Home » date » 2010 » Aug » 19 »

autocorrelation Function diff1- maandelijkse bezoekers - 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: Thu, 19 Aug 2010 15:22:41 +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/19/t1282231319o6eubvx06dcd9bf.htm/, Retrieved Thu, 19 Aug 2010 17:22:02 +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/19/t1282231319o6eubvx06dcd9bf.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 «
900 899 898 896 916 915 900 890 891 891 892 894 896 889 878 883 901 897 881 866 867 866 862 871 865 856 847 859 870 872 856 839 829 825 822 827 822 812 810 816 820 823 810 793 777 772 765 765 753 742 736 740 742 742 728 707 699 696 689 692 673 653 642 648 654 653 630 609 598 601 592 591 568 538 523 530 529 534 513 491 480 478 462 461 437 411 400 405 395 407 385 366 349 343 332 327 306 276 269 268 260 274 247 226 212 199 188 179 155 124 117 116 105 112 86 64 53 42 32 24
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2939683.20680.000862
2-0.098349-1.07290.142753
3-0.25173-2.7460.003484
4-0.10962-1.19580.117073
50.1995262.17660.015744
60.582976.35950
70.2175172.37280.009627
8-0.081795-0.89230.187021
9-0.273927-2.98820.001705
10-0.110346-1.20370.115541
110.2813083.06870.001331
120.8054958.78690
130.236082.57530.005619
14-0.089989-0.98170.164128
15-0.241575-2.63530.004763
16-0.134941-1.4720.071825
170.151261.65010.050784
180.5088675.55110
190.1625011.77270.03942
20-0.106401-1.16070.124043
21-0.280998-3.06530.001345
22-0.119657-1.30530.097153
230.2257132.46220.00762
240.6065566.61670
250.1994832.17610.015762
26-0.077677-0.84740.199249
27-0.241879-2.63860.004719
28-0.153672-1.67640.048146
290.1242281.35520.088965
300.4244294.635e-06
310.108291.18130.119919
32-0.134521-1.46750.072446
33-0.286868-3.12940.001102
34-0.142139-1.55050.061833
350.1674731.82690.035109
360.4610525.02951e-06
370.1592441.73710.042474
38-0.125907-1.37350.086092
39-0.257043-2.8040.002948
40-0.13357-1.45710.073864
410.1028391.12180.132094
420.3240723.53520.000291
430.0538940.58790.278852
44-0.164442-1.79380.037689
45-0.30858-3.36620.000513
46-0.174246-1.90080.029874
470.1113481.21470.113449
480.34013.71010.000158


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2939683.20680.000862
2-0.202243-2.20620.014645
3-0.179771-1.96110.026103
40.0110850.12090.451978
50.2107662.29920.011619
60.4969955.42160
7-0.070712-0.77140.221005
80.0015610.0170.49322
9-0.105578-1.15170.125873
100.0346690.37820.35298
110.2376142.59210.005367
120.6605417.20560
13-0.172468-1.88140.03118
140.0077530.08460.466369
150.0169770.18520.426696
16-0.027021-0.29480.384346
17-0.116119-1.26670.103866
18-0.108603-1.18470.119245
19-0.120061-1.30970.096409
20-0.058574-0.6390.262036
210.0071490.0780.468986
22-0.011509-0.12550.450152
23-0.059449-0.64850.258951
24-0.083045-0.90590.183405
250.1257541.37180.08635
260.0348910.38060.352085
27-0.00255-0.02780.488926
28-0.012687-0.13840.445081
290.0570220.6220.267553
300.0143560.15660.437911
31-0.032921-0.35910.360068
32-0.069958-0.76320.22344
33-0.064456-0.70310.241673
34-0.033511-0.36560.357669
35-0.00604-0.06590.473789
36-0.032327-0.35260.36249
37-0.047136-0.51420.304036
38-0.146607-1.59930.056204
390.0380130.41470.339564
400.1168581.27480.102438
41-0.027959-0.3050.380452
42-0.072457-0.79040.21543
43-0.017293-0.18860.425346
440.0623760.68040.248775
45-0.041378-0.45140.326267
46-0.07936-0.86570.194195
47-0.086966-0.94870.172352
48-0.040207-0.43860.330873
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Aug/19/t1282231319o6eubvx06dcd9bf/1enzj1282231359.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/19/t1282231319o6eubvx06dcd9bf/1enzj1282231359.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Aug/19/t1282231319o6eubvx06dcd9bf/2enzj1282231359.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Aug/19/t1282231319o6eubvx06dcd9bf/2enzj1282231359.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')
 




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