Home » date » 2008 » Nov » 28 »

(Partial) Autocorrelation Function Hoeveelheid Uitvoer d=0 en D=1

*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, 28 Nov 2008 03:17:42 -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/Nov/28/t12278675147lrnrh1v7afol4u.htm/, Retrieved Fri, 28 Nov 2008 10:18:39 +0000

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/Nov/28/t12278675147lrnrh1v7afol4u.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},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

d=0 D=1

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

106 82 114 118 105 105 103 107 123 112 104 122 108 94 120 118 117 113 106 108 122 115 110 120 104 96 121 111 120 114 107 108 127 105 119 121 106 97 119 122 121 106 114 112 127 109 118 123 115 105 116 131 121 104 127 126 124 132 117 123

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	-0.189675	-1.3141	0.097527
2	-0.029294	-0.203	0.420014
3	0.327879	2.2716	0.013816
4	-0.043636	-0.3023	0.381856
5	-0.037185	-0.2576	0.398898
6	0.252017	1.746	0.043602
7	-0.169242	-1.1725	0.123383
8	0.053699	0.372	0.355751
9	0.158404	1.0975	0.138959
10	-0.105602	-0.7316	0.233974
11	-0.153831	-1.0658	0.145929
12	0.099013	0.686	0.248013
13	-0.076613	-0.5308	0.299006
14	-0.058723	-0.4068	0.342966
15	0.082578	0.5721	0.284957
16	-0.211854	-1.4678	0.074345
17	0.011941	0.0827	0.467204
18	0.101267	0.7016	0.243158
19	-0.13051	-0.9042	0.185203
20	-0.019777	-0.137	0.445794
21	-0.01456	-0.1009	0.460035
22	-0.140727	-0.975	0.167228
23	0.195134	1.3519	0.091367
24	-0.315645	-2.1868	0.016829
25	-0.047802	-0.3312	0.370975
26	0.116614	0.8079	0.211559
27	-0.096699	-0.6699	0.25305
28	-0.174641	-1.2099	0.116112
29	0.072222	0.5004	0.30955
30	-0.158985	-1.1015	0.13809
31	-0.078773	-0.5458	0.293882
32	0.067559	0.4681	0.320929
33	-0.046314	-0.3209	0.374849
34	-0.079876	-0.5534	0.291279
35	0.095219	0.6597	0.2563
36	-0.022878	-0.1585	0.437362

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.189675	-1.3141	0.097527
2	-0.067707	-0.4691	0.320566
3	0.322116	2.2317	0.01517
4	0.089111	0.6174	0.26995
5	-0.022005	-0.1525	0.439734
6	0.15473	1.072	0.14454
7	-0.124268	-0.861	0.196772
8	0.021403	0.1483	0.441369
9	0.06655	0.4611	0.323415
10	0.000363	0.0025	0.499003
11	-0.217761	-1.5087	0.068966
12	-0.086368	-0.5984	0.276203
13	0.001389	0.0096	0.496181
14	0.009774	0.0677	0.473146
15	0.073804	0.5113	0.305732
16	-0.175362	-1.2149	0.115165
17	-0.003055	-0.0212	0.491601
18	0.043164	0.299	0.383096
19	0.055151	0.3821	0.352038
20	0.019357	0.1341	0.446938
21	-0.141085	-0.9775	0.16662
22	-0.148947	-1.0319	0.153637
23	0.17742	1.2292	0.112494
24	-0.28462	-1.9719	0.027199
25	-0.052386	-0.3629	0.359121
26	0.005929	0.0411	0.483702
27	0.018843	0.1306	0.448338
28	-0.140134	-0.9709	0.168239
29	-0.069608	-0.4823	0.315907
30	-0.02299	-0.1593	0.437059
31	-0.123052	-0.8525	0.199077
32	-0.009001	-0.0624	0.475267
33	0.092435	0.6404	0.262477
34	0.084327	0.5842	0.2809
35	-0.150722	-1.0442	0.150804
36	-0.011415	-0.0791	0.468648

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t12278675147lrnrh1v7afol4u/1lt7t1227867460.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t12278675147lrnrh1v7afol4u/1lt7t1227867460.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t12278675147lrnrh1v7afol4u/2heh81227867460.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t12278675147lrnrh1v7afol4u/2heh81227867460.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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