Home » date » 2010 » Aug » 11 »

Tijdreeks 1 stap 21

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 11 Aug 2010 13:01:03 +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/11/t1281531650oi12m1u9c9ebeu3.htm/, Retrieved Wed, 11 Aug 2010 15:00:50 +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/11/t1281531650oi12m1u9c9ebeu3.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:

Marianne Nykjaer

Dataseries X:

» Textbox « » Textfile « » CSV «

268 267 266 264 284 283 268 258 259 259 260 262 255 259 258 258 288 289 271 268 274 284 284 279 273 280 276 271 298 297 278 270 280 289 288 293 285 283 275 268 295 290 267 252 268 278 280 278 261 263 259 265 294 285 255 231 246 258 265 260 238 241 239 233 265 255 224 194 210 222 230 225 206 204 207 195 230 221 195 162 182 203 211 206 187 181 189 174 213 201 177 140 165 192 197 196 176 164 177 165 208 195 164 123 147 173 176 170 157 145 148 135 175 168 140 109 129 150 150 152

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.066206	0.7222	0.235788
2	-0.394688	-4.3055	1.7e-05
3	-0.451329	-4.9234	1e-06
4	-0.040753	-0.4446	0.328721
5	0.209348	2.2837	0.012081
6	0.282874	3.0858	0.001263
7	0.21032	2.2943	0.011763
8	-0.053488	-0.5835	0.280337
9	-0.427639	-4.665	4e-06
10	-0.352835	-3.849	9.6e-05
11	0.047634	0.5196	0.302143
12	0.883672	9.6397	0
13	0.07268	0.7928	0.214723
14	-0.371978	-4.0578	4.4e-05
15	-0.396466	-4.3249	1.6e-05
16	-0.037647	-0.4107	0.341022
17	0.184844	2.0164	0.023005
18	0.246414	2.6881	0.004109
19	0.186101	2.0301	0.022287
20	-0.058979	-0.6434	0.260606
21	-0.360435	-3.9319	7.1e-05
22	-0.29364	-3.2032	0.000872
23	0.032546	0.355	0.361597
24	0.736832	8.0379	0
25	0.08676	0.9464	0.172921
26	-0.349796	-3.8158	0.000108
27	-0.335224	-3.6569	0.000191
28	-0.025366	-0.2767	0.391241
29	0.161506	1.7618	0.040334
30	0.207976	2.2688	0.012543
31	0.154981	1.6906	0.046761
32	-0.062755	-0.6846	0.247472
33	-0.292365	-3.1893	0.000911
34	-0.243457	-2.6558	0.004498
35	0.028369	0.3095	0.378751
36	0.606002	6.6107	0
37	0.102192	1.1148	0.133594
38	-0.325973	-3.556	0.000271
39	-0.291065	-3.1751	0.000954
40	-0.018017	-0.1965	0.42226
41	0.154068	1.6807	0.047723
42	0.165348	1.8037	0.036901
43	0.114491	1.249	0.107067
44	-0.066928	-0.7301	0.233382
45	-0.219248	-2.3917	0.009168
46	-0.196557	-2.1442	0.017026
47	0.017019	0.1857	0.426516
48	0.484833	5.2889	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.066206	0.7222	0.235788
2	-0.400828	-4.3725	1.3e-05
3	-0.464529	-5.0674	1e-06
4	-0.295078	-3.2189	0.000829
5	-0.307289	-3.3521	0.000538
6	-0.15756	-1.7188	0.044128
7	0.162757	1.7755	0.039189
8	0.301653	3.2906	0.000658
9	0.026778	0.2921	0.385352
10	-0.220867	-2.4094	0.008756
11	-0.484723	-5.2877	0
12	0.680224	7.4204	0
13	-0.148889	-1.6242	0.053491
14	0.095023	1.0366	0.151016
15	0.257224	2.806	0.002931
16	-0.012729	-0.1389	0.444901
17	0.060851	0.6638	0.25405
18	-0.036676	-0.4001	0.344905
19	-0.151244	-1.6499	0.050803
20	-0.083472	-0.9106	0.182181
21	0.074562	0.8134	0.208814
22	-0.001887	-0.0206	0.491806
23	0.075253	0.8209	0.206669
24	-0.082626	-0.9013	0.184613
25	0.113133	1.2341	0.109792
26	-0.074762	-0.8156	0.208192
27	-0.032264	-0.352	0.362745
28	0.014119	0.154	0.438928
29	-0.088465	-0.965	0.168242
30	0.017715	0.1933	0.423546
31	-0.018605	-0.203	0.41976
32	-0.025298	-0.276	0.391526
33	0.039466	0.4305	0.333796
34	-0.030405	-0.3317	0.370359
35	0.031792	0.3468	0.364672
36	0.015125	0.165	0.434614
37	0.007837	0.0855	0.466005
38	0.033953	0.3704	0.355877
39	-0.055274	-0.603	0.273838
40	-0.047656	-0.5199	0.302062
41	0.0506	0.552	0.290998
42	-0.145931	-1.5919	0.057028
43	-0.079865	-0.8712	0.192694
44	-0.038679	-0.4219	0.336915
45	-0.017879	-0.195	0.42285
46	0.025203	0.2749	0.391922
47	-0.024601	-0.2684	0.39444
48	-0.00543	-0.0592	0.476434

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281531650oi12m1u9c9ebeu3/1c2251281531659.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281531650oi12m1u9c9ebeu3/1c2251281531659.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281531650oi12m1u9c9ebeu3/2nbjq1281531659.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/11/t1281531650oi12m1u9c9ebeu3/2nbjq1281531659.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