Home » date » 2009 » Dec » 27 »

acf inschrijvingen

*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, 27 Dec 2009 07:05:38 -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/27/t1261922775vqnxgr0m0xb8gpu.htm/, Retrieved Sun, 27 Dec 2009 15:06:18 +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/27/t1261922775vqnxgr0m0xb8gpu.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 «

20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509 25447 24090 27786 26195 20516 22759 19028 16971

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.364807	-2.8021	0.003428
2	-0.001194	-0.0092	0.496357
3	-0.011172	-0.0858	0.465953
4	-0.062382	-0.4792	0.316797
5	0.142449	1.0942	0.139163
6	-0.365199	-2.8051	0.0034
7	0.081869	0.6288	0.265938
8	0.008053	0.0619	0.475444
9	-0.024218	-0.186	0.426534
10	-0.031576	-0.2425	0.404603
11	-0.260959	-2.0045	0.024809
12	0.772662	5.9349	0
13	-0.270242	-2.0758	0.021141
14	0.002723	0.0209	0.491691
15	-0.011527	-0.0885	0.464872
16	-0.051146	-0.3929	0.347918
17	0.111047	0.853	0.198563
18	-0.288983	-2.2197	0.015147
19	0.075956	0.5834	0.280915
20	0.011755	0.0903	0.464179
21	-0.024321	-0.1868	0.426225
22	-0.032223	-0.2475	0.402685
23	-0.194894	-1.497	0.069861
24	0.540399	4.1509	5.4e-05
25	-0.160727	-1.2346	0.110944
26	-0.023688	-0.182	0.428122
27	0.03336	0.2562	0.399327
28	-0.082743	-0.6356	0.263759
29	0.109751	0.843	0.201313
30	-0.207391	-1.593	0.058252
31	0.047476	0.3647	0.358331
32	0.014766	0.1134	0.455042
33	-0.036457	-0.28	0.390216
34	-0.003118	-0.0239	0.490488
35	-0.124707	-0.9579	0.171012
36	0.320301	2.4603	0.008415
37	-0.069365	-0.5328	0.298086
38	-0.033067	-0.254	0.400193
39	0.044637	0.3429	0.366461
40	-0.06939	-0.533	0.298019
41	0.057815	0.4441	0.329302
42	-0.1019	-0.7827	0.218465
43	0.026107	0.2005	0.420877
44	-0.008462	-0.065	0.474198
45	0.009348	0.0718	0.471499
46	-0.015522	-0.1192	0.452751
47	-0.055077	-0.4231	0.336898
48	0.13712	1.0532	0.148263
49	-0.04269	-0.3279	0.372072
50	-0.002649	-0.0203	0.491917
51	0.016448	0.1263	0.449946
52	-0.043816	-0.3366	0.368822
53	0.033798	0.2596	0.398036
54	-0.017634	-0.1354	0.44636
55	-0.013091	-0.1006	0.460121
56	0.011115	0.0854	0.466125
57	-0.000749	-0.0058	0.497715
58	-0.001873	-0.0144	0.494286
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.364807	-2.8021	0.003428
2	-0.154891	-1.1897	0.119456
3	-0.08058	-0.6189	0.269167
4	-0.115212	-0.885	0.189886
5	0.084718	0.6507	0.258873
6	-0.347738	-2.671	0.004879
7	-0.236767	-1.8186	0.037021
8	-0.166298	-1.2774	0.10324
9	-0.173106	-1.3296	0.094376
10	-0.277747	-2.1334	0.01853
11	-0.66268	-5.0901	2e-06
12	0.38588	2.964	0.002187
13	0.163516	1.256	0.107035
14	0.014348	0.1102	0.456309
15	-0.044516	-0.3419	0.366809
16	0.052194	0.4009	0.344968
17	-0.142702	-1.0961	0.138741
18	0.019245	0.1478	0.441492
19	0.184334	1.4159	0.081032
20	0.049864	0.383	0.351545
21	-0.016179	-0.1243	0.450759
22	0.117138	0.8998	0.185954
23	0.079547	0.611	0.271769
24	-0.197435	-1.5165	0.067363
25	0.015837	0.1216	0.451795
26	-0.005501	-0.0423	0.483219
27	0.017288	0.1328	0.447404
28	-0.101514	-0.7797	0.21933
29	0.075005	0.5761	0.28336
30	0.000876	0.0067	0.497326
31	-0.080073	-0.6151	0.270442
32	-0.048159	-0.3699	0.356384
33	-0.03637	-0.2794	0.390471
34	-0.031716	-0.2436	0.404188
35	0.102963	0.7909	0.216093
36	-0.003016	-0.0232	0.490799
37	-0.062465	-0.4798	0.316571
38	-0.005181	-0.0398	0.484194
39	-0.047331	-0.3636	0.358743
40	0.024304	0.1867	0.426276
41	-0.068856	-0.5289	0.299432
42	0.065376	0.5022	0.308712
43	0.028216	0.2167	0.414583
44	-0.006489	-0.0498	0.480206
45	0.143688	1.1037	0.137104
46	0.066965	0.5144	0.304457
47	0.055636	0.4274	0.33534
48	-0.028012	-0.2152	0.415191
49	-0.079244	-0.6087	0.272535
50	-0.046125	-0.3543	0.36219
51	-0.056243	-0.432	0.333653
52	-0.035202	-0.2704	0.3939
53	0.024492	0.1881	0.425711
54	0.008982	0.069	0.472616
55	-0.140628	-1.0802	0.142228
56	-0.028239	-0.2169	0.414515
57	-0.105919	-0.8136	0.209578
58	-0.127527	-0.9796	0.165654
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922775vqnxgr0m0xb8gpu/1j2kz1261922735.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922775vqnxgr0m0xb8gpu/1j2kz1261922735.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922775vqnxgr0m0xb8gpu/2j7bd1261922735.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922775vqnxgr0m0xb8gpu/2j7bd1261922735.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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