Home » date » 2009 » Nov » 27 »

Model 1 met d=0, D=1 en lambda=1

*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: Fri, 27 Nov 2009 15:11:12 -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/27/t1259360150npmtfkkiy31u5vv.htm/, Retrieved Fri, 27 Nov 2009 23:15:52 +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/27/t1259360150npmtfkkiy31u5vv.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 «

104.08 103.86 107.47 111.1 117.33 119.04 123.68 125.9 124.54 119.39 118.8 114.81 117.9 120.53 125.15 126.49 131.85 127.4 131.08 122.37 124.34 119.61 119.97 116.46 117.03 120.96 124.71 127.08 131.91 137.69 142.46 144.32 138.06 124.45 126.71 121.83 122.51 125.48 127.77 128.03 132.84 133.41 139.99 138.53 136.12 124.75 122.88 121.46 118.4 122.45 128.94 133.25 137.94 140.04 130.74 131.55 129.47 125.45 127.87 124.68

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	0.749812	5.1949	2e-06
2	0.530529	3.6756	0.000299
3	0.251854	1.7449	0.043701
4	0.100285	0.6948	0.245267
5	0.053298	0.3693	0.35678
6	0.010034	0.0695	0.472434
7	-0.056081	-0.3885	0.349668
8	-0.077412	-0.5363	0.297106
9	-0.156942	-1.0873	0.141162
10	-0.241936	-1.6762	0.050103
11	-0.216146	-1.4975	0.070405
12	-0.223482	-1.5483	0.064056
13	-0.034154	-0.2366	0.406978
14	0.042799	0.2965	0.384056
15	0.133756	0.9267	0.179363
16	0.192079	1.3308	0.094777
17	0.19392	1.3435	0.092711
18	0.187058	1.296	0.10059
19	0.174115	1.2063	0.116807
20	0.133194	0.9228	0.180365
21	0.12379	0.8576	0.197675
22	0.086755	0.6011	0.275314
23	-0.069785	-0.4835	0.315475
24	-0.128051	-0.8872	0.189708
25	-0.210644	-1.4594	0.075487
26	-0.157118	-1.0885	0.140894
27	-0.126362	-0.8755	0.192842
28	-0.114838	-0.7956	0.215086
29	-0.110085	-0.7627	0.22469
30	-0.114813	-0.7954	0.215135
31	-0.131917	-0.9139	0.182657
32	-0.133149	-0.9225	0.180445
33	-0.122387	-0.8479	0.200345
34	-0.104633	-0.7249	0.236011
35	-0.023708	-0.1643	0.435111
36	-0.032567	-0.2256	0.411223

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.749812	5.1949	2e-06
2	-0.072386	-0.5015	0.309153
3	-0.276612	-1.9164	0.030638
4	0.076149	0.5276	0.300113
5	0.147499	1.0219	0.155975
6	-0.126029	-0.8732	0.193463
7	-0.170866	-1.1838	0.121162
8	0.123525	0.8558	0.198179
9	-0.142329	-0.9861	0.164518
10	-0.253837	-1.7586	0.042507
11	0.268006	1.8568	0.034741
12	-0.071269	-0.4938	0.311863
13	0.23151	1.6039	0.057643
14	-0.095973	-0.6649	0.254643
15	0.077684	0.5382	0.29646
16	0.157666	1.0923	0.140068
17	-0.09755	-0.6758	0.251192
18	0.01606	0.1113	0.455934
19	0.002447	0.017	0.493271
20	0.046585	0.3228	0.374142
21	-0.058473	-0.4051	0.343597
22	-0.100784	-0.6983	0.244194
23	-0.168909	-1.1702	0.123841
24	0.075826	0.5253	0.300884
25	0.134705	0.9333	0.177677
26	-0.036118	-0.2502	0.401738
27	-0.090973	-0.6303	0.26575
28	0.062847	0.4354	0.332607
29	-0.013606	-0.0943	0.462645
30	-0.132445	-0.9176	0.181706
31	-0.041609	-0.2883	0.387189
32	-0.030553	-0.2117	0.416629
33	-0.029997	-0.2078	0.418121
34	-0.107662	-0.7459	0.229682
35	0.004918	0.0341	0.486479
36	0.048369	0.3351	0.369501

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259360150npmtfkkiy31u5vv/14osc1259359870.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259360150npmtfkkiy31u5vv/14osc1259359870.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259360150npmtfkkiy31u5vv/22uwr1259359870.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259360150npmtfkkiy31u5vv/22uwr1259359870.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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