Home » date » 2010 » Dec » 19 »

Statistiek: ACF D=0 d=1 (2)

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 19 Dec 2010 12:34:49 +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/Dec/19/t1292761976198js61ky9ljsfo.htm/, Retrieved Sun, 19 Dec 2010 13:32:56 +0100

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/Dec/19/t1292761976198js61ky9ljsfo.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

6.5 6.3 5.9 5.5 5.2 4.9 5.4 5.8 5.7 5.6 5.5 5.4 5.4 5.4 5.5 5.8 5.7 5.4 5.6 5.8 6.2 6.8 6.7 6.7 6.4 6.3 6.3 6.4 6.3 6 6.3 6.3 6.6 7.5 7.8 7.9 7.8 7.6 7.5 7.6 7.5 7.3 7.6 7.5 7.6 7.9 7.9 8.1 8.2 8 7.5 6.8 6.5 6.6 7.6 8 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 8 7.8 7.4 7.4 7.7 7.8 7.8 8 8.1 8.4

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.420361	4.5856	6e-06
2	-0.084225	-0.9188	0.180033
3	-0.408441	-4.4556	1e-05
4	-0.431285	-4.7048	3e-06
5	-0.066113	-0.7212	0.236098
6	0.240583	2.6244	0.004908
7	0.19541	2.1317	0.017545
8	-0.021227	-0.2316	0.408638
9	-0.129623	-1.414	0.079984
10	-0.18835	-2.0547	0.021051
11	-0.017438	-0.1902	0.424728
12	0.314308	3.4287	0.000417
13	0.145378	1.5859	0.05771
14	0.136785	1.4922	0.069153
15	0.059687	0.6511	0.258115
16	-0.151966	-1.6578	0.05
17	-0.16222	-1.7696	0.039677
18	-0.143075	-1.5608	0.060618
19	-0.063527	-0.693	0.244831
20	0.01549	0.169	0.43305
21	0.11969	1.3057	0.097092
22	-0.00309	-0.0337	0.486582
23	-0.106935	-1.1665	0.122868
24	-0.023897	-0.2607	0.397392
25	-0.099237	-1.0825	0.1406
26	0.147294	1.6068	0.055375
27	0.258572	2.8207	0.002808
28	0.103663	1.1308	0.130199
29	-0.038919	-0.4246	0.335964
30	-0.231671	-2.5272	0.006404
31	-0.272922	-2.9772	0.001762
32	-0.209686	-2.2874	0.01197
33	0.0192	0.2095	0.417227
34	0.068317	0.7452	0.228796
35	0.096535	1.0531	0.14722
36	0.128907	1.4062	0.081134
37	-0.065604	-0.7157	0.237802
38	-0.026588	-0.29	0.386146
39	0.018641	0.2033	0.419606
40	0.06181	0.6743	0.250724
41	0.131726	1.437	0.076677
42	0.059311	0.647	0.259437
43	-0.116062	-1.2661	0.103977
44	-0.307384	-3.3532	0.000536
45	-0.238068	-2.597	0.005295
46	-0.054529	-0.5948	0.276538
47	0.193362	2.1093	0.018506
48	0.375638	4.0977	3.8e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.420361	4.5856	6e-06
2	-0.316931	-3.4573	0.000379
3	-0.308654	-3.367	0.000512
4	-0.190568	-2.0788	0.01989
5	0.147871	1.6131	0.054688
6	0.070602	0.7702	0.221362
7	-0.172827	-1.8853	0.030913
8	-0.143282	-1.563	0.060351
9	0.093422	1.0191	0.155108
10	-0.074524	-0.813	0.208933
11	0.005928	0.0647	0.474275
12	0.296851	3.2383	0.000779
13	-0.237983	-2.5961	0.005308
14	0.285655	3.1161	0.001149
15	0.193987	2.1162	0.018208
16	-0.159454	-1.7394	0.042272
17	-0.058477	-0.6379	0.262378
18	-0.043857	-0.4784	0.316614
19	0.085095	0.9283	0.177572
20	-0.130426	-1.4228	0.078708
21	-0.031038	-0.3386	0.367758
22	-0.063457	-0.6922	0.245071
23	-0.164799	-1.7977	0.037376
24	0.04312	0.4704	0.31947
25	-0.056058	-0.6115	0.271009
26	0.078997	0.8618	0.195277
27	0.028575	0.3117	0.3779
28	0.034939	0.3811	0.351891
29	0.021712	0.2369	0.406589
30	-0.088698	-0.9676	0.167607
31	-0.042322	-0.4617	0.322578
32	-0.172501	-1.8818	0.031156
33	-0.037767	-0.412	0.340545
34	-0.067343	-0.7346	0.232005
35	-0.010479	-0.1143	0.454591
36	-0.000866	-0.0095	0.496238
37	-0.04893	-0.5338	0.29725
38	-0.045045	-0.4914	0.31203
39	0.029447	0.3212	0.374302
40	0.149339	1.6291	0.052968
41	-0.039019	-0.4256	0.335568
42	0.04012	0.4377	0.331213
43	-0.078105	-0.852	0.197956
44	-0.1032	-1.1258	0.131261
45	-0.038825	-0.4235	0.336337
46	0.112454	1.2267	0.111173
47	0.016482	0.1798	0.428808
48	0.010466	0.1142	0.454648

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292761976198js61ky9ljsfo/1t60g1292762086.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292761976198js61ky9ljsfo/1t60g1292762086.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292761976198js61ky9ljsfo/23fh11292762086.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292761976198js61ky9ljsfo/23fh11292762086.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292761976198js61ky9ljsfo/33fh11292762086.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292761976198js61ky9ljsfo/33fh11292762086.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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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