Home » date » 2009 » Dec » 05 »

oefening 6 bis

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 05 Dec 2009 11:21:50 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/05/t1260037449kld2tz4b3pgf0gb.htm/, Retrieved Sat, 05 Dec 2009 19:24:12 +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/2009/Dec/05/t1260037449kld2tz4b3pgf0gb.htm/},
    year = {2009},
}
@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 = {2009},
    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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

161.88 162.05 162.16 162.61 162.53 162.53 162.53 162.53 162.83 161.61 161.79 161.79 161.79 161.79 161.85 161.77 161.86 161.89 161.89 161.89 162.18 162.43 162.58 162.57 162.57 162.57 162.44 162.79 163.15 163.23 163.23 163.23 163.38 163.71 163.73 163.73 163.73 163.73 163.93 164.27 164.57 164.73 164.73 164.76 165.75 165.86 165.99 166.13 166.13 166.13 166.15 166.45 166.48 166.51 166.51 166.51 166.58 166.82 167.35 167.5 167.5 167.6 167.72 167.29 166.98 166.98 166.98 166.98 167.63 167.83 167.85 167.87 167.87 167.96 167.7 169.25 168.79 168.77 168.77 169 168.92 169.23 169.28 169.29 169.29 170.29 170.59 171.98 172.31 172.28 172.28 172.45 172.27 172.65 172.08 172.2 172.2 172.2 172.36 172.53 173.18 173.17 173.17 173.17 173.4 174.47 174.56 174.59 174.59 175.22 175.3 175.25 175.54 175.58 175.58 175.68 176.05 176.4 176.58 176.49

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	0.974718	10.6775	0
2	0.949131	10.3972	0
3	0.923376	10.1151	0
4	0.899546	9.854	0
5	0.876018	9.5963	0
6	0.852384	9.3374	0
7	0.827973	9.07	0
8	0.802955	8.7959	0
9	0.779322	8.537	0
10	0.752717	8.2456	0
11	0.725757	7.9503	0
12	0.700861	7.6775	0
13	0.674486	7.3886	0
14	0.647268	7.0905	0
15	0.619832	6.7899	0
16	0.595869	6.5274	0
17	0.572306	6.2693	0
18	0.547531	5.9979	0
19	0.52134	5.711	0
20	0.494726	5.4195	0
21	0.470383	5.1528	1e-06
22	0.447054	4.8972	2e-06
23	0.424332	4.6483	4e-06
24	0.401398	4.3971	1.2e-05
25	0.377821	4.1388	3.3e-05
26	0.353759	3.8752	8.7e-05
27	0.32716	3.5839	0.000245
28	0.302162	3.31	0.000616
29	0.276679	3.0309	0.001494
30	0.251198	2.7517	0.003424
31	0.224331	2.4574	0.007712
32	0.196213	2.1494	0.016805
33	0.169484	1.8566	0.03291
34	0.148462	1.6263	0.053252
35	0.127871	1.4008	0.081933
36	0.110898	1.2148	0.113409
37	0.093548	1.0248	0.153768
38	0.075474	0.8268	0.205003
39	0.057797	0.6331	0.263925
40	0.041766	0.4575	0.324063
41	0.025759	0.2822	0.389146
42	0.009866	0.1081	0.457057
43	-0.00653	-0.0715	0.471545
44	-0.023746	-0.2601	0.397606
45	-0.040635	-0.4451	0.328511
46	-0.051855	-0.568	0.285532
47	-0.064104	-0.7022	0.241949
48	-0.076643	-0.8396	0.201407

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.974718	10.6775	0
2	-0.018922	-0.2073	0.418072
3	-0.016454	-0.1802	0.428632
4	0.025235	0.2764	0.391346
5	-0.006964	-0.0763	0.46966
6	-0.015036	-0.1647	0.434723
7	-0.026952	-0.2952	0.384161
8	-0.02488	-0.2725	0.392837
9	0.014081	0.1542	0.438838
10	-0.07437	-0.8147	0.208433
11	-0.022836	-0.2502	0.401448
12	0.028661	0.314	0.377045
13	-0.04912	-0.5381	0.295758
14	-0.033811	-0.3704	0.355877
15	-0.017667	-0.1935	0.423434
16	0.052942	0.5799	0.281519
17	-0.007529	-0.0825	0.467201
18	-0.045858	-0.5024	0.30817
19	-0.035761	-0.3917	0.34797
20	-0.018533	-0.203	0.419731
21	0.020476	0.2243	0.41145
22	0.00092	0.0101	0.495987
23	-0.003129	-0.0343	0.486355
24	-0.014797	-0.1621	0.435751
25	-0.034669	-0.3798	0.352388
26	-0.027881	-0.3054	0.380287
27	-0.062487	-0.6845	0.247486
28	0.010794	0.1182	0.453036
29	-0.0322	-0.3527	0.362454
30	-0.029534	-0.3235	0.373429
31	-0.042336	-0.4638	0.321827
32	-0.043082	-0.4719	0.318915
33	0.002536	0.0278	0.488944
34	0.088931	0.9742	0.165962
35	-0.017594	-0.1927	0.423747
36	0.069205	0.7581	0.224939
37	-0.015162	-0.1661	0.434181
38	-0.031711	-0.3474	0.364457
39	-0.001252	-0.0137	0.494541
40	0.009824	0.1076	0.457242
41	-0.01613	-0.1767	0.430023
42	-0.019648	-0.2152	0.414978
43	-0.036764	-0.4027	0.343931
44	-0.02588	-0.2835	0.388639
45	-0.015079	-0.1652	0.434541
46	0.084164	0.922	0.179198
47	-0.043008	-0.4711	0.319204
48	-0.022978	-0.2517	0.400848

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/05/t1260037449kld2tz4b3pgf0gb/1uj1z1260037308.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/05/t1260037449kld2tz4b3pgf0gb/1uj1z1260037308.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/05/t1260037449kld2tz4b3pgf0gb/2fujy1260037308.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/05/t1260037449kld2tz4b3pgf0gb/2fujy1260037308.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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