Home » date » 2010 » Aug » 18 »

Tijdreeks 2 - Stap 17

*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 18:15:26 +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/t12821552984ok05fa94oi08oz.htm/, Retrieved Wed, 18 Aug 2010 20:15:00 +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/t12821552984ok05fa94oi08oz.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:

Patrick Fieremans

Dataseries X:

» Textbox « » Textfile « » CSV «

259 258 257 255 253 252 253 255 256 256 257 259 267 263 266 257 249 249 251 252 252 252 256 257 259 260 261 253 243 233 241 239 233 228 228 227 225 230 222 207 190 184 192 187 173 167 163 156 153 157 152 128 115 114 136 132 126 124 123 119 105 107 108 92 74 73 100 97 99 102 99 103 92 99 97 87 69 66 95 91 93 99 91 91

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.975241	8.9382	0
2	0.947909	8.6877	0
3	0.925454	8.4819	0
4	0.903454	8.2803	0
5	0.879444	8.0602	0
6	0.853701	7.8243	0
7	0.822991	7.5428	0
8	0.789578	7.2366	0
9	0.757826	6.9456	0
10	0.729515	6.6861	0
11	0.70408	6.453	0
12	0.674364	6.1806	0
13	0.634626	5.8164	0
14	0.591817	5.4241	0
15	0.551699	5.0564	1e-06
16	0.514548	4.7159	5e-06
17	0.477089	4.3726	1.7e-05
18	0.43862	4.02	6.3e-05
19	0.394758	3.618	0.000253
20	0.348495	3.194	0.000988
21	0.304313	2.7891	0.003269
22	0.265087	2.4296	0.008624
23	0.2273	2.0832	0.020135
24	0.18707	1.7145	0.04506
25	0.142846	1.3092	0.097017
26	0.097656	0.895	0.186663
27	0.054578	0.5002	0.309117
28	0.01604	0.147	0.441737
29	-0.019102	-0.1751	0.430722
30	-0.052199	-0.4784	0.316801
31	-0.091423	-0.8379	0.20223
32	-0.131982	-1.2096	0.114906
33	-0.170204	-1.5599	0.061266
34	-0.200936	-1.8416	0.034531
35	-0.228886	-2.0978	0.019465
36	-0.259032	-2.3741	0.009937
37	-0.292004	-2.6763	0.004475
38	-0.324528	-2.9743	0.001916
39	-0.352946	-3.2348	0.000871
40	-0.375166	-3.4385	0.000456
41	-0.390332	-3.5775	0.00029
42	-0.403226	-3.6956	0.000195
43	-0.419551	-3.8452	0.000117
44	-0.434775	-3.9848	7.2e-05
45	-0.444605	-4.0749	5.2e-05
46	-0.449524	-4.12	4.4e-05
47	-0.451247	-4.1357	4.2e-05
48	-0.454002	-4.161	3.8e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.975241	8.9382	0
2	-0.065131	-0.5969	0.276079
3	0.088773	0.8136	0.209081
4	-0.013393	-0.1227	0.451299
5	-0.043636	-0.3999	0.345111
6	-0.043664	-0.4002	0.345018
7	-0.12045	-1.1039	0.136386
8	-0.069492	-0.6369	0.262958
9	0.001252	0.0115	0.495437
10	0.041756	0.3827	0.351455
11	0.052244	0.4788	0.316653
12	-0.087514	-0.8021	0.212385
13	-0.200337	-1.8361	0.034939
14	-0.091133	-0.8353	0.202973
15	-0.016718	-0.1532	0.439294
16	0.013862	0.127	0.449605
17	-0.022724	-0.2083	0.417763
18	-0.012167	-0.1115	0.455738
19	-0.100435	-0.9205	0.179973
20	-0.060546	-0.5549	0.290216
21	-0.02851	-0.2613	0.397252
22	0.019969	0.183	0.427613
23	-0.01584	-0.1452	0.44246
24	-0.038642	-0.3542	0.362055
25	-0.055015	-0.5042	0.307712
26	-0.039622	-0.3631	0.358706
27	-0.033178	-0.3041	0.380909
28	0.012189	0.1117	0.455658
29	0.021422	0.1963	0.422411
30	0.04693	0.4301	0.334106
31	-0.107775	-0.9878	0.16305
32	-0.036661	-0.336	0.368851
33	-0.051097	-0.4683	0.320388
34	0.056856	0.5211	0.301837
35	0.005763	0.0528	0.478999
36	-0.045075	-0.4131	0.340286
37	-0.044391	-0.4068	0.342577
38	-0.02065	-0.1893	0.425171
39	0.015727	0.1441	0.442866
40	0.033964	0.3113	0.378177
41	0.075728	0.6941	0.244782
42	0.040582	0.3719	0.355437
43	-0.026317	-0.2412	0.404993
44	0.024457	0.2241	0.411593
45	0.029114	0.2668	0.395125
46	-0.008987	-0.0824	0.467275
47	0.015366	0.1408	0.444169
48	-0.030303	-0.2777	0.39095

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/18/t12821552984ok05fa94oi08oz/1dlsn1282155323.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t12821552984ok05fa94oi08oz/1dlsn1282155323.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t12821552984ok05fa94oi08oz/2dlsn1282155323.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/18/t12821552984ok05fa94oi08oz/2dlsn1282155323.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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