Home » date » 2009 » Nov » 27 »

WS 8.2 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: Fri, 27 Nov 2009 13:13:42 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/27/t1259352927jhmwwnzowljs9nb.htm/, Retrieved Fri, 27 Nov 2009 21:15:29 +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/2009/Nov/27/t1259352927jhmwwnzowljs9nb.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 «

474605 470390 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500875 506971 569323 579714 577992 565644 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565724 557274 560576 548854 531673 525919 511038 498662 555362 564591 541667 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516441 528222 532638

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	0.895456	8.2557	0
2	0.745856	6.8765	0
3	0.62484	5.7607	0
4	0.551134	5.0812	1e-06
5	0.52418	4.8327	3e-06
6	0.511644	4.7171	5e-06
7	0.46826	4.3171	2.1e-05
8	0.4145	3.8215	0.000126
9	0.39683	3.6586	0.00022
10	0.419613	3.8686	0.000107
11	0.47428	4.3726	1.7e-05
12	0.489105	4.5093	1e-05
13	0.366159	3.3758	0.000556
14	0.210616	1.9418	0.027738
15	0.083693	0.7716	0.221242
16	0.00259	0.0239	0.490501
17	-0.03282	-0.3026	0.381471
18	-0.052475	-0.4838	0.314887
19	-0.090598	-0.8353	0.202953
20	-0.136311	-1.2567	0.106148
21	-0.152222	-1.4034	0.082068
22	-0.133401	-1.2299	0.111065
23	-0.092339	-0.8513	0.198492
24	-0.080122	-0.7387	0.231065
25	-0.171165	-1.5781	0.059133
26	-0.288104	-2.6562	0.004718
27	-0.381627	-3.5184	0.00035
28	-0.432042	-3.9832	7.1e-05
29	-0.44396	-4.0931	4.8e-05
30	-0.438668	-4.0443	5.7e-05
31	-0.440462	-4.0609	5.4e-05
32	-0.446034	-4.1122	4.5e-05
33	-0.423205	-3.9018	9.5e-05
34	-0.380163	-3.5049	0.000366
35	-0.323435	-2.9819	0.001868
36	-0.291622	-2.6886	0.004316
37	-0.344474	-3.1759	0.001041
38	-0.415824	-3.8337	0.000121
39	-0.462853	-4.2673	2.6e-05
40	-0.468891	-4.323	2.1e-05
41	-0.448335	-4.1334	4.2e-05
42	-0.41115	-3.7906	0.00014
43	-0.387043	-3.5684	0.000297
44	-0.36547	-3.3695	0.000567
45	-0.326307	-3.0084	0.001727
46	-0.275148	-2.5367	0.006508
47	-0.21196	-1.9542	0.026984
48	-0.16482	-1.5196	0.066166
49	-0.183658	-1.6932	0.047036
50	-0.217825	-2.0083	0.023896
51	-0.225967	-2.0833	0.020114
52	-0.202846	-1.8701	0.032453
53	-0.160441	-1.4792	0.071392
54	-0.104379	-0.9623	0.169307
55	-0.066214	-0.6105	0.271591
56	-0.033542	-0.3092	0.378946
57	0.002652	0.0244	0.490277
58	0.043455	0.4006	0.344848
59	0.094305	0.8694	0.193526
60	0.138113	1.2733	0.103184

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.895456	8.2557	0
2	-0.282528	-2.6048	0.005425
3	0.116569	1.0747	0.142771
4	0.106482	0.9817	0.164514
5	0.134588	1.2408	0.109039
6	0.015237	0.1405	0.444306
7	-0.127848	-1.1787	0.120903
8	0.05383	0.4963	0.310486
9	0.190061	1.7523	0.041666
10	0.120964	1.1152	0.133948
11	0.13953	1.2864	0.100897
12	-0.183695	-1.6936	0.047003
13	-0.594835	-5.4841	0
14	0.058456	0.5389	0.295671
15	-0.003899	-0.0359	0.485704
16	-0.0586	-0.5403	0.295212
17	-0.082156	-0.7574	0.225441
18	-0.101829	-0.9388	0.175242
19	0.094938	0.8753	0.191943
20	0.062703	0.5781	0.282364
21	-0.023898	-0.2203	0.413071
22	-0.031391	-0.2894	0.386487
23	-0.06921	-0.6381	0.262567
24	0.076975	0.7097	0.239924
25	-0.122531	-1.1297	0.130894
26	-0.057899	-0.5338	0.297436
27	-0.062516	-0.5764	0.282946
28	-0.022296	-0.2056	0.418815
29	-0.0299	-0.2757	0.391738
30	-0.040401	-0.3725	0.355231
31	0.013246	0.1221	0.451547
32	0.028966	0.2671	0.395036
33	0.045262	0.4173	0.338758
34	-0.077417	-0.7138	0.238668
35	-0.021193	-0.1954	0.422776
36	0.014662	0.1352	0.446397
37	-0.090001	-0.8298	0.204497
38	0.014726	0.1358	0.446163
39	-0.026808	-0.2472	0.402691
40	0.015824	0.1459	0.442178
41	-0.044173	-0.4073	0.342423
42	-0.006485	-0.0598	0.476232
43	-0.083825	-0.7728	0.220883
44	0.023433	0.216	0.414735
45	-0.064975	-0.599	0.27537
46	-0.031304	-0.2886	0.38679
47	0.01594	0.147	0.441754
48	0.047125	0.4345	0.332524
49	0.012207	0.1125	0.455328
50	-0.013809	-0.1273	0.449498
51	0.04375	0.4034	0.343849
52	0.010557	0.0973	0.461348
53	0.014531	0.134	0.446873
54	0.023013	0.2122	0.416242
55	-0.078357	-0.7224	0.236012
56	0.035951	0.3315	0.370559
57	-0.083531	-0.7701	0.221684
58	-0.005668	-0.0523	0.479225
59	-0.000132	-0.0012	0.499514
60	0.036799	0.3393	0.367621

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259352927jhmwwnzowljs9nb/1qrv61259352820.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259352927jhmwwnzowljs9nb/1qrv61259352820.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259352927jhmwwnzowljs9nb/2xlgb1259352820.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259352927jhmwwnzowljs9nb/2xlgb1259352820.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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 (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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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