Home » date » 2010 » Aug » 20 »

Tijdreeks B Stap 18

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 20 Aug 2010 08:20:56 +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/t1282292582x1n7xua4h607irv.htm/, Retrieved Fri, 20 Aug 2010 10:25:18 +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/t1282292582x1n7xua4h607irv.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:

Willem Van Tendeloo MAR 201 A

Dataseries X:

» Textbox « » Textfile « » CSV «

76 75 74 72 70 69 70 72 73 73 74 76 74 67 66 58 55 58 64 68 66 76 75 88 85 83 77 66 65 65 63 62 57 68 69 79 74 76 82 75 75 76 78 77 67 74 68 87 76 88 95 96 96 105 108 113 101 107 102 116 105 121 134 140 131 141 131 128 123 129 125 144 135 141 156 159 146 154 145 133 126 127 122 148

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.930158	7.8927	0
2	0.85103	7.2212	0
3	0.743447	6.3084	0
4	0.643023	5.4562	0
5	0.542559	4.6038	9e-06
6	0.469368	3.9827	8.1e-05
7	0.401325	3.4054	0.000542
8	0.34761	2.9496	0.002145
9	0.314091	2.6651	0.004747
10	0.287921	2.4431	0.008508
11	0.268156	2.2754	0.012931
12	0.266163	2.2585	0.013474
13	0.266913	2.2648	0.013267
14	0.258045	2.1896	0.015898
15	0.232868	1.9759	0.025996
16	0.18514	1.571	0.060287
17	0.126621	1.0744	0.143112
18	0.075896	0.644	0.260811
19	0.028281	0.24	0.405516
20	-0.020968	-0.1779	0.429644
21	-0.07108	-0.6031	0.274156
22	-0.131525	-1.116	0.13406
23	-0.190062	-1.6127	0.055589
24	-0.23764	-2.0164	0.023742
25	-0.278831	-2.366	0.010339
26	-0.297774	-2.5267	0.006856
27	-0.293237	-2.4882	0.007577
28	-0.266542	-2.2617	0.013369
29	-0.236345	-2.0055	0.024337
30	-0.204325	-1.7338	0.043621
31	-0.184977	-1.5696	0.060449
32	-0.17449	-1.4806	0.071539
33	-0.174669	-1.4821	0.071336
34	-0.192294	-1.6317	0.053558
35	-0.223401	-1.8956	0.031012
36	-0.253843	-2.1539	0.017297
37	-0.287159	-2.4366	0.008649
38	-0.320077	-2.7159	0.004135
39	-0.338575	-2.8729	0.00267
40	-0.339629	-2.8819	0.002604
41	-0.340758	-2.8914	0.002534
42	-0.321285	-2.7262	0.00402
43	-0.295947	-2.5112	0.007139
44	-0.257194	-2.1824	0.016173
45	-0.227564	-1.9309	0.028714
46	-0.20423	-1.7329	0.043693
47	-0.1887	-1.6012	0.056859
48	-0.183989	-1.5612	0.061431

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.930158	7.8927	0
2	-0.105069	-0.8915	0.187804
3	-0.251928	-2.1377	0.017969
4	0.015165	0.1287	0.448986
5	-0.026328	-0.2234	0.411927
6	0.12425	1.0543	0.147635
7	-0.033271	-0.2823	0.389255
8	-0.016533	-0.1403	0.444411
9	0.118054	1.0017	0.159917
10	-0.014991	-0.1272	0.449566
11	-0.004942	-0.0419	0.483332
12	0.119938	1.0177	0.156113
13	0.000907	0.0077	0.496941
14	-0.093809	-0.796	0.214325
15	-0.126188	-1.0707	0.143932
16	-0.144892	-1.2294	0.111454
17	-0.00256	-0.0217	0.491365
18	0.094215	0.7994	0.213331
19	-0.026408	-0.2241	0.411666
20	-0.098074	-0.8322	0.204029
21	-0.102115	-0.8665	0.194553
22	-0.161624	-1.3714	0.087251
23	-0.017131	-0.1454	0.442415
24	0.050812	0.4312	0.333822
25	-0.05516	-0.468	0.320583
26	0.078039	0.6622	0.254983
27	0.063952	0.5427	0.294522
28	0.073116	0.6204	0.268475
29	0.028552	0.2423	0.40463
30	-0.020376	-0.1729	0.43161
31	-0.058178	-0.4937	0.311524
32	-0.04711	-0.3997	0.345265
33	-0.08667	-0.7354	0.232236
34	-0.116553	-0.989	0.162991
35	-0.012877	-0.1093	0.456649
36	0.081986	0.6957	0.244436
37	0.00435	0.0369	0.485329
38	-0.06144	-0.5213	0.301867
39	0.00269	0.0228	0.490927
40	0.050593	0.4293	0.334496
41	-0.137214	-1.1643	0.124073
42	-0.008578	-0.0728	0.47109
43	0.011526	0.0978	0.461181
44	0.108995	0.9249	0.179066
45	-0.05728	-0.486	0.314209
46	-0.129993	-1.103	0.136844
47	0.028041	0.2379	0.406304
48	-0.050242	-0.4263	0.335575

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282292582x1n7xua4h607irv/1gkzm1282292452.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282292582x1n7xua4h607irv/1gkzm1282292452.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282292582x1n7xua4h607irv/2gkzm1282292452.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/20/t1282292582x1n7xua4h607irv/2gkzm1282292452.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

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