Home » date » 2010 » Dec » 04 »

Autocorrelatiefunctie: d = 1 uitvoer

*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: Sat, 04 Dec 2010 08:39:11 +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/04/t12914519186gkoyusmukakyp4.htm/, Retrieved Sat, 04 Dec 2010 09:38:40 +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/04/t12914519186gkoyusmukakyp4.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 «

16198.9 16554.2 19554.2 15903.8 18003.8 18329.6 16260.7 14851.9 18174.1 18406.6 18466.5 16016.5 17428.5 17167.2 19630.00 17183.6 18344.7 19301.4 18147.5 16192.9 18374.4 20515.2 18957.2 16471.5 18746.8 19009.5 19211.2 20547.7 19325.8 20605.5 20056.9 16141.4 20359.8 19711.6 15638.6 14384.5 13855.6 14308.3 15290.6 14423.8 13779.7 15686.3 14733.8 12522.5 16189.4 16059.1 16007.1 15806.8 15160.00 15692.1 18908.9 16969.9 16997.5 19858.9 17681.2

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.325215	-2.3898	0.010188
2	-0.29941	-2.2002	0.016045
3	0.189482	1.3924	0.084754
4	0.082393	0.6055	0.273704
5	-0.091794	-0.6745	0.25142
6	0.117879	0.8662	0.195099
7	-0.224925	-1.6529	0.052082
8	0.239174	1.7576	0.042245
9	0.053815	0.3955	0.347031
10	-0.351998	-2.5866	0.00621
11	-0.085387	-0.6275	0.266499
12	0.501671	3.6865	0.000264
13	-0.156633	-1.151	0.1274
14	-0.214992	-1.5799	0.059989
15	0.026094	0.1918	0.424329
16	0.077626	0.5704	0.285376
17	-0.007465	-0.0549	0.478227
18	-0.012191	-0.0896	0.464474
19	-0.136915	-1.0061	0.159424
20	0.220405	1.6196	0.055568
21	-0.038796	-0.2851	0.388333
22	-0.211882	-1.557	0.062655
23	0.053187	0.3908	0.348726
24	0.180149	1.3238	0.09557
25	0.022987	0.1689	0.433244
26	-0.158241	-1.1628	0.125006
27	-0.054915	-0.4035	0.344071
28	0.188081	1.3821	0.086315
29	-0.08112	-0.5961	0.276798
30	0.011122	0.0817	0.467582
31	-0.031963	-0.2349	0.407596
32	0.043948	0.323	0.373989
33	0.029325	0.2155	0.415097
34	-0.087247	-0.6411	0.262074
35	-0.104456	-0.7676	0.223037
36	0.194946	1.4326	0.078874
37	0.002299	0.0169	0.493291
38	-0.123786	-0.9096	0.183528
39	0.032742	0.2406	0.405387
40	0.051616	0.3793	0.352977
41	-0.060667	-0.4458	0.328758
42	0.054326	0.3992	0.345657
43	-0.030297	-0.2226	0.412329
44	-0.019724	-0.1449	0.442649
45	0.081752	0.6008	0.275259
46	-0.04505	-0.3311	0.370944
47	-0.08428	-0.6193	0.269153
48	0.108865	0.8	0.213611

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.325215	-2.3898	0.010188
2	-0.453097	-3.3296	0.000786
3	-0.13982	-1.0275	0.154391
4	-0.024364	-0.179	0.429288
5	-0.000407	-0.003	0.498812
6	0.192016	1.411	0.081987
7	-0.180294	-1.3249	0.095394
8	0.214533	1.5765	0.060377
9	0.113699	0.8355	0.203556
10	-0.216216	-1.5889	0.058966
11	-0.427999	-3.1451	0.001349
12	0.093546	0.6874	0.247379
13	0.16357	1.202	0.117307
14	0.027739	0.2038	0.419622
15	-0.104953	-0.7712	0.221962
16	-0.123194	-0.9053	0.184667
17	-0.077558	-0.5699	0.285543
18	-0.06239	-0.4585	0.324228
19	-0.038541	-0.2832	0.389046
20	-0.013736	-0.1009	0.459987
21	-0.149934	-1.1018	0.13772
22	-0.032091	-0.2358	0.407234
23	0.138409	1.0171	0.156823
24	-0.041384	-0.3041	0.381107
25	0.047191	0.3468	0.365053
26	-0.107889	-0.7928	0.215675
27	-0.053841	-0.3957	0.346961
28	0.076917	0.5652	0.287131
29	-0.124304	-0.9134	0.182535
30	0.090803	0.6673	0.253723
31	-0.085078	-0.6252	0.267239
32	-0.081856	-0.6015	0.275006
33	-0.004634	-0.0341	0.48648
34	0.023821	0.175	0.430849
35	-0.125984	-0.9258	0.179338
36	-0.139408	-1.0244	0.155098
37	-0.087076	-0.6399	0.26248
38	0.017645	0.1297	0.448657
39	0.16709	1.2279	0.112414
40	0.000569	0.0042	0.498339
41	-0.046653	-0.3428	0.36653
42	-0.126904	-0.9325	0.177603
43	-0.025761	-0.1893	0.425283
44	0.013372	0.0983	0.461043
45	-0.059733	-0.4389	0.331225
46	-0.054533	-0.4007	0.345097
47	0.019335	0.1421	0.443773
48	-0.021519	-0.1581	0.437471

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/04/t12914519186gkoyusmukakyp4/1q7fw1291451949.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t12914519186gkoyusmukakyp4/1q7fw1291451949.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t12914519186gkoyusmukakyp4/2q7fw1291451949.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t12914519186gkoyusmukakyp4/2q7fw1291451949.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 1 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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