Home » date » 2009 » Dec » 20 »

paper Statistiek 2009

*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, 20 Dec 2009 13:43:27 -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/20/t1261341862viw2ln72qw0n7rj.htm/, Retrieved Sun, 20 Dec 2009 21:44:25 +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/20/t1261341862viw2ln72qw0n7rj.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 «

101.0 98.7 105.1 98.4 101.7 102.9 92.2 94.9 92.8 98.5 94.3 87.4 103.4 101.2 109.6 111.9 108.9 105.6 107.8 97.5 102.4 105.6 99.8 96.2 113.1 107.4 116.8 112.9 105.3 109.3 107.9 101.1 114.7 116.2 108.4 113.4 108.7 112.6 124.2 114.9 110.5 121.5 118.1 111.7 132.7 119.0 116.7 120.1 113.4 106.6 116.3 112.6 111.6 125.1 110.7 109.6 114.2 113.4 116.0 109.6 117.8 115.8 125.3 113.0 120.5 116.6 111.8 115.2 118.6 122.4 116.4 114.5 119.8 115.8 127.8 118.8 119.7 118.6 120.8 115.9 109.7 114.8 116.2 112.2

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	0.649839	5.9559	0
2	0.618907	5.6724	0
3	0.658815	6.0381	0
4	0.496782	4.5531	9e-06
5	0.491414	4.5039	1.1e-05
6	0.545684	5.0013	2e-06
7	0.408296	3.7421	0.000166
8	0.415108	3.8045	0.000134
9	0.477881	4.3799	1.7e-05
10	0.324251	2.9718	0.00193
11	0.358736	3.2879	0.000738
12	0.4203	3.8521	0.000114
13	0.216548	1.9847	0.025221
14	0.25976	2.3807	0.00977
15	0.227411	2.0843	0.020087
16	0.180876	1.6578	0.050548
17	0.224332	2.056	0.021442
18	0.224123	2.0541	0.021537
19	0.118934	1.0901	0.139404
20	0.189903	1.7405	0.042717
21	0.126851	1.1626	0.12414
22	0.02751	0.2521	0.400778
23	0.083572	0.7659	0.222927
24	0.066271	0.6074	0.272619
25	-0.000332	-0.003	0.498789
26	0.028585	0.262	0.396986
27	0.006779	0.0621	0.475303
28	0.00648	0.0594	0.476391
29	0.025761	0.2361	0.406962
30	-0.001877	-0.0172	0.493159
31	-0.074333	-0.6813	0.248787
32	-0.063899	-0.5856	0.279843
33	-0.141546	-1.2973	0.099041
34	-0.150931	-1.3833	0.085118
35	-0.13427	-1.2306	0.110954
36	-0.124785	-1.1437	0.128004
37	-0.15837	-1.4515	0.075184
38	-0.172929	-1.5849	0.058371
39	-0.180357	-1.653	0.051032
40	-0.173818	-1.5931	0.057451
41	-0.19479	-1.7853	0.038912
42	-0.195843	-1.7949	0.038131
43	-0.188901	-1.7313	0.043534
44	-0.175904	-1.6122	0.055336
45	-0.17688	-1.6211	0.054369
46	-0.167552	-1.5356	0.064193
47	-0.183732	-1.6839	0.047954
48	-0.116265	-1.0656	0.144832
49	-0.164859	-1.511	0.067276
50	-0.191146	-1.7519	0.041722
51	-0.222169	-2.0362	0.02244
52	-0.219266	-2.0096	0.023842
53	-0.228157	-2.0911	0.019771
54	-0.227093	-2.0813	0.020224
55	-0.228655	-2.0957	0.019562
56	-0.235116	-2.1549	0.017017
57	-0.222589	-2.0401	0.022243
58	-0.228572	-2.0949	0.019596
59	-0.229551	-2.1039	0.01919
60	-0.201257	-1.8446	0.034314

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.649839	5.9559	0
2	0.340339	3.1193	0.001242
3	0.337397	3.0923	0.001348
4	-0.111258	-1.0197	0.1554
5	0.034553	0.3167	0.376136
6	0.18601	1.7048	0.045963
7	-0.084396	-0.7735	0.220698
8	0.003988	0.0366	0.485464
9	0.147115	1.3483	0.090588
10	-0.127733	-1.1707	0.122517
11	0.025096	0.23	0.409323
12	0.12938	1.1858	0.119524
13	-0.238861	-2.1892	0.015679
14	-0.020959	-0.1921	0.424066
15	-0.103945	-0.9527	0.171746
16	0.166631	1.5272	0.065234
17	0.045833	0.4201	0.337755
18	-0.014366	-0.1317	0.44778
19	-0.079779	-0.7312	0.23335
20	0.066561	0.61	0.27174
21	-0.1331	-1.2199	0.112961
22	-0.066743	-0.6117	0.27119
23	-0.023717	-0.2174	0.414224
24	0.082973	0.7605	0.224553
25	0.011969	0.1097	0.456455
26	-0.089482	-0.8201	0.207234
27	0.05532	0.507	0.306736
28	0.056074	0.5139	0.304328
29	-0.055472	-0.5084	0.306249
30	-0.016976	-0.1556	0.438364
31	-0.069599	-0.6379	0.262641
32	-0.106627	-0.9772	0.165626
33	-0.087085	-0.7981	0.213518
34	0.016308	0.1495	0.440772
35	0.041248	0.378	0.353175
36	0.043436	0.3981	0.345785
37	-0.086925	-0.7967	0.213941
38	-0.047681	-0.437	0.331615
39	0.025597	0.2346	0.407543
40	0.017983	0.1648	0.43474
41	-0.061624	-0.5648	0.28686
42	0.039826	0.365	0.35801
43	0.100407	0.9202	0.180041
44	0.028643	0.2625	0.396783
45	-0.025787	-0.2363	0.406872
46	-0.03642	-0.3338	0.369683
47	-0.058695	-0.5379	0.296018
48	0.077567	0.7109	0.239554
49	-0.040654	-0.3726	0.355192
50	-0.034215	-0.3136	0.377306
51	-0.159437	-1.4613	0.073837
52	-0.021421	-0.1963	0.422415
53	0.043661	0.4002	0.345027
54	-0.049409	-0.4528	0.325915
55	-0.044482	-0.4077	0.342273
56	-0.047664	-0.4368	0.331672
57	0.019038	0.1745	0.430951
58	0.063243	0.5796	0.281856
59	-0.01202	-0.1102	0.456269
60	-0.055622	-0.5098	0.305769

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261341862viw2ln72qw0n7rj/11coq1261341805.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261341862viw2ln72qw0n7rj/11coq1261341805.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261341862viw2ln72qw0n7rj/29ks91261341805.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261341862viw2ln72qw0n7rj/29ks91261341805.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')

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