Home » date » 2010 » Aug » 18 »

autocorrelation Function diff1 - verkocht aantal producten - Mattias Debbaut

*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, 18 Aug 2010 17:36:01 +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/18/t1282153201fuopn2z10gtqwpx.htm/, Retrieved Wed, 18 Aug 2010 19:40:03 +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/18/t1282153201fuopn2z10gtqwpx.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:

mattias debbaut

Dataseries X:

» Textbox « » Textfile « » CSV «

376 375 374 372 370 369 370 372 373 373 374 376 371 374 369 363 357 366 362 366 361 362 358 363 360 360 348 345 332 333 323 327 332 337 336 337 343 337 326 321 309 302 293 287 292 292 289 302 310 295 276 264 257 243 227 226 226 229 224 240 244 226 208 199 193 180 167 164 166 173 169 191 193 166 143 147 139 129 115 108 106 116 108 135

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.111525	-0.9397	0.175272
2	0.011752	0.099	0.460698
3	-0.198082	-1.6691	0.049754
4	0.073296	0.6176	0.269406
5	-0.098098	-0.8266	0.205619
6	0.090428	0.762	0.224304
7	-0.089947	-0.7579	0.225508
8	0.113876	0.9595	0.170272
9	-0.090124	-0.7594	0.225063
10	-0.024302	-0.2048	0.419169
11	0.02184	0.184	0.427258
12	0.027288	0.2299	0.409402
13	0.019664	0.1657	0.434434
14	-0.060989	-0.5139	0.304459
15	0.1601	1.349	0.090807
16	-0.03473	-0.2926	0.385326
17	-0.073357	-0.6181	0.269238
18	-0.243471	-2.0515	0.021953
19	0.101976	0.8593	0.196543
20	-0.018281	-0.154	0.43901
21	0.000664	0.0056	0.497777
22	-0.148679	-1.2528	0.107197
23	0.247043	2.0816	0.020492
24	0.008986	0.0757	0.469928
25	0.018152	0.153	0.439434
26	-0.189084	-1.5932	0.057774
27	-0.043703	-0.3682	0.356893
28	0.078081	0.6579	0.256357
29	0.011378	0.0959	0.461945
30	0.066354	0.5591	0.288923
31	0.10465	0.8818	0.190431
32	-0.128729	-1.0847	0.140864
33	-0.018509	-0.156	0.438253
34	-0.048822	-0.4114	0.341016
35	0.09893	0.8336	0.203651
36	0.034811	0.2933	0.385067
37	-0.064272	-0.5416	0.294907
38	-0.01248	-0.1052	0.458275
39	0.106055	0.8936	0.187268
40	-0.132521	-1.1166	0.133956
41	-0.063046	-0.5312	0.298457
42	-0.004952	-0.0417	0.483416
43	0.033834	0.2851	0.388202
44	0.016871	0.1422	0.443678
45	0.047929	0.4039	0.343767
46	-0.078242	-0.6593	0.255926
47	-0.008796	-0.0741	0.470563
48	0.000502	0.0042	0.498319

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.111525	-0.9397	0.175272
2	-0.000694	-0.0058	0.497675
3	-0.199327	-1.6796	0.04872
4	0.030793	0.2595	0.398012
5	-0.093966	-0.7918	0.215566
6	0.035558	0.2996	0.382672
7	-0.065658	-0.5532	0.290918
8	0.068569	0.5778	0.282622
9	-0.049461	-0.4168	0.339054
10	-0.076715	-0.6464	0.260048
11	0.061542	0.5186	0.302838
12	-0.017733	-0.1494	0.440821
13	0.03655	0.308	0.3795
14	-0.069423	-0.585	0.280211
15	0.178202	1.5016	0.068823
16	-0.01091	-0.0919	0.463506
17	-0.097991	-0.8257	0.205874
18	-0.203831	-1.7175	0.045122
19	0.01941	0.1636	0.435273
20	-0.010825	-0.0912	0.46379
21	-0.12314	-1.0376	0.151489
22	-0.116823	-0.9844	0.164139
23	0.184052	1.5509	0.062692
24	0.08395	0.7074	0.240823
25	-0.03776	-0.3182	0.375643
26	-0.133302	-1.1232	0.132564
27	-0.140007	-1.1797	0.121025
28	0.117931	0.9937	0.161872
29	-0.025592	-0.2156	0.414942
30	0.064687	0.5451	0.29371
31	0.105163	0.8861	0.189273
32	-0.091555	-0.7715	0.221498
33	0.110414	0.9304	0.177666
34	-0.101946	-0.859	0.196613
35	0.022509	0.1897	0.425058
36	-0.042256	-0.3561	0.361428
37	-0.00781	-0.0658	0.473858
38	-0.025843	-0.2178	0.414121
39	0.03566	0.3005	0.382346
40	-0.121512	-1.0239	0.154685
41	0.011807	0.0995	0.460516
42	0.04263	0.3592	0.360253
43	-0.138679	-1.1685	0.123251
44	-0.051246	-0.4318	0.333596
45	0.083721	0.7054	0.24142
46	-0.077545	-0.6534	0.257802
47	-0.072096	-0.6075	0.272731
48	0.028711	0.2419	0.404767

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282153201fuopn2z10gtqwpx/1esfn1282152959.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282153201fuopn2z10gtqwpx/1esfn1282152959.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282153201fuopn2z10gtqwpx/26jx81282152959.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t1282153201fuopn2z10gtqwpx/26jx81282152959.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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