15	-0.084852	-0.7589	0.22506
16	-0.234523	-2.0976	0.019547
17	0.03808	0.3406	0.367148
18	0.13987	1.251	0.107283
19	0.010924	0.0977	0.461205
20	-0.161195	-1.4418	0.076635
21	0.028727	0.2569	0.398941
22	-0.087501	-0.7826	0.218076
23	0.225124	2.0136	0.023708
24	0.017272	0.1545	0.438808
25	-0.004996	-0.0447	0.482235
26	-0.275588	-2.4649	0.007923
27	-0.02163	-0.1935	0.423543
28	-0.087509	-0.7827	0.218056
29	-0.01971	-0.1763	0.430256
30	0.055092	0.4928	0.311765
31	0.004668	0.0417	0.483401
32	-0.048477	-0.4336	0.332877
33	0.029758	0.2662	0.395398
34	-0.060595	-0.542	0.294669
35	0.032383	0.2896	0.386419
36	-0.072963	-0.6526	0.257944
37	0.106966	0.9567	0.170793
38	0.06171	0.552	0.29126
39	0.06883	0.6156	0.26994
40	-0.096044	-0.859	0.196442
41	-0.077534	-0.6935	0.245006
42	-0.068435	-0.6121	0.271104
43	-0.014684	-0.1313	0.44792
44	0.036959	0.3306	0.370917
45	-0.005663	-0.0507	0.479864
46	-0.036809	-0.3292	0.371421
47	0.108043	0.9664	0.168387
48	-0.024278	-0.2171	0.414323
49	0.037558	0.3359	0.368901
50	-0.009308	-0.0833	0.466928
51	-0.036201	-0.3238	0.373469
52	0.021753	0.1946	0.423115
53	-0.038474	-0.3441	0.36583
54	-0.07277	-0.6509	0.258497
55	-0.025396	-0.2272	0.410442
56	-0.02894	-0.2588	0.39821
57	0.02996	0.268	0.394706
58	-0.081098	-0.7254	0.235174
59	-0.010541	-0.0943	0.46256
60	-0.048964	-0.4379	0.331302

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229680104ookciazeygg4bc4/19kxf1229680043.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229680104ookciazeygg4bc4/19kxf1229680043.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229680104ookciazeygg4bc4/201d11229680043.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229680104ookciazeygg4bc4/201d11229680043.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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