Home » date » 2009 » May » 11 »

Ken Soltvedt eigen datareeks 6bis

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 11 May 2009 12:40:20 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/May/11/t1242067245tsz2fusrffddre7.htm/, Retrieved Mon, 11 May 2009 20:40:47 +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/2009/May/11/t1242067245tsz2fusrffddre7.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

3.42 3.42 3.43 3.47 3.51 3.52 3.52 3.52 3.52 3.52 3.52 3.52 3.52 3.52 3.58 3.6 3.61 3.61 3.61 3.63 3.68 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.69 3.78 3.79 3.79 3.8 3.8 3.8 3.8 3.81 3.95 3.99 4 4.06 4.16 4.19 4.2 4.2 4.2 4.2 4.2 4.23 4.38 4.43 4.44 4.44 4.44 4.44 4.44 4.45 4.45 4.45 4.45 4.45 4.45 4.45 4.45 4.46 4.46 4.46 4.48 4.58 4.67 4.68 4.68

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.326575	2.7518	0.003759
2	-0.092382	-0.7784	0.219453
3	-0.06918	-0.5829	0.280897
4	-0.007429	-0.0626	0.47513
5	-0.099125	-0.8352	0.203191
6	-0.131686	-1.1096	0.135457
7	-0.081387	-0.6858	0.247544
8	0.184831	1.5574	0.061909
9	0.066823	0.5631	0.287585
10	-0.080964	-0.6822	0.248662
11	0.021122	0.178	0.429623
12	0.203478	1.7145	0.045396
13	-0.078955	-0.6653	0.254012
14	-0.180589	-1.5217	0.066267
15	-0.132168	-1.1137	0.134589
16	-0.166606	-1.4038	0.082361
17	-0.078762	-0.6637	0.254529
18	-0.050472	-0.4253	0.335957
19	0.097638	0.8227	0.206712
20	0.20215	1.7033	0.046439
21	-0.035553	-0.2996	0.382689
22	-0.133011	-1.1208	0.133081
23	-0.070258	-0.592	0.277865
24	-0.147712	-1.2446	0.108678
25	-0.112949	-0.9517	0.172232
26	-0.012158	-0.1024	0.459346
27	0.092517	0.7796	0.219119
28	0.041832	0.3525	0.362762
29	0.018006	0.1517	0.439919
30	-0.026079	-0.2197	0.41335
31	0.064027	0.5395	0.295615
32	0.035898	0.3025	0.381586
33	-0.038384	-0.3234	0.37366
34	-0.006083	-0.0513	0.479633
35	0.053078	0.4472	0.32803
36	-0.029263	-0.2466	0.402973
37	-0.003764	-0.0317	0.487394
38	0.002644	0.0223	0.491145
39	0.048767	0.4109	0.341185
40	0.015459	0.1303	0.448364
41	-0.066627	-0.5614	0.288143
42	-0.069282	-0.5838	0.280608
43	-0.052973	-0.4464	0.328348
44	-0.0208	-0.1753	0.430687
45	0.035973	0.3031	0.381345
46	0.040958	0.3451	0.365513
47	0.001924	0.0162	0.493554
48	0.022865	0.1927	0.423885

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.326575	2.7518	0.003759
2	-0.222795	-1.8773	0.032293
3	0.047668	0.4017	0.34457
4	-0.020042	-0.1689	0.433188
5	-0.119789	-1.0094	0.158115
6	-0.059116	-0.4981	0.309971
7	-0.048609	-0.4096	0.34167
8	0.232659	1.9604	0.026936
9	-0.138086	-1.1635	0.124254
10	-0.013893	-0.1171	0.453569
11	0.079967	0.6738	0.25131
12	0.146876	1.2376	0.109971
13	-0.237557	-2.0017	0.02457
14	0.010505	0.0885	0.464859
15	-0.073459	-0.619	0.268956
16	-0.247269	-2.0835	0.020402
17	0.099174	0.8357	0.203077
18	-0.092044	-0.7756	0.220287
19	0.181526	1.5296	0.065284
20	-0.081231	-0.6845	0.247956
21	-0.083772	-0.7059	0.241287
22	0.004527	0.0381	0.484839
23	-0.142659	-1.2021	0.116666
24	-0.119147	-1.0039	0.159407
25	0.050756	0.4277	0.33509
26	0.023046	0.1942	0.42329
27	0.004626	0.039	0.48451
28	-0.02641	-0.2225	0.41227
29	-0.016318	-0.1375	0.445512
30	-0.04964	-0.4183	0.338506
31	-0.027507	-0.2318	0.408687
32	-0.037224	-0.3137	0.37735
33	0.100165	0.844	0.200751
34	-0.043055	-0.3628	0.358919
35	0.053246	0.4487	0.327522
36	0.033014	0.2782	0.39084
37	-0.095788	-0.8071	0.211145
38	-0.031034	-0.2615	0.397233
39	-0.08212	-0.692	0.24561
40	-0.01304	-0.1099	0.456409
41	-0.064762	-0.5457	0.293493
42	-0.007687	-0.0648	0.47427
43	-0.060721	-0.5116	0.305245
44	0.067412	0.568	0.285907
45	-0.037005	-0.3118	0.378049
46	-0.06971	-0.5874	0.279403
47	-0.023582	-0.1987	0.421529
48	0.003442	0.029	0.488471

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067245tsz2fusrffddre7/1azle1242067218.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067245tsz2fusrffddre7/1azle1242067218.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067245tsz2fusrffddre7/2ekx41242067218.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/11/t1242067245tsz2fusrffddre7/2ekx41242067218.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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

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 (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='lags',ylab='ACF')

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