Home » date » 2010 » Dec » 28 »

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, 28 Dec 2010 10:18:54 +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/28/t1293531390q4bf4e7xowi2hb3.htm/, Retrieved Tue, 28 Dec 2010 11:16:30 +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/28/t1293531390q4bf4e7xowi2hb3.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 «
16896.2 16698 19691.6 15930.7 17444.6 17699.4 15189.8 15672.7 17180.8 17664.9 17862.9 16162.3 17463.6 16772.1 19106.9 16721.3 18161.3 18509.9 17802.7 16409.9 17967.7 20286.6 19537.3 18021.9 20194.3 19049.6 20244.7 21473.3 19673.6 21053.2 20159.5 18203.6 21289.5 20432.3 17180.4 15816.8 15076.6 14531.6 15761.3 14345.5 13916.8 15496.8 14285.6 13597.3 16263.1 16773.3 15986.9 16842.6 16014.6 15878.6 18664.9 17690.5 17107.6 19165.7 17203.6 16579 18885.1
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.6376744.81436e-06
20.5448254.11336.3e-05
30.6045764.56441.4e-05
40.4201143.17180.00122
50.3569862.69520.004615
60.3217522.42920.009154
70.0894780.67550.25103
80.0208820.15770.437643
9-0.096828-0.7310.233876
10-0.264102-1.99390.025476
11-0.259141-1.95650.027658
12-0.154568-1.1670.124042
13-0.3723-2.81080.003381
14-0.418693-3.16110.001259
15-0.3596-2.71490.004378
16-0.374724-2.82910.003217
17-0.33189-2.50570.00755
18-0.276896-2.09050.020521
19-0.277747-2.09690.020223
20-0.219784-1.65930.051271
21-0.246389-1.86020.03401
22-0.224627-1.69590.047681
23-0.122443-0.92440.179582
24-0.032139-0.24260.404576
25-0.088132-0.66540.254245
26-0.103426-0.78090.21906
27-0.027107-0.20470.419287
280.0199290.15050.440467
290.0470490.35520.36187
300.0826130.62370.267651
310.075990.57370.28421
320.0680780.5140.304626
330.0596090.450.327196
340.0520660.39310.347859
350.0602870.45520.325362
360.1194060.90150.185559
370.0588940.44460.329131
380.004040.03050.487888
390.0521910.3940.347514
400.0341140.25760.39884
41-0.002647-0.020.492062
420.0457130.34510.365636
430.0236270.17840.429528
44-0.014759-0.11140.455834
450.0004660.00350.498604
46-0.00576-0.04350.482734
47-0.03282-0.24780.402596
480.0315020.23780.406431
490.0020010.01510.494
50-0.036905-0.27860.390769
510.0224460.16950.433017
52-0.001707-0.01290.494882
53-0.02361-0.17830.429579
540.0191190.14430.442869
55-0.002794-0.02110.491622
56-0.003887-0.02930.488344
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.6376744.81436e-06
20.2329021.75840.042026
30.3377752.55010.00674
4-0.161558-1.21970.113794
5-0.006313-0.04770.481075
6-0.06642-0.50150.308989
7-0.299831-2.26370.013709
8-0.108229-0.81710.208633
9-0.25092-1.89440.031624
10-0.159398-1.20340.116892
110.0131490.09930.460635
120.4281883.23270.00102
13-0.183977-1.3890.085119
14-0.136257-1.02870.153979
15-0.123898-0.93540.176762
160.099220.74910.228441
17-0.037753-0.2850.388328
18-0.094076-0.71030.24022
190.053180.40150.344775
20-0.062811-0.47420.318579
21-0.111592-0.84250.201514
22-0.061031-0.46080.323357
230.0231160.17450.431036
24-0.034208-0.25830.398568
25-0.048041-0.36270.359083
26-0.067084-0.50650.307239
270.0712280.53780.296419
280.0515230.3890.349365
290.0661640.49950.309666
30-0.031592-0.23850.406169
31-0.136699-1.03210.153203
32-0.165621-1.25040.108129
330.0228280.17240.431886
34-0.023364-0.17640.430304
35-0.162325-1.22550.112709
360.0438230.33090.370984
370.0971530.73350.233134
380.1173950.88630.189587
39-0.026376-0.19910.421432
40-0.07256-0.54780.292979
41-0.172229-1.30030.099365
42-0.027779-0.20970.417313
430.0482250.36410.358569
44-0.003237-0.02440.490295
45-0.030758-0.23220.408601
460.0220120.16620.434298
47-0.060742-0.45860.324135
48-0.052091-0.39330.347791
49-0.016932-0.12780.449366
500.0216540.16350.435358
510.0220770.16670.434107
52-0.064661-0.48820.313647
530.0414030.31260.377869
54-0.027196-0.20530.419024
550.0178920.13510.446512
56-0.039359-0.29720.383714
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293531390q4bf4e7xowi2hb3/1y0y11293531531.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293531390q4bf4e7xowi2hb3/1y0y11293531531.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/28/t1293531390q4bf4e7xowi2hb3/2raym1293531531.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293531390q4bf4e7xowi2hb3/2raym1293531531.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/28/t1293531390q4bf4e7xowi2hb3/3raym1293531531.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293531390q4bf4e7xowi2hb3/3raym1293531531.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; 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 (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')
 




Copyright

Creative Commons License

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.


Privacy Policy

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