Home » date » 2009 » Nov » 25 »

WS 8: 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: Wed, 25 Nov 2009 04:30:41 -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/Nov/25/t125914884317kvaywaup490lz.htm/, Retrieved Wed, 25 Nov 2009 12:34:06 +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/Nov/25/t125914884317kvaywaup490lz.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:

Autocorrelatie getest zonder d of D te veranderen.

Dataseries X:

» Textbox « » Textfile « » CSV «

8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7.0 7.1 7.2 7.1 6.9 7.0 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 7.9 7.7 7.4 7.5 8.0 8.1

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	0.84089	6.5135	0
2	0.597075	4.6249	1e-05
3	0.42092	3.2604	0.000918
4	0.375908	2.9118	0.00252
5	0.41482	3.2132	0.001057
6	0.430955	3.3382	0.000726
7	0.347676	2.6931	0.004582
8	0.218634	1.6935	0.04777
9	0.135666	1.0509	0.148767
10	0.151594	1.1742	0.122469
11	0.211546	1.6386	0.053262
12	0.241872	1.8735	0.032934
13	0.179062	1.387	0.085285
14	0.083175	0.6443	0.260927
15	0.016059	0.1244	0.450711
16	-0.041225	-0.3193	0.375293
17	-0.088521	-0.6857	0.247778
18	-0.126503	-0.9799	0.165537
19	-0.173073	-1.3406	0.092549
20	-0.222755	-1.7255	0.044796
21	-0.26053	-2.0181	0.024032
22	-0.289199	-2.2401	0.014399
23	-0.308606	-2.3905	0.009992
24	-0.304457	-2.3583	0.010817
25	-0.297506	-2.3045	0.012337
26	-0.262848	-2.036	0.023086
27	-0.223312	-1.7298	0.044406
28	-0.231382	-1.7923	0.039065
29	-0.277511	-2.1496	0.017815
30	-0.325377	-2.5204	0.007201
31	-0.3569	-2.7645	0.003781
32	-0.366449	-2.8385	0.003088
33	-0.3286	-2.5453	0.006753
34	-0.259878	-2.013	0.024304
35	-0.206541	-1.5999	0.057441
36	-0.16768	-1.2988	0.099483

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.84089	6.5135	0
2	-0.375618	-2.9095	0.002535
3	0.183286	1.4197	0.080431
4	0.233499	1.8087	0.037757
5	0.108219	0.8383	0.202606
6	-0.067251	-0.5209	0.302169
7	-0.176038	-1.3636	0.088897
8	0.014012	0.1085	0.456967
9	0.075454	0.5845	0.280551
10	0.111462	0.8634	0.195683
11	-0.027402	-0.2123	0.416313
12	-0.006708	-0.052	0.479367
13	-0.126419	-0.9792	0.165698
14	0.054957	0.4257	0.335927
15	-0.036769	-0.2848	0.388385
16	-0.271049	-2.0995	0.019992
17	-0.06467	-0.5009	0.309125
18	0.032359	0.2507	0.401469
19	-0.031154	-0.2413	0.405065
20	-0.095916	-0.743	0.230202
21	-0.070958	-0.5496	0.292304
22	-0.056718	-0.4393	0.330999
23	0.001359	0.0105	0.495817
24	0.037259	0.2886	0.386939
25	-0.099252	-0.7688	0.222513
26	0.129462	1.0028	0.159991
27	0.018179	0.1408	0.444243
28	-0.102127	-0.7911	0.216008
29	-0.06646	-0.5148	0.304294
30	-0.080696	-0.6251	0.267147
31	-0.04771	-0.3696	0.356507
32	-0.06856	-0.5311	0.298668
33	0.122591	0.9496	0.173066
34	0.10818	0.838	0.202689
35	0.020151	0.1561	0.438244
36	0.043678	0.3383	0.368149

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t125914884317kvaywaup490lz/1ptqa1259148640.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125914884317kvaywaup490lz/1ptqa1259148640.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125914884317kvaywaup490lz/25hb61259148640.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125914884317kvaywaup490lz/25hb61259148640.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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