Home » date » 2009 » Dec » 16 »

Opgave 6 bis eigen reeks "degree of non-seasonal differencing" op 1

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 16 Dec 2009 06:10:23 -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/16/t1260969119knxdknhaoq6zcao.htm/, Retrieved Wed, 16 Dec 2009 14:12:01 +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/16/t1260969119knxdknhaoq6zcao.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 «

6 5 2 3 -2 -4 0 1 4 -3 -3 0 6 -1 0 -1 1 -4 -1 -1 0 3 0 8 8 8 8 11 13 5 12 13 9 11 7 12 11 10 13 14 10 13 12 13 17 15 6 9 6 11 12 13 11 16 16 19 14 15 12 14 16 13 13 15 12 13 12 15 10 8 11 8

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	4 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.388212	-3.2711	0.000827
2	-0.009435	-0.0795	0.468427
3	-0.051042	-0.4301	0.334217
4	0.074506	0.6278	0.266075
5	0.041048	0.3459	0.365229
6	-0.033918	-0.2858	0.387933
7	-0.070808	-0.5966	0.276324
8	0.073543	0.6197	0.268726
9	-0.087139	-0.7342	0.232607
10	0.011018	0.0928	0.463145
11	-0.052497	-0.4423	0.329791
12	0.208749	1.759	0.041447
13	-0.089355	-0.7529	0.226994
14	-0.020133	-0.1696	0.432888
15	-0.00974	-0.0821	0.46741
16	0.084856	0.715	0.238475
17	-0.036465	-0.3073	0.379772
18	-0.037523	-0.3162	0.376398
19	-0.028123	-0.237	0.406681
20	0.066538	0.5607	0.288398
21	-0.1054	-0.8881	0.188739
22	-0.04657	-0.3924	0.347966
23	0.031224	0.2631	0.396619
24	0.033435	0.2817	0.389486
25	-0.004577	-0.0386	0.484672
26	-0.099565	-0.839	0.202156
27	0.109487	0.9226	0.179682
28	-0.070469	-0.5938	0.277272
29	0.078273	0.6595	0.255842
30	0.003404	0.0287	0.488598
31	-0.063445	-0.5346	0.297298
32	0.140695	1.1855	0.119883
33	-0.007024	-0.0592	0.476485
34	-0.154873	-1.305	0.098056
35	0.043883	0.3698	0.356329
36	-0.049722	-0.419	0.338252
37	0.142105	1.1974	0.117567
38	-0.167417	-1.4107	0.081352
39	0.13524	1.1395	0.129152
40	-0.139866	-1.1785	0.121259
41	0.005769	0.0486	0.480683
42	0.044072	0.3714	0.355739
43	0.056546	0.4765	0.317602
44	0.005929	0.05	0.480148
45	-0.059864	-0.5044	0.307764
46	-0.064777	-0.5458	0.293451
47	0.090065	0.7589	0.225213
48	-0.054385	-0.4583	0.324084

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.388212	-3.2711	0.000827
2	-0.188562	-1.5889	0.058269
3	-0.157	-1.3229	0.095056
4	-0.017485	-0.1473	0.441645
5	0.070031	0.5901	0.278501
6	0.031542	0.2658	0.395589
7	-0.065749	-0.554	0.290657
8	0.016189	0.1364	0.445941
9	-0.092945	-0.7832	0.218065
10	-0.082933	-0.6988	0.243478
11	-0.106802	-0.8999	0.185601
12	0.174344	1.4691	0.073118
13	0.0916	0.7718	0.221387
14	0.036164	0.3047	0.380735
15	0.013975	0.1178	0.453297
16	0.054118	0.456	0.324889
17	-0.01636	-0.1379	0.445373
18	-0.059827	-0.5041	0.307871
19	-0.05047	-0.4253	0.335964
20	0.009937	0.0837	0.466752
21	-0.076892	-0.6479	0.259568
22	-0.132492	-1.1164	0.134008
23	-0.053103	-0.4475	0.327955
24	-0.05408	-0.4557	0.325004
25	-0.006481	-0.0546	0.4783
26	-0.097776	-0.8239	0.206385
27	0.048324	0.4072	0.342549
28	-0.09731	-0.8199	0.207495
29	0.020008	0.1686	0.433301
30	0.077987	0.6571	0.256612
31	-0.021453	-0.1808	0.428534
32	0.131158	1.1052	0.136411
33	0.192724	1.6239	0.054412
34	-0.033314	-0.2807	0.389875
35	-0.081882	-0.6899	0.246238
36	-0.13864	-1.1682	0.123317
37	0.044715	0.3768	0.353731
38	-0.076207	-0.6421	0.261428
39	0.100628	0.8479	0.199669
40	-0.053304	-0.4491	0.327347
41	-0.167836	-1.4142	0.080835
42	-0.102881	-0.8669	0.194462
43	-0.019546	-0.1647	0.434825
44	-0.008917	-0.0751	0.47016
45	-0.092281	-0.7776	0.219701
46	-0.046643	-0.393	0.347742
47	-0.001237	-0.0104	0.495855
48	-0.058092	-0.4895	0.313003

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260969119knxdknhaoq6zcao/1sctm1260969018.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260969119knxdknhaoq6zcao/1sctm1260969018.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260969119knxdknhaoq6zcao/2950o1260969018.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260969119knxdknhaoq6zcao/2950o1260969018.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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