Home » date » 2010 » Aug » 16 »

Autocorrelation Gedifferentieerd

*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, 16 Aug 2010 15:36:59 +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/16/t1281973728het7lfx8fmrvesl.htm/, Retrieved Mon, 16 Aug 2010 17:48:48 +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/16/t1281973728het7lfx8fmrvesl.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

257 256 255 253 251 250 251 253 254 254 255 257 260 251 255 252 245 239 240 247 251 255 259 260 259 266 261 243 232 225 229 238 240 241 239 246 242 251 246 219 203 192 197 203 208 207 208 212 208 215 200 170 162 150 148 152 155 150 146 147 142 146 130 102 98 90 86 104 108 94 88 92 93 95 81 50 49 34 27 45 47 42 32

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	0.314845	2.851	0.002755
2	-0.05648	-0.5115	0.305205
3	-0.083868	-0.7595	0.224877
4	-0.3261	-2.953	0.002052
5	-0.131229	-1.1883	0.119068
6	0.041193	0.373	0.355048
7	-0.079713	-0.7218	0.236225
8	-0.259736	-2.352	0.010535
9	-0.095014	-0.8604	0.196041
10	-0.020455	-0.1852	0.426755
11	0.325619	2.9486	0.002079
12	0.728062	6.5929	0
13	0.240474	2.1776	0.016155
14	-0.030036	-0.272	0.393156
15	-0.066975	-0.6065	0.272933
16	-0.29472	-2.6688	0.004587
17	-0.148299	-1.3429	0.091504
18	0.014069	0.1274	0.449469
19	-0.080469	-0.7287	0.234138
20	-0.221626	-2.0069	0.024027
21	-0.091114	-0.8251	0.205862
22	0.05191	0.4701	0.31978
23	0.30286	2.7425	0.003742
24	0.491056	4.4467	1.4e-05
25	0.132413	1.1991	0.116981
26	-0.049626	-0.4494	0.32717
27	-0.083964	-0.7603	0.224619
28	-0.275335	-2.4933	0.007335
29	-0.118271	-1.071	0.143658
30	0.033164	0.3003	0.382349
31	-0.100381	-0.909	0.18301
32	-0.184305	-1.669	0.049471
33	-0.097594	-0.8837	0.189708
34	0.05447	0.4932	0.311577
35	0.203555	1.8433	0.034452
36	0.27931	2.5293	0.006673
37	0.083342	0.7547	0.226297
38	-0.049592	-0.4491	0.327282
39	-0.122542	-1.1097	0.135193
40	-0.218871	-1.982	0.025417
41	-0.057337	-0.5192	0.302506
42	0.030979	0.2805	0.389891
43	-0.065786	-0.5957	0.276503
44	-0.131763	-1.1932	0.118123
45	-0.063059	-0.571	0.284773
46	0.030065	0.2723	0.393056
47	0.084175	0.7622	0.224052
48	0.122562	1.1098	0.135155
49	0.037977	0.3439	0.365902
50	-0.030608	-0.2772	0.391175
51	-0.08446	-0.7648	0.223287
52	-0.10295	-0.9322	0.176972
53	-0.03185	-0.2884	0.386878
54	-0.022964	-0.208	0.417891
55	-0.053373	-0.4833	0.315081
56	-0.053863	-0.4877	0.313515
57	-0.018865	-0.1708	0.432389
58	0.008771	0.0794	0.468443
59	0.028597	0.259	0.398159
60	0.025756	0.2332	0.408081

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.314845	2.851	0.002755
2	-0.17273	-1.5641	0.060818
3	-0.009875	-0.0894	0.464481
4	-0.34525	-3.1264	0.001224
5	0.108792	0.9852	0.163724
6	-0.037499	-0.3396	0.367526
7	-0.126536	-1.1458	0.127598
8	-0.373607	-3.3832	0.00055
9	0.092548	0.8381	0.202218
10	-0.103388	-0.9362	0.175956
11	0.473028	4.2834	2.5e-05
12	0.465064	4.2113	3.2e-05
13	-0.033267	-0.3012	0.381994
14	0.026555	0.2405	0.405285
15	0.144107	1.3049	0.097782
16	0.022631	0.2049	0.419066
17	-0.006508	-0.0589	0.476574
18	-0.090668	-0.821	0.207003
19	0.055461	0.5022	0.308428
20	-0.074147	-0.6714	0.251918
21	0.009293	0.0841	0.466572
22	0.01903	0.1723	0.431803
23	0.032263	0.2922	0.385452
24	-0.145762	-1.3199	0.095266
25	-0.096416	-0.8731	0.192584
26	-0.0856	-0.7751	0.220243
27	0.031251	0.283	0.38895
28	-0.149416	-1.353	0.089885
29	0.031344	0.2838	0.388628
30	-0.014508	-0.1314	0.447901
31	0.034489	0.3123	0.3778
32	-0.046139	-0.4178	0.338589
33	-0.081319	-0.7364	0.231803
34	-0.063092	-0.5713	0.284673
35	-0.117071	-1.0601	0.146101
36	-0.142088	-1.2867	0.100916
37	-0.006024	-0.0545	0.478316
38	-0.038805	-0.3514	0.363096
39	-0.065905	-0.5968	0.276143
40	0.005907	0.0535	0.478736
41	0.016781	0.152	0.439798
42	0.012538	0.1135	0.454941
43	0.073702	0.6674	0.253195
44	-0.022149	-0.2006	0.420768
45	0.076921	0.6965	0.244027
46	-0.040287	-0.3648	0.358096
47	0.01522	0.1378	0.445359
48	-0.064839	-0.5871	0.279362
49	0.019004	0.1721	0.431898
50	0.053471	0.4842	0.314766
51	0.108736	0.9846	0.163847
52	0.048654	0.4406	0.330337
53	-0.076652	-0.6941	0.244787
54	-0.078323	-0.7092	0.240093
55	0.041363	0.3746	0.354477
56	0.048468	0.4389	0.330947
57	-0.033164	-0.3003	0.38235
58	-0.026872	-0.2433	0.404178
59	0.066439	0.6016	0.274539
60	0.020344	0.1842	0.427147

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281973728het7lfx8fmrvesl/1oig41281973015.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281973728het7lfx8fmrvesl/1oig41281973015.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281973728het7lfx8fmrvesl/2oig41281973015.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281973728het7lfx8fmrvesl/2oig41281973015.ps (open in new window)

Parameters (Session):

par1 = 0.1 ; par2 = 0.9 ; par3 = 0.1 ;

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