autocorrelatie

*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: Thu, 17 Dec 2009 02:16:45 -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/17/t1261041541e4yyuf2hnt5z0oy.htm/, Retrieved Thu, 17 Dec 2009 10:19:04 +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/17/t1261041541e4yyuf2hnt5z0oy.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 «

10,9 10 9,2 9,2 9,5 9,6 9,5 9,1 8,9 9 10,1 10,3 10,2 9,6 9,2 9,3 9,4 9,4 9,2 9 9 9 9,8 10 9,8 9,3 9 9 9,1 9,1 9,1 9,2 8,8 8,3 8,4 8,1 7,7 7,9 7,9 8 7,9 7,6 7,1 6,8 6,5 6,9 8,2 8,7 8,3 7,9 7,5 7,8 8,3 8,4 8,2 7,7 7,2 7,3 8,1 8,5

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 0.858187 6.6475 0 2 0.6716 5.2022 1e-06 3 0.560884 4.3446 2.7e-05 4 0.545335 4.2241 4.1e-05 5 0.583365 4.5187 1.5e-05 6 0.600225 4.6493 9e-06 7 0.547021 4.2372 4e-05 8 0.462158 3.5799 0.000344 9 0.406519 3.1489 0.001277 10 0.408205 3.1619 0.001229 11 0.411577 3.1881 0.001138 12 0.395279 3.0618 0.001645 13 0.311353 2.4117 0.009477 14 0.228925 1.7732 0.040632 15 0.176845 1.3698 0.087921 16 0.136006 1.0535 0.148168 17 0.101161 0.7836 0.218181 18 0.054327 0.4208 0.337695 19 -0.001873 -0.0145 0.494235 20 -0.052267 -0.4049 0.343511 21 -0.07662 -0.5935 0.277539 22 -0.066317 -0.5137 0.304678 23 -0.074185 -0.5746 0.283843 24 -0.114088 -0.8837 0.190188 25 -0.190895 -1.4787 0.07223 26 -0.249906 -1.9358 0.028806 27 -0.267891 -2.0751 0.021138 28 -0.26583 -2.0591 0.021916 29 -0.26021 -2.0156 0.024165 30 -0.274447 -2.1259 0.01882 31 -0.319595 -2.4756 0.008071 32 -0.386474 -2.9936 0.002 33 -0.408393 -3.1634 0.001224 34 -0.363994 -2.8195 0.003254 35 -0.310229 -2.403 0.009685 36 -0.274073 -2.123 0.018946 37 -0.275759 -2.136 0.018384 38 -0.30873 -2.3914 0.009968 39 -0.31997 -2.4785 0.008012 40 -0.304796 -2.3609 0.010747 41 -0.277632 -2.1505 0.017776 42 -0.269389 -2.0867 0.020587 43 -0.2855 -2.2115 0.015412 44 -0.303297 -2.3493 0.011058 45 -0.265268 -2.0548 0.022132 46 -0.182278 -1.4119 0.08157 47 -0.129449 -1.0027 0.160014 48 -0.116898 -0.9055 0.184415 49 -0.127389 -0.9867 0.163865 50 -0.138629 -1.0738 0.143603 51 -0.120832 -0.936 0.176523 52 -0.094417 -0.7314 0.233705 53 -0.082053 -0.6356 0.263733 54 -0.084489 -0.6544 0.257663 55 -0.099475 -0.7705 0.222003 56 -0.10341 -0.801 0.213144 57 -0.074185 -0.5746 0.283843 58 -0.029599 -0.2293 0.409718 59 -0.008243 -0.0638 0.474652 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.858187 6.6475 0 2 -0.246226 -1.9073 0.030639 3 0.217823 1.6872 0.048374 4 0.213234 1.6517 0.05191 5 0.174284 1.35 0.091044 6 0.026991 0.2091 0.417549 7 -0.094942 -0.7354 0.232475 8 -0.011933 -0.0924 0.463333 9 0.041265 0.3196 0.375176 10 0.077511 0.6004 0.27525 11 -0.08848 -0.6854 0.247878 12 0.010857 0.0841 0.466629 13 -0.214268 -1.6597 0.051095 14 0.052886 0.4097 0.341758 15 -0.085962 -0.6659 0.254027 16 -0.142488 -1.1037 0.137064 17 -0.048433 -0.3752 0.354432 18 -0.084499 -0.6545 0.257636 19 -0.015498 -0.12 0.452423 20 -0.064558 -0.5001 0.30943 21 0.031149 0.2413 0.405081 22 0.064988 0.5034 0.308264 23 -0.030697 -0.2378 0.406431 24 -0.051606 -0.3997 0.345383 25 -0.106713 -0.8266 0.205871 26 0.027482 0.2129 0.416073 27 -0.018797 -0.1456 0.442361 28 -0.011587 -0.0898 0.464391 29 0.001176 0.0091 0.496383 30 -0.001886 -0.0146 0.494197 31 -0.065293 -0.5058 0.307441 32 -0.167166 -1.2949 0.100164 33 0.079859 0.6186 0.269265 34 0.063933 0.4952 0.311126 35 0.049074 0.3801 0.352597 36 0.061399 0.4756 0.318045 37 0.02084 0.1614 0.436151 38 -0.027569 -0.2135 0.415811 39 0.042791 0.3315 0.370727 40 -0.027651 -0.2142 0.415566 41 -0.048379 -0.3747 0.354585 42 -0.046005 -0.3564 0.361412 43 -0.06097 -0.4723 0.319223 44 -0.011152 -0.0864 0.465726 45 0.117568 0.9107 0.183055 46 0.046911 0.3634 0.358803 47 -0.039343 -0.3047 0.380807 48 0.009957 0.0771 0.469391 49 -0.02228 -0.1726 0.43178 50 -0.02496 -0.1933 0.423673 51 -0.045527 -0.3527 0.362792 52 -0.076486 -0.5925 0.277885 53 -0.0423 -0.3277 0.372156 54 0.046924 0.3635 0.358765 55 -0.054831 -0.4247 0.336281 56 -0.034184 -0.2648 0.396039 57 -0.016833 -0.1304 0.448349 58 -0.028864 -0.2236 0.411923 59 -0.016772 -0.1299 0.448534 60 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261041541e4yyuf2hnt5z0oy/1p0vw1261041403.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261041541e4yyuf2hnt5z0oy/1p0vw1261041403.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261041541e4yyuf2hnt5z0oy/2a71d1261041403.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261041541e4yyuf2hnt5z0oy/2a71d1261041403.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

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')

Copyright

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.

Privacy Policy

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