Home » date » 2010 » Aug » 02 »

Tijdreeks 2 -Stap 18

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 02 Aug 2010 14:45:17 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Aug/02/t1280760311varfc62067z3bwg.htm/, Retrieved Mon, 02 Aug 2010 16:45:13 +0200

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/2010/Aug/02/t1280760311varfc62067z3bwg.htm/},
    year = {2010},
}
@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 = {2010},
    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:

Van Puyenbroeck Cassandra

Dataseries X:

» Textbox « » Textfile « » CSV «

408 407 406 404 402 401 402 404 405 405 406 408 405 400 402 404 410 402 400 392 390 397 394 397 400 395 391 392 395 386 385 372 367 364 364 368 370 357 350 353 353 348 337 322 315 316 317 326 329 310 301 299 300 295 274 258 250 247 248 256 253 237 225 214 221 221 207 194 191 185 180 185 189 179 162 148 152 151 134 122 119 115 113 109

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.333763	3.0407	0.001579
2	-0.230457	-2.0996	0.019402
3	-0.27801	-2.5328	0.006599
4	-0.053179	-0.4845	0.31466
5	0.223568	2.0368	0.022429
6	0.284455	2.5915	0.005644
7	0.158105	1.4404	0.076758
8	0.004868	0.0444	0.482366
9	-0.176353	-1.6067	0.055964
10	-0.279309	-2.5446	0.006396
11	0.206879	1.8848	0.031481
12	0.676517	6.1634	0
13	0.321263	2.9268	0.002208
14	-0.084681	-0.7715	0.221307
15	-0.310713	-2.8307	0.002912
16	-0.179422	-1.6346	0.052959
17	0.132803	1.2099	0.114878
18	0.212514	1.9361	0.02813
19	0.089986	0.8198	0.207335
20	0.084157	0.7667	0.222716
21	-0.143997	-1.3119	0.09659
22	-0.246052	-2.2416	0.013826
23	0.108109	0.9849	0.163763
24	0.405579	3.695	0.000197
25	0.273872	2.4951	0.007287
26	-0.055982	-0.51	0.305695
27	-0.290288	-2.6446	0.004889
28	-0.217901	-1.9852	0.025214
29	0.076934	0.7009	0.242661
30	0.069849	0.6364	0.263148
31	0.018115	0.165	0.434658
32	0.059854	0.5453	0.293507
33	-0.164694	-1.5004	0.068649
34	-0.164311	-1.4969	0.069101
35	-0.017419	-0.1587	0.437148
36	0.156768	1.4282	0.07849
37	0.158738	1.4462	0.075947
38	-0.033835	-0.3083	0.379332
39	-0.225089	-2.0507	0.021728
40	-0.158746	-1.4462	0.075938
41	0.018904	0.1722	0.431842
42	-0.015224	-0.1387	0.445013
43	-0.001154	-0.0105	0.49582
44	0.024361	0.2219	0.412452
45	-0.103264	-0.9408	0.174774
46	-0.11423	-1.0407	0.150522
47	-0.087603	-0.7981	0.213543
48	0.010759	0.098	0.461077

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.333763	3.0407	0.001579
2	-0.384711	-3.5049	0.00037
3	-0.056926	-0.5186	0.302702
4	0.007451	0.0679	0.473021
5	0.17459	1.5906	0.057752
6	0.128632	1.1719	0.122296
7	0.127981	1.166	0.123485
8	0.082657	0.753	0.226779
9	-0.117083	-1.0667	0.144605
10	-0.220629	-2.01	0.023838
11	0.392239	3.5735	0.000295
12	0.476907	4.3448	2e-05
13	-0.084098	-0.7662	0.222875
14	0.162461	1.4801	0.071317
15	-0.089642	-0.8167	0.208226
16	-0.12682	-1.1554	0.125623
17	-0.096892	-0.8827	0.189965
18	-0.082744	-0.7538	0.226541
19	-0.127443	-1.1611	0.124473
20	0.155486	1.4165	0.080179
21	-0.083067	-0.7568	0.225664
22	0.121891	1.1105	0.135
23	0.017349	0.1581	0.437399
24	-0.018172	-0.1656	0.434457
25	-0.052721	-0.4803	0.316134
26	-0.15249	-1.3892	0.084237
27	0.037731	0.3437	0.365954
28	-0.06725	-0.6127	0.270884
29	0.02353	0.2144	0.415392
30	-0.101911	-0.9285	0.177933
31	-0.030179	-0.2749	0.392023
32	-0.082868	-0.755	0.226205
33	-0.110129	-1.0033	0.159311
34	0.054619	0.4976	0.310039
35	-0.148599	-1.3538	0.089737
36	-0.06718	-0.612	0.271093
37	-0.033283	-0.3032	0.381239
38	0.007055	0.0643	0.474455
39	0.088106	0.8027	0.212226
40	0.083506	0.7608	0.224474
41	0.005123	0.0467	0.481444
42	0.077107	0.7025	0.242173
43	-0.07819	-0.7123	0.239126
44	0.06599	0.6012	0.274672
45	-0.040769	-0.3714	0.355634
46	-0.085923	-0.7828	0.217987
47	-0.008854	-0.0807	0.467951
48	-0.068134	-0.6207	0.268238

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280760311varfc62067z3bwg/1c9kw1280760315.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280760311varfc62067z3bwg/1c9kw1280760315.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280760311varfc62067z3bwg/2c9kw1280760315.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/02/t1280760311varfc62067z3bwg/2c9kw1280760315.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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