Home » date » 2009 » Dec » 08 »

Autocorrelation Gemiddelde consumptieprijs cola-limonade

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 08 Dec 2009 13:41:48 -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/08/t1260305012lvjnc0qtybpjhcb.htm/, Retrieved Tue, 08 Dec 2009 21:43:34 +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/08/t1260305012lvjnc0qtybpjhcb.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 «

1.14 1.15 1.15 1.14 1.14 1.14 1.15 1.14 1.14 1.15 1.15 1.14 1.15 1.17 1.17 1.17 1.17 1.17 1.17 1.17 1.17 1.17 1.17 1.17 1.17 1.18 1.19 1.19 1.19 1.19 1.18 1.19 1.19 1.2 1.21 1.21 1.2 1.21 1.21 1.21 1.21 1.21 1.21 1.2 1.21 1.22 1.22 1.23 1.22 1.23 1.23 1.23 1.23 1.23 1.22 1.22 1.23 1.24 1.24 1.25 1.25 1.25 1.26 1.26 1.26 1.26 1.27 1.27 1.29 1.31 1.32 1.32 1.33 1.33 1.32 1.32 1.31 1.3 1.31 1.29 1.3 1.3 1.32 1.31 1.35 1.35 1.36 1.37 1.37 1.37 1.32 1.32 1.31 1.31 1.34 1.31 1.26 1.27 1.24 1.25 1.27 1.25 1.26 1.27 1.26 1.26 1.28 1.27 1.28 1.27 1.26 1.27 1.27 1.28 1.27 1.26 1.3 1.31 1.28 1.29 1.31 1.29 1.29 1.32 1.3 1.29 1.31 1.29 1.33 1.35 1.32 1.33

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	0.956468	10.989	0
2	0.925214	10.6299	0
3	0.895776	10.2917	0
4	0.853219	9.8027	0
5	0.826819	9.4994	0
6	0.798382	9.1727	0
7	0.764923	8.7883	0
8	0.733607	8.4285	0
9	0.701812	8.0632	0
10	0.673614	7.7392	0
11	0.653407	7.5071	0
12	0.628088	7.2162	0
13	0.603593	6.9348	0
14	0.582172	6.6886	0
15	0.556331	6.3918	0
16	0.532872	6.1222	0
17	0.513684	5.9018	0
18	0.488604	5.6136	0
19	0.465429	5.3474	0
20	0.440739	5.0637	1e-06
21	0.413516	4.7509	3e-06
22	0.395496	4.5439	6e-06
23	0.370222	4.2535	2e-05
24	0.340616	3.9134	7.3e-05
25	0.317485	3.6476	0.00019
26	0.291927	3.354	0.00052
27	0.270506	3.1079	0.001154
28	0.259024	2.976	0.001737
29	0.245549	2.8211	0.002762
30	0.226856	2.6064	0.005101
31	0.219166	2.518	0.006498
32	0.20725	2.3811	0.009344
33	0.195813	2.2497	0.013061
34	0.196848	2.2616	0.012678
35	0.192054	2.2065	0.014538
36	0.181848	2.0893	0.019301
37	0.164254	1.8871	0.030669
38	0.14278	1.6404	0.05165
39	0.12709	1.4602	0.073312
40	0.113544	1.3045	0.097163
41	0.09859	1.1327	0.129695
42	0.084805	0.9743	0.165837
43	0.060274	0.6925	0.24492
44	0.035399	0.4067	0.342444
45	0.006581	0.0756	0.469924
46	-0.019119	-0.2197	0.413237
47	-0.038538	-0.4428	0.329329
48	-0.062289	-0.7156	0.237737

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.956468	10.989	0
2	0.121909	1.4006	0.081835
3	0.025245	0.29	0.386121
4	-0.163121	-1.8741	0.031562
5	0.132196	1.5188	0.0656
6	-0.001315	-0.0151	0.493986
7	-0.051611	-0.593	0.27711
8	-0.052835	-0.607	0.272436
9	0.003944	0.0453	0.481963
10	0.040402	0.4642	0.321641
11	0.080377	0.9235	0.178725
12	-0.057981	-0.6661	0.253239
13	-0.023712	-0.2724	0.39286
14	0.015606	0.1793	0.428991
15	-0.016912	-0.1943	0.423118
16	-0.016578	-0.1905	0.42462
17	0.022343	0.2567	0.398903
18	-0.054484	-0.626	0.266206
19	-0.010455	-0.1201	0.452285
20	-0.035642	-0.4095	0.341422
21	-0.019999	-0.2298	0.409313
22	0.065624	0.754	0.226108
23	-0.07423	-0.8528	0.197646
24	-0.088091	-1.0121	0.156674
25	0.014229	0.1635	0.435195
26	0.025648	0.2947	0.384353
27	0.031182	0.3583	0.360363
28	0.065182	0.7489	0.227631
29	0.008354	0.096	0.461841
30	-0.08114	-0.9322	0.17646
31	0.101735	1.1688	0.122286
32	0.003583	0.0412	0.483613
33	-0.021652	-0.2488	0.401968
34	0.085532	0.9827	0.163779
35	0.008773	0.1008	0.459934
36	-0.092433	-1.062	0.145092
37	-0.142388	-1.6359	0.05212
38	-0.029017	-0.3334	0.36969
39	0.040903	0.4699	0.319585
40	0.033823	0.3886	0.349101
41	-0.032546	-0.3739	0.354532
42	-0.038985	-0.4479	0.327477
43	-0.107419	-1.2342	0.109669
44	-0.020208	-0.2322	0.408383
45	-0.129142	-1.4837	0.070133
46	0.01029	0.1182	0.453034
47	0.043761	0.5028	0.307978
48	-0.043272	-0.4972	0.309952

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260305012lvjnc0qtybpjhcb/181v51260304907.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260305012lvjnc0qtybpjhcb/181v51260304907.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260305012lvjnc0qtybpjhcb/2mew81260304907.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t1260305012lvjnc0qtybpjhcb/2mew81260304907.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