Home » date » 2008 » Nov » 28 »

(Partial) Autocorrelation Function Hoeveelheid Invoer d=0 en D=0

*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 03:23:41 -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/t1227867860y9wtjyvone5vamj.htm/, Retrieved Fri, 28 Nov 2008 10:24:24 +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/t1227867860y9wtjyvone5vamj.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=0

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

101 88 108 116 104 110 105 107 124 109 102 125 102 101 116 114 115 119 108 110 120 113 111 121 99 104 117 108 122 122 111 111 131 108 118 119 104 105 118 124 123 114 119 116 129 112 123 124 117 110 118 135 127 117 137 130 132 142 122 126

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	0.346434	2.6835	0.004701
2	0.213002	1.6499	0.052094
3	0.446999	3.4624	0.000497
4	0.188409	1.4594	0.074834
5	0.208801	1.6174	0.055523
6	0.345383	2.6753	0.004804
7	0.062384	0.4832	0.315348
8	0.110897	0.859	0.196878
9	0.220724	1.7097	0.046242
10	0.017256	0.1337	0.447057
11	0.152712	1.1829	0.120756
12	0.421546	3.2653	0.000905
13	0.086096	0.6669	0.253696
14	0.021145	0.1638	0.435223
15	0.119499	0.9256	0.179173
16	-0.047195	-0.3656	0.357987
17	0.056425	0.4371	0.331815
18	0.11731	0.9087	0.183577
19	-0.034774	-0.2694	0.394288
20	-0.039916	-0.3092	0.379125
21	0.004811	0.0373	0.485199
22	-0.06824	-0.5286	0.299521
23	0.095952	0.7432	0.230119
24	0.153608	1.1898	0.119397
25	0.029508	0.2286	0.409992
26	-0.045521	-0.3526	0.362809
27	-0.056023	-0.434	0.33294
28	-0.092733	-0.7183	0.237677
29	-0.048147	-0.3729	0.355252
30	-0.09269	-0.718	0.23778
31	-0.07972	-0.6175	0.269618
32	-0.129506	-1.0032	0.159908
33	-0.115376	-0.8937	0.187527
34	-0.114597	-0.8877	0.189132
35	-0.039647	-0.3071	0.379915
36	0.041363	0.3204	0.374892

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.346434	2.6835	0.004701
2	0.105667	0.8185	0.208157
3	0.395788	3.0658	0.001626
4	-0.088427	-0.6849	0.248007
5	0.139053	1.0771	0.142874
6	0.119035	0.922	0.1801
7	-0.151511	-1.1736	0.122597
8	0.031561	0.2445	0.403851
9	0.021035	0.1629	0.435559
10	-0.051663	-0.4002	0.345223
11	0.128192	0.993	0.162357
12	0.351228	2.7206	0.004257
13	-0.115635	-0.8957	0.186996
14	-0.164137	-1.2714	0.104246
15	-0.174242	-1.3497	0.091096
16	-0.088298	-0.684	0.248318
17	0.04308	0.3337	0.369886
18	0.03149	0.2439	0.404062
19	0.147434	1.142	0.128992
20	-0.08559	-0.663	0.254941
21	-0.044597	-0.3455	0.365482
22	-0.031801	-0.2463	0.403135
23	0.116399	0.9016	0.185431
24	-0.02312	-0.1791	0.429235
25	0.08212	0.6361	0.263564
26	-0.109948	-0.8517	0.198897
27	-0.108313	-0.839	0.202402
28	-0.064531	-0.4999	0.309503
29	-0.066923	-0.5184	0.303049
30	-0.087023	-0.6741	0.251425
31	0.084158	0.6519	0.258482
32	0.034116	0.2643	0.396242
33	0.101297	0.7846	0.217875
34	-0.080902	-0.6267	0.266628
35	-0.055595	-0.4306	0.334138
36	0.013898	0.1077	0.457315

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t1227867860y9wtjyvone5vamj/1yi211227867819.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t1227867860y9wtjyvone5vamj/1yi211227867819.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t1227867860y9wtjyvone5vamj/2ndv51227867819.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/28/t1227867860y9wtjyvone5vamj/2ndv51227867819.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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