Home » date » 2010 » Dec » 28 »

Autocorrelatie1

*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 13:28:26 +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/t1293542800lmab87u7fwzthjx.htm/, Retrieved Tue, 28 Dec 2010 14:26:41 +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/t1293542800lmab87u7fwzthjx.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 «

5 0 -2 6 11 9 17 21 21 41 57 65 68 73 71 71 70 69 65 57 57 57 55 65 65 64 60 43 47 40 31 27 24 23 17 16

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	0.914276	5.4857	2e-06
2	0.790996	4.746	1.6e-05
3	0.649941	3.8996	0.000202
4	0.494828	2.969	0.002644
5	0.345083	2.0705	0.022818
6	0.18721	1.1233	0.134381
7	0.048668	0.292	0.385979
8	-0.080152	-0.4809	0.316744
9	-0.211395	-1.2684	0.106403
10	-0.275725	-1.6544	0.053375
11	-0.303663	-1.822	0.038387
12	-0.317021	-1.9021	0.032589
13	-0.326927	-1.9616	0.028791
14	-0.34638	-2.0783	0.022436
15	-0.372092	-2.2326	0.015945
16	-0.394059	-2.3644	0.011788
17	-0.407504	-2.445	0.009754
18	-0.40137	-2.4082	0.010639
19	-0.380254	-2.2815	0.014267
20	-0.366105	-2.1966	0.017285
21	-0.335016	-2.0101	0.02598
22	-0.283729	-1.7024	0.048653
23	-0.22405	-1.3443	0.09363
24	-0.136948	-0.8217	0.208331
25	-0.03917	-0.235	0.407762
26	0.052562	0.3154	0.377149
27	0.121273	0.7276	0.23577
28	0.142653	0.8559	0.198852
29	0.172999	1.038	0.153097
30	0.185183	1.1111	0.136946
31	0.172773	1.0366	0.153409
32	0.157587	0.9455	0.175348
33	0.130821	0.7849	0.218816
34	0.09123	0.5474	0.293748
35	0.043479	0.2609	0.397839
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.914276	5.4857	2e-06
2	-0.273646	-1.6419	0.054662
3	-0.13805	-0.8283	0.20648
4	-0.147327	-0.884	0.191291
5	-0.038374	-0.2302	0.409604
6	-0.178404	-1.0704	0.145776
7	0.017529	0.1052	0.45841
8	-0.115228	-0.6914	0.246885
9	-0.176186	-1.0571	0.148751
10	0.304181	1.8251	0.038147
11	0.000862	0.0052	0.49795
12	-0.117091	-0.7025	0.243429
13	-0.13921	-0.8353	0.204541
14	-0.130225	-0.7813	0.219853
15	-0.218502	-1.311	0.099078
16	0.012138	0.0728	0.471174
17	-0.012642	-0.0759	0.469978
18	-0.080534	-0.4832	0.315939
19	0.115907	0.6954	0.245622
20	-0.094894	-0.5694	0.286323
21	0.048264	0.2896	0.386897
22	0.048643	0.2919	0.386036
23	-0.088684	-0.5321	0.298962
24	0.033617	0.2017	0.420643
25	0.072486	0.4349	0.333109
26	-0.079137	-0.4748	0.318891
27	-0.121748	-0.7305	0.23491
28	-0.143259	-0.8596	0.197862
29	0.115201	0.6912	0.246935
30	-0.095209	-0.5713	0.285688
31	-0.042463	-0.2548	0.400172
32	-0.009227	-0.0554	0.478079
33	0.011173	0.067	0.473461
34	-0.094259	-0.5656	0.287602
35	-0.02879	-0.1727	0.431911
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293542800lmab87u7fwzthjx/1s7vl1293542903.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293542800lmab87u7fwzthjx/1s7vl1293542903.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293542800lmab87u7fwzthjx/23gc61293542903.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293542800lmab87u7fwzthjx/23gc61293542903.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293542800lmab87u7fwzthjx/33gc61293542903.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t1293542800lmab87u7fwzthjx/33gc61293542903.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; 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')

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