Home » date » 2010 » Dec » 06 »

Autocorrelatie Bloem

*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: Mon, 06 Dec 2010 13:14:29 +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/06/t1291641150a3nvc0qlcd347ar.htm/, Retrieved Mon, 06 Dec 2010 14:12:32 +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/06/t1291641150a3nvc0qlcd347ar.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 «

0.81 0.81 0.81 0.79 0.78 0.78 0.77 0.78 0.77 0.78 0.79 0.79 0.79 0.79 0.79 0.8 0.8 0.8 0.8 0.81 0.8 0.82 0.85 0.85 0.86 0.85 0.83 0.81 0.82 0.82 0.78 0.78 0.73 0.68 0.65 0.62 0.6 0.6 0.59 0.6 0.6 0.6 0.59 0.58 0.56 0.55 0.54 0.55 0.55 0.54 0.54 0.54 0.53 0.53 0.53 0.53

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	0.963291	7.2086	0
2	0.918041	6.87	0
3	0.865037	6.4733	0
4	0.807489	6.0427	0
5	0.751387	5.6229	0
6	0.693314	5.1883	2e-06
7	0.633167	4.7382	8e-06
8	0.571123	4.2739	3.8e-05
9	0.508582	3.8059	0.000176
10	0.440521	3.2966	0.000851
11	0.371878	2.7829	0.003666
12	0.306887	2.2965	0.012704
13	0.245782	1.8393	0.03559
14	0.18754	1.4034	0.083006
15	0.132161	0.989	0.163458
16	0.075965	0.5685	0.285994
17	0.019638	0.147	0.441847
18	-0.039289	-0.294	0.384917
19	-0.095616	-0.7155	0.238628
20	-0.154074	-1.153	0.126907
21	-0.205596	-1.5385	0.064775
22	-0.251212	-1.8799	0.032664
23	-0.293713	-2.1979	0.016052
24	-0.322818	-2.4157	0.009495
25	-0.34171	-2.5571	0.006645
26	-0.35834	-2.6816	0.004805
27	-0.363725	-2.7219	0.004318
28	-0.367214	-2.748	0.004027
29	-0.374776	-2.8046	0.003457
30	-0.379635	-2.8409	0.003131
31	-0.376027	-2.8139	0.00337
32	-0.370608	-2.7734	0.003761
33	-0.362259	-2.7109	0.004446
34	-0.3472	-2.5982	0.005977
35	-0.334862	-2.5059	0.007574
36	-0.322909	-2.4164	0.009479
37	-0.305671	-2.2874	0.012985
38	-0.29064	-2.1749	0.016937
39	-0.274791	-2.0564	0.02221
40	-0.260417	-1.9488	0.028169
41	-0.246699	-1.8461	0.035081
42	-0.235976	-1.7659	0.041433
43	-0.224042	-1.6766	0.0496
44	-0.210897	-1.5782	0.060075
45	-0.194936	-1.4588	0.075108
46	-0.177633	-1.3293	0.094573
47	-0.161719	-1.2102	0.115644
48	-0.149484	-1.1186	0.134035
49	-0.135044	-1.0106	0.158283
50	-0.121861	-0.9119	0.182858
51	-0.106342	-0.7958	0.214758
52	-0.090822	-0.6796	0.249764
53	-0.071622	-0.536	0.29705
54	-0.047748	-0.3573	0.3611
55	-0.023874	-0.1787	0.429426
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.963291	7.2086	0
2	-0.137222	-1.0269	0.154447
3	-0.119786	-0.8964	0.186939
4	-0.072061	-0.5393	0.295925
5	0.008788	0.0658	0.473901
6	-0.056587	-0.4235	0.336791
7	-0.062862	-0.4704	0.319942
8	-0.058054	-0.4344	0.332822
9	-0.034125	-0.2554	0.399687
10	-0.116999	-0.8755	0.19251
11	-0.042776	-0.3201	0.375041
12	0.01555	0.1164	0.453891
13	0.005481	0.041	0.483714
14	-0.032428	-0.2427	0.404576
15	-0.024244	-0.1814	0.428344
16	-0.069064	-0.5168	0.303655
17	-0.055403	-0.4146	0.34001
18	-0.097461	-0.7293	0.23442
19	-0.011171	-0.0836	0.466839
20	-0.099315	-0.7432	0.230233
21	0.027594	0.2065	0.418577
22	-0.00363	-0.0272	0.489213
23	-0.037161	-0.2781	0.390986
24	0.109663	0.8206	0.207665
25	0.077721	0.5816	0.281582
26	-0.058172	-0.4353	0.332501
27	0.095242	0.7127	0.239487
28	-0.044942	-0.3363	0.368946
29	-0.126923	-0.9498	0.173147
30	-0.030675	-0.2296	0.409639
31	0.085099	0.6368	0.263418
32	-0.039565	-0.2961	0.384132
33	-0.034036	-0.2547	0.399942
34	0.051283	0.3838	0.351301
35	-0.047579	-0.356	0.361571
36	-0.050134	-0.3752	0.354477
37	0.081682	0.6113	0.271753
38	-0.042798	-0.3203	0.374979
39	-0.024138	-0.1806	0.428654
40	-0.084041	-0.6289	0.265983
41	-0.046241	-0.346	0.365305
42	-0.078242	-0.5855	0.280278
43	-0.00592	-0.0443	0.48241
44	0.008074	0.0604	0.476018
45	0.078587	0.5881	0.279418
46	-0.022769	-0.1704	0.432661
47	-0.003303	-0.0247	0.490183
48	-0.031835	-0.2382	0.406287
49	0.040321	0.3017	0.381987
50	-0.019339	-0.1447	0.442725
51	0.066294	0.4961	0.310882
52	-0.061434	-0.4597	0.323746
53	0.034737	0.2599	0.397928
54	0.083962	0.6283	0.266176
55	-0.000758	-0.0057	0.497748
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641150a3nvc0qlcd347ar/14yqb1291641266.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641150a3nvc0qlcd347ar/14yqb1291641266.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641150a3nvc0qlcd347ar/24yqb1291641266.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/06/t1291641150a3nvc0qlcd347ar/24yqb1291641266.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

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