Home » date » 2010 » Dec » 27 »

Paper Statistiek

*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, 27 Dec 2010 19:12:29 +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/27/t1293477064rfxyfa9yhbzkhfc.htm/, Retrieved Mon, 27 Dec 2010 20:11:07 +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/27/t1293477064rfxyfa9yhbzkhfc.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:

Partial Autocorrelation Function d=1 & D=0 - Handelsbalans België (1995-2009)

Dataseries X:

» Textbox « » Textfile « » CSV «

2540,9 2370,3 1807,5 1834,8 786,8 1561,4 1347,2 1549,8 1553,8 1822,5 3078,7 1589,1 1791,5 2558,1 2111,8 2083,1 2052,1 2243,5 2622 1952,6 808,9 1709,8 1582,1 865,6 1116,1 1119,4 2350 1975,6 2536,5 2785 2819,7 1829,5 758,3 2921,6 2482 1892,7 1855,1 2151,3 1642,2 1640,5 1366,1 1532,8 824,4 -518,7 -978,5 1162,5 1243,4 1199,5 883,1 1437,2 534,5 -1901,9 -2521,1 -1721,1 -3094,5 -3694,8 -2492,1 -464,6 -626,1 -1711,4

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	4 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.046806	-0.3595	0.360245
2	-0.332842	-2.5566	0.006582
3	0.006136	0.0471	0.481283
4	0.199125	1.5295	0.065741
5	-0.108373	-0.8324	0.204261
6	-0.442678	-3.4003	0.000606
7	0.034427	0.2644	0.396183
8	0.313767	2.4101	0.009543
9	-0.013326	-0.1024	0.459409
10	-0.258054	-1.9822	0.026063
11	0.141163	1.0843	0.141323
12	0.391274	3.0054	0.001945
13	-0.14017	-1.0767	0.143006
14	-0.289692	-2.2252	0.014953
15	-0.045815	-0.3519	0.363079
16	0.238986	1.8357	0.035722
17	-0.070245	-0.5396	0.295766
18	-0.164389	-1.2627	0.105833
19	0.098339	0.7554	0.22652
20	0.232317	1.7845	0.039745
21	-0.015713	-0.1207	0.452172
22	-0.308023	-2.366	0.010643
23	0.185847	1.4275	0.079351
24	0.16028	1.2311	0.111579
25	-0.218964	-1.6819	0.048938
26	-0.222677	-1.7104	0.046221
27	0.075884	0.5829	0.281098
28	0.140763	1.0812	0.141999
29	-0.050514	-0.388	0.349704
30	-0.068725	-0.5279	0.29978
31	0.103182	0.7926	0.215606
32	0.154206	1.1845	0.120487
33	-0.129517	-0.9948	0.161938
34	-0.122092	-0.9378	0.176084
35	0.084089	0.6459	0.260424
36	0.071635	0.5502	0.292117
37	-0.076277	-0.5859	0.280092
38	-0.104505	-0.8027	0.21268
39	0.075373	0.5789	0.282414
40	0.160458	1.2325	0.111325
41	-0.114712	-0.8811	0.190914
42	-0.083462	-0.6411	0.261974
43	0.026037	0.2	0.421085
44	0.030072	0.231	0.409062
45	-0.072443	-0.5564	0.290006
46	-0.071163	-0.5466	0.293353
47	0.091573	0.7034	0.242292
48	0.080762	0.6203	0.268711

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.046806	-0.3595	0.360245
2	-0.335768	-2.5791	0.00621
3	-0.034326	-0.2637	0.39648
4	0.09669	0.7427	0.230307
5	-0.110653	-0.8499	0.199396
6	-0.419554	-3.2227	0.001035
7	-0.125446	-0.9636	0.169598
8	0.061451	0.472	0.319328
9	0.002357	0.0181	0.492808
10	-0.157749	-1.2117	0.11523
11	0.021143	0.1624	0.435771
12	0.195569	1.5022	0.06919
13	-0.036933	-0.2837	0.388822
14	-0.048788	-0.3748	0.354595
15	-0.177379	-1.3625	0.089113
16	0.023989	0.1843	0.427219
17	0.035856	0.2754	0.391979
18	0.146904	1.1284	0.13186
19	-0.017244	-0.1325	0.447538
20	0.002327	0.0179	0.4929
21	0.035294	0.2711	0.393631
22	-0.12267	-0.9422	0.174955
23	0.179037	1.3752	0.087133
24	0.007347	0.0564	0.477592
25	-0.119524	-0.9181	0.181158
26	-0.104807	-0.805	0.212016
27	-0.013521	-0.1039	0.458817
28	-0.153235	-1.177	0.121957
29	0.024089	0.185	0.426919
30	-0.005577	-0.0428	0.482988
31	-0.08718	-0.6696	0.25285
32	-0.040353	-0.31	0.378843
33	-0.027218	-0.2091	0.417558
34	0.001842	0.0141	0.49438
35	-0.110672	-0.8501	0.199357
36	0.027681	0.2126	0.416177
37	0.019317	0.1484	0.441276
38	0.048919	0.3758	0.354225
39	-0.049467	-0.38	0.352667
40	0.109986	0.8448	0.200813
41	-0.169308	-1.3005	0.099247
42	0.015735	0.1209	0.452105
43	-0.046309	-0.3557	0.361664
44	-0.094434	-0.7254	0.23555
45	0.037846	0.2907	0.386149
46	-0.033815	-0.2597	0.397984
47	-0.069642	-0.5349	0.297353
48	-0.069617	-0.5347	0.29742

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293477064rfxyfa9yhbzkhfc/1yedf1293477144.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293477064rfxyfa9yhbzkhfc/1yedf1293477144.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293477064rfxyfa9yhbzkhfc/295u01293477144.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293477064rfxyfa9yhbzkhfc/295u01293477144.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293477064rfxyfa9yhbzkhfc/32eul1293477144.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/27/t1293477064rfxyfa9yhbzkhfc/32eul1293477144.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 4 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 4 ; 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