Home » date » 2008 » Dec » 19 »

Paper statistiek_Autocorrelation function (d=0, 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 03:50:19 -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/t1229683901qwckmt5t886uxby.htm/, Retrieved Fri, 19 Dec 2008 11:51:41 +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/t1229683901qwckmt5t886uxby.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	5 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.111029	0.9993	0.160322
2	0.161894	1.457	0.074484
3	0.250252	2.2523	0.013506
4	0.042639	0.3838	0.351083
5	0.189579	1.7062	0.0459
6	0.187337	1.686	0.047819
7	-0.091896	-0.8271	0.205315
8	0.08768	0.7891	0.216173
9	0.214773	1.933	0.028368
10	-0.140284	-1.2626	0.105186
11	-0.05627	-0.5064	0.306966
12	-0.139942	-1.2595	0.105737
13	-0.202908	-1.8262	0.035754
14	0.061597	0.5544	0.290425
15	-0.049145	-0.4423	0.329724
16	-0.145919	-1.3133	0.096399
17	0.135892	1.223	0.112433
18	-0.075621	-0.6806	0.249037
19	-0.172498	-1.5525	0.062222
20	-0.004177	-0.0376	0.485054
21	-0.036954	-0.3326	0.370154
22	-0.07565	-0.6808	0.248955
23	0.168938	1.5204	0.066147
24	-0.247335	-2.226	0.014396
25	-0.0756	-0.6804	0.249097
26	0.014031	0.1263	0.449911
27	-0.021591	-0.1943	0.423206
28	-0.098393	-0.8855	0.189244
29	-0.030401	-0.2736	0.392542
30	-0.05937	-0.5343	0.297289
31	0.034965	0.3147	0.376904
32	0.095709	0.8614	0.195786
33	-0.161285	-1.4516	0.075242
34	-0.023289	-0.2096	0.417251
35	0.05938	0.5344	0.297257
36	0.029484	0.2654	0.395704
37	0.167163	1.5045	0.068176
38	0.056038	0.5043	0.307695
39	-0.058483	-0.5263	0.300042
40	0.10173	0.9156	0.181304
41	0.012509	0.1126	0.455319
42	-0.032549	-0.2929	0.385158
43	0.068669	0.618	0.269148
44	0.067281	0.6055	0.27326
45	-0.062303	-0.5607	0.288265
46	0.129069	1.1616	0.1244
47	-0.079686	-0.7172	0.237665
48	-0.122116	-1.099	0.137503
49	-0.021577	-0.1942	0.423257
50	-0.113435	-1.0209	0.155167
51	-0.119877	-1.0789	0.141919
52	0.061045	0.5494	0.292119
53	-0.101965	-0.9177	0.180755
54	-0.046375	-0.4174	0.338754
55	-0.015956	-0.1436	0.443083
56	-0.218451	-1.9661	0.026359
57	-0.060273	-0.5425	0.294497
58	-0.040595	-0.3654	0.357898
59	-0.093823	-0.8444	0.200465
60	-0.006856	-0.0617	0.475475

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.111029	0.9993	0.160322
2	0.151434	1.3629	0.088345
3	0.226093	2.0348	0.022569
4	-0.020248	-0.1822	0.42793
5	0.130064	1.1706	0.122601
6	0.119837	1.0785	0.141999
7	-0.171897	-1.5471	0.062872
8	0.000255	0.0023	0.499088
9	0.207071	1.8636	0.032998
10	-0.183163	-1.6485	0.051565
11	-0.184365	-1.6593	0.050463
12	-0.152136	-1.3692	0.087357
13	-0.089312	-0.8038	0.21193
14	0.079129	0.7122	0.239206
15	0.055612	0.5005	0.309038
16	0.021094	0.1898	0.424952
17	0.196607	1.7695	0.04029
18	-0.048453	-0.4361	0.331972
19	-0.192986	-1.7369	0.043105
20	-0.041172	-0.3705	0.355972
21	0.169016	1.5211	0.066059
22	-0.072401	-0.6516	0.258249
23	0.033626	0.3026	0.381474
24	-0.277047	-2.4934	0.007344
25	-0.093255	-0.8393	0.201887
26	-0.096875	-0.8719	0.192928
27	0.259346	2.3341	0.011034
28	0.019351	0.1742	0.431087
29	0.044375	0.3994	0.345335
30	-0.011645	-0.1048	0.458394
31	-0.056407	-0.5077	0.306534
32	-0.034196	-0.3078	0.379526
33	0.045096	0.4059	0.342957
34	0.013219	0.119	0.452798
35	0.079242	0.7132	0.238893
36	-0.043703	-0.3933	0.347554
37	0.061092	0.5498	0.291976
38	-0.058657	-0.5279	0.299501
39	-0.030448	-0.274	0.392379
40	-0.050094	-0.4508	0.326652
41	0.073699	0.6633	0.254515
42	0.028874	0.2599	0.397815
43	0.017243	0.1552	0.438528
44	-0.048105	-0.4329	0.333102
45	-0.081845	-0.7366	0.231745
46	-0.001856	-0.0167	0.493356
47	0.033687	0.3032	0.381263
48	-0.143792	-1.2941	0.09965
49	0.000164	0.0015	0.499412
50	-0.056872	-0.5118	0.305076
51	-0.01723	-0.1551	0.438577
52	-0.007044	-0.0634	0.474804
53	-0.025718	-0.2315	0.40877
54	0.014321	0.1289	0.448881
55	0.03349	0.3014	0.381938
56	-0.053357	-0.4802	0.316185
57	-0.054286	-0.4886	0.313231
58	-0.108463	-0.9762	0.165943
59	0.025946	0.2335	0.407977
60	-0.033056	-0.2975	0.383423

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683901qwckmt5t886uxby/1gtez1229683809.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683901qwckmt5t886uxby/1gtez1229683809.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683901qwckmt5t886uxby/2qa2x1229683809.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229683901qwckmt5t886uxby/2qa2x1229683809.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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