Home » date » 2010 » Dec » 21 »

Paper autocorrelatie

*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: Tue, 21 Dec 2010 11:58:24 +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/21/t1292932707xks8251e7l6nf0g.htm/, Retrieved Tue, 21 Dec 2010 12:58:28 +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/21/t1292932707xks8251e7l6nf0g.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 «

103.7 103.75 103.85 104.02 104.13 104.17 104.18 104.2 104.5 104.78 104.88 104.89 104.9 104.95 105.24 105.35 105.44 105.46 105.47 105.48 105.75 106.1 106.19 106.23 106.24 106.25 106.35 106.48 106.52 106.55 106.55 106.56 106.89 107.09 107.24 107.28 107.3 107.31 107.47 107.35 107.31 107.32 107.32 107.34 107.53 107.72 107.75 107.79 107.81 107.9 107.8 107.86 107.8 107.74 107.75 107.83 107.8 107.81 107.86 107.83

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	0.953261	7.3839	0
2	0.902707	6.9923	0
3	0.853038	6.6076	0
4	0.806346	6.2459	0
5	0.759939	5.8865	0
6	0.712422	5.5184	0
7	0.660498	5.1162	2e-06
8	0.605124	4.6873	8e-06
9	0.55498	4.2989	3.2e-05
10	0.511418	3.9614	1e-04
11	0.467048	3.6177	0.000305
12	0.419703	3.251	0.000944
13	0.367736	2.8485	0.003004
14	0.313477	2.4282	0.009095
15	0.265078	2.0533	0.022206
16	0.221004	1.7119	0.046041
17	0.180419	1.3975	0.083702
18	0.137742	1.0669	0.145136
19	0.092465	0.7162	0.238315
20	0.045733	0.3542	0.362198
21	0.003989	0.0309	0.487726
22	-0.031445	-0.2436	0.404197
23	-0.063789	-0.4941	0.311518
24	-0.097538	-0.7555	0.226446
25	-0.134053	-1.0384	0.151632
26	-0.171472	-1.3282	0.094568
27	-0.205293	-1.5902	0.058524
28	-0.233768	-1.8108	0.037593
29	-0.258009	-1.9985	0.025098
30	-0.282896	-2.1913	0.016162
31	-0.309304	-2.3959	0.009859
32	-0.335918	-2.602	0.005829
33	-0.354095	-2.7428	0.00401
34	-0.365981	-2.8349	0.003119
35	-0.373588	-2.8938	0.002649
36	-0.381253	-2.9532	0.002243
37	-0.389043	-3.0135	0.00189
38	-0.396811	-3.0737	0.00159
39	-0.399474	-3.0943	0.001497
40	-0.400443	-3.1018	0.001465
41	-0.399258	-3.0926	0.001505
42	-0.398459	-3.0865	0.001532
43	-0.397891	-3.0821	0.001552
44	-0.396911	-3.0745	0.001586
45	-0.390083	-3.0216	0.001847
46	-0.377105	-2.921	0.002455
47	-0.359704	-2.7863	0.003564
48	-0.340765	-2.6396	0.005282

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.953261	7.3839	0
2	-0.065723	-0.5091	0.30628
3	-0.015203	-0.1178	0.453325
4	0.005119	0.0397	0.48425
5	-0.025211	-0.1953	0.422916
6	-0.038206	-0.2959	0.384149
7	-0.074387	-0.5762	0.283317
8	-0.065876	-0.5103	0.305866
9	0.024798	0.1921	0.424162
10	0.03304	0.2559	0.399442
11	-0.044751	-0.3466	0.365039
12	-0.057927	-0.4487	0.327632
13	-0.076245	-0.5906	0.278506
14	-0.058675	-0.4545	0.325556
15	0.019957	0.1546	0.438833
16	-0.006293	-0.0487	0.480641
17	-0.001502	-0.0116	0.495378
18	-0.047062	-0.3645	0.358367
19	-0.054781	-0.4243	0.336422
20	-0.05474	-0.424	0.336537
21	0.000548	0.0042	0.498315
22	0.00976	0.0756	0.469996
23	-0.008347	-0.0647	0.47433
24	-0.039965	-0.3096	0.378982
25	-0.055536	-0.4302	0.334303
26	-0.048698	-0.3772	0.353674
27	-0.020023	-0.1551	0.438633
28	-0.006638	-0.0514	0.479582
29	-0.000752	-0.0058	0.497686
30	-0.033946	-0.2629	0.396747
31	-0.038861	-0.301	0.382221
32	-0.042698	-0.3307	0.370999
33	0.034994	0.2711	0.393638
34	0.004242	0.0329	0.486948
35	0.003578	0.0277	0.488992
36	-0.020404	-0.158	0.437476
37	-0.013742	-0.1064	0.457793
38	-0.027767	-0.2151	0.415216
39	0.005776	0.0447	0.482232
40	-0.041194	-0.3191	0.375384
41	-0.012065	-0.0935	0.462926
42	-0.016025	-0.1241	0.450815
43	-0.013374	-0.1036	0.458917
44	-0.021726	-0.1683	0.433461
45	0.019909	0.1542	0.438981
46	0.018478	0.1431	0.443335
47	0.02664	0.2064	0.418606
48	0.01294	0.1002	0.460248

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292932707xks8251e7l6nf0g/19xj41292932700.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292932707xks8251e7l6nf0g/19xj41292932700.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292932707xks8251e7l6nf0g/216io1292932700.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292932707xks8251e7l6nf0g/216io1292932700.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292932707xks8251e7l6nf0g/316io1292932700.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292932707xks8251e7l6nf0g/316io1292932700.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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