Home » date » 2010 » Aug » 20 »

"Tijdreeks B 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: Thu, 19 Aug 2010 23:00:28 +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/20/t1282258847wc88pziq02ok491.htm/, Retrieved Fri, 20 Aug 2010 01:00:48 +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/20/t1282258847wc88pziq02ok491.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:

ellen aerts

Dataseries X:

» Textbox « » Textfile « » CSV «

80 79 78 76 74 73 74 76 77 77 78 80 90 90 89 82 78 76 74 78 81 82 88 99 117 113 106 100 97 96 100 104 104 111 117 118 140 147 134 126 116 114 120 122 117 119 132 134 154 152 132 130 123 129 124 128 128 129 141 138 155 160 142 133 131 140 134 134 134 136 145 137 152 168 160 157 147 161 159 164 163 158 175 163

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.938514	8.6016	0
2	0.864814	7.9262	0
3	0.805532	7.3828	0
4	0.750045	6.8743	0
5	0.70832	6.4919	0
6	0.661969	6.067	0
7	0.63026	5.7764	0
8	0.608361	5.5757	0
9	0.6002	5.5009	0
10	0.589095	5.3991	0
11	0.570643	5.23	1e-06
12	0.565682	5.1846	1e-06
13	0.523339	4.7965	3e-06
14	0.463183	4.2451	2.8e-05
15	0.411138	3.7681	0.000152
16	0.364842	3.3438	0.000618
17	0.331864	3.0416	0.00157
18	0.29358	2.6907	0.004301
19	0.259332	2.3768	0.009868
20	0.233391	2.1391	0.017666
21	0.226998	2.0805	0.020265
22	0.219025	2.0074	0.023961
23	0.192935	1.7683	0.040322
24	0.17733	1.6253	0.053927
25	0.144323	1.3227	0.094756
26	0.096975	0.8888	0.188326
27	0.058802	0.5389	0.29568
28	0.023426	0.2147	0.41526
29	-0.00272	-0.0249	0.490084
30	-0.030013	-0.2751	0.391966
31	-0.049782	-0.4563	0.324691
32	-0.065606	-0.6013	0.274632
33	-0.072457	-0.6641	0.254228
34	-0.072128	-0.6611	0.25519
35	-0.089724	-0.8223	0.206608
36	-0.107949	-0.9894	0.162661
37	-0.125846	-1.1534	0.12601
38	-0.148784	-1.3636	0.088165
39	-0.163196	-1.4957	0.069237
40	-0.17563	-1.6097	0.055611
41	-0.192656	-1.7657	0.040538
42	-0.214034	-1.9617	0.026558
43	-0.224399	-2.0567	0.021411
44	-0.232894	-2.1345	0.017858
45	-0.244583	-2.2416	0.013811
46	-0.259547	-2.3788	0.009819
47	-0.283574	-2.599	0.005521
48	-0.299113	-2.7414	0.003737

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.938514	8.6016	0
2	-0.134188	-1.2299	0.111092
3	0.093272	0.8548	0.197533
4	-0.026842	-0.246	0.403137
5	0.097586	0.8944	0.186834
6	-0.089487	-0.8202	0.207223
7	0.143197	1.3124	0.096476
8	0.015679	0.1437	0.44304
9	0.147362	1.3506	0.090226
10	-0.070672	-0.6477	0.259465
11	0.021414	0.1963	0.42244
12	0.097918	0.8974	0.186027
13	-0.334322	-3.0641	0.001467
14	-0.066989	-0.614	0.27045
15	0.00641	0.0587	0.476647
16	0.022495	0.2062	0.41858
17	-0.00561	-0.0514	0.479558
18	-0.046946	-0.4303	0.33405
19	-0.001148	-0.0105	0.495816
20	0.00613	0.0562	0.477664
21	0.092103	0.8441	0.200494
22	-0.088922	-0.815	0.208694
23	-0.02942	-0.2696	0.394051
24	0.032886	0.3014	0.381925
25	-0.131567	-1.2058	0.115634
26	-0.054526	-0.4997	0.309283
27	0.054031	0.4952	0.310877
28	-0.007814	-0.0716	0.471537
29	-0.032884	-0.3014	0.381933
30	-0.032627	-0.299	0.382828
31	0.05885	0.5394	0.295531
32	-0.016164	-0.1481	0.441293
33	-0.027498	-0.252	0.400818
34	-0.003531	-0.0324	0.487129
35	-0.020186	-0.185	0.426834
36	-0.044669	-0.4094	0.341644
37	0.017756	0.1627	0.435558
38	0.010545	0.0966	0.461618
39	0.03987	0.3654	0.35786
40	-0.001844	-0.0169	0.493277
41	-0.113601	-1.0412	0.150393
42	-0.037182	-0.3408	0.367062
43	0.057916	0.5308	0.298476
44	-0.054185	-0.4966	0.310381
45	-0.081826	-0.75	0.22769
46	-0.106795	-0.9788	0.165248
47	0.035048	0.3212	0.37442
48	0.037772	0.3462	0.365034

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282258847wc88pziq02ok491/1mxow1282258825.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282258847wc88pziq02ok491/1mxow1282258825.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282258847wc88pziq02ok491/2mxow1282258825.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282258847wc88pziq02ok491/2mxow1282258825.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