Home » date » 2009 » Dec » 13 »

Bruto Industriële Productie

*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: Sun, 13 Dec 2009 09:18:08 -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/13/t1260721157n1w98xuw931bxvu.htm/, Retrieved Sun, 13 Dec 2009 17:19:19 +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/13/t1260721157n1w98xuw931bxvu.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

98.8 100.5 110.4 96.4 101.9 106.2 81 94.7 101 109.4 102.3 90.7 96.2 96.1 106 103.1 102 104.7 86 92.1 106.9 112.6 101.7 92 97.4 97 105.4 102.7 98.1 104.5 87.4 89.9 109.8 111.7 98.6 96.9 95.1 97 112.7 102.9 97.4 111.4 87.4 96.8 114.1 110.3 103.9 101.6 94.6 95.9 104.7 102.8 98.1 113.9 80.9 95.7 113.2 105.9 108.8 102.3 99 100.7 115.5 100.7 109.9 114.6 85.4 100.5 114.8 116.5 112.9 102 106 105.3 118.8 106.1 109.3 117.2 92.5 104.2 112.5 122.4 113.3 100 110.7 112.8 109.8 117.3 109.1 115.9 96 99.8 116.8 115.7 99.4 94.3 91 93.2 103.1 94.1 91.8 102.7 82.6 89.1 104.5

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	-0.465846	-4.6116	6e-06
2	-0.172681	-1.7095	0.045266
3	0.057678	0.571	0.284659
4	0.106294	1.0523	0.147634
5	0.41963	4.1541	3.5e-05
6	-0.829296	-8.2096	0
7	0.34422	3.4076	0.000476
8	0.198635	1.9664	0.026041
9	-0.035629	-0.3527	0.362531
10	-0.147422	-1.4594	0.073827
11	-0.33493	-3.3156	0.000641
12	0.732517	7.2515	0
13	-0.321195	-3.1797	0.000987
14	-0.177427	-1.7564	0.041068
15	0.042708	0.4228	0.336687
16	0.115462	1.143	0.127908
17	0.30928	3.0617	0.00142
18	-0.655582	-6.4899	0
19	0.272787	2.7005	0.004079
20	0.173555	1.7181	0.044467
21	-0.037424	-0.3705	0.355914
22	-0.131087	-1.2977	0.09872
23	-0.231072	-2.2875	0.012158
24	0.56052	5.5489	0
25	-0.262327	-2.5969	0.005427
26	-0.108946	-1.0785	0.141727
27	0.001754	0.0174	0.49309
28	0.097744	0.9676	0.167808
29	0.274995	2.7223	0.003837
30	-0.566931	-5.6123	0
31	0.253249	2.507	0.00691
32	0.134518	1.3317	0.093031
33	-0.063016	-0.6238	0.267097
34	-0.042794	-0.4236	0.336378
35	-0.256401	-2.5382	0.006358
36	0.493423	4.8846	2e-06
37	-0.207542	-2.0546	0.021291
38	-0.138748	-1.3735	0.08636
39	0.057046	0.5647	0.286776
40	0.0572	0.5663	0.286258
41	0.209709	2.076	0.020255
42	-0.452797	-4.4825	1e-05
43	0.191588	1.8966	0.030411
44	0.139254	1.3785	0.085586
45	-0.069512	-0.6881	0.246498
46	-0.038912	-0.3852	0.35046
47	-0.188852	-1.8695	0.032267
48	0.393966	3.9001	8.8e-05
49	-0.145819	-1.4435	0.076029
50	-0.136596	-1.3522	0.089708
51	0.042318	0.4189	0.338095
52	0.082979	0.8214	0.206692
53	0.141302	1.3988	0.082512
54	-0.367152	-3.6346	0.000223
55	0.171624	1.699	0.046247
56	0.089086	0.8819	0.189994
57	-0.022824	-0.2259	0.410856
58	-0.072002	-0.7128	0.238836
59	-0.158564	-1.5697	0.059853
60	0.360944	3.5732	0.000275

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.465846	-4.6116	6e-06
2	-0.4977	-4.927	2e-06
3	-0.500227	-4.952	2e-06
4	-0.494386	-4.8942	2e-06
5	0.665324	6.5864	0
6	-0.168012	-1.6632	0.049731
7	-0.138501	-1.3711	0.086739
8	-0.297007	-2.9402	0.002046
9	0.115494	1.1433	0.127843
10	-0.10833	-1.0724	0.143084
11	-0.011264	-0.1115	0.455721
12	0.114811	1.1366	0.129244
13	0.00689	0.0682	0.472878
14	-0.046462	-0.46	0.323285
15	0.038748	0.3836	0.351059
16	-0.065627	-0.6497	0.258711
17	-0.03395	-0.3361	0.368763
18	-0.048072	-0.4759	0.317607
19	0.004459	0.0441	0.482442
20	-0.101534	-1.0051	0.158653
21	0.035675	0.3532	0.362364
22	-0.094212	-0.9327	0.176645
23	0.117574	1.1639	0.12364
24	0.046887	0.4642	0.321783
25	-0.006883	-0.0681	0.472906
26	0.037067	0.3669	0.357227
27	0.05564	0.5508	0.291508
28	-0.218296	-2.161	0.016565
29	0.152389	1.5086	0.067313
30	-0.059648	-0.5905	0.278111
31	0.000123	0.0012	0.499517
32	0.020556	0.2035	0.419585
33	0.057254	0.5668	0.286076
34	-0.114232	-1.1308	0.130442
35	0.052431	0.519	0.30245
36	-0.002045	-0.0202	0.491943
37	0.02911	0.2882	0.386911
38	-0.088877	-0.8798	0.19055
39	0.006645	0.0658	0.473844
40	-0.026888	-0.2662	0.395333
41	-0.012427	-0.123	0.451171
42	-0.090985	-0.9007	0.184978
43	-0.099705	-0.987	0.163029
44	-0.084916	-0.8406	0.201302
45	0.036033	0.3567	0.361039
46	0.054258	0.5371	0.296198
47	0.181467	1.7964	0.037754
48	0.023491	0.2326	0.408297
49	0.008731	0.0864	0.465651
50	0.066188	0.6552	0.256928
51	-0.038697	-0.3831	0.351243
52	-0.030876	-0.3057	0.380256
53	0.055393	0.5484	0.292346
54	-0.049317	-0.4882	0.313244
55	-0.042873	-0.4244	0.336093
56	0.027835	0.2756	0.391736
57	-0.002913	-0.0288	0.488525
58	-0.021416	-0.212	0.416269
59	-0.039425	-0.3903	0.348585
60	-0.051707	-0.5119	0.304946

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260721157n1w98xuw931bxvu/19jzy1260721086.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260721157n1w98xuw931bxvu/19jzy1260721086.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260721157n1w98xuw931bxvu/2ba1z1260721086.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260721157n1w98xuw931bxvu/2ba1z1260721086.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 6 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 6 ; 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