Home » date » 2010 » Jul » 02 »

part autocorrelatie

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 02 Jul 2010 17:27:53 +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/Jul/02/t1278091727dr9bxtc00k40l4t.htm/, Retrieved Fri, 02 Jul 2010 19:28:49 +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/2010/Jul/02/t1278091727dr9bxtc00k40l4t.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:

thomas talboom

Dataseries X:

» Textbox « » Textfile « » CSV «

68 67 66 64 84 83 68 58 59 59 60 62 58 58 59 62 87 83 68 58 68 63 65 68 62 69 74 72 94 102 92 81 99 95 92 93 85 92 99 107 125 137 125 115 135 128 120 123 119 128 139 155 164 176 162 155 174 171 162 160 156 163 180 195 203 212 203 184 200 198 195 177 176 180 194 204 206 219 213 196 214 209 213 194 197 211 240 251 254 273 271 245 264 264 262 237 237 251 272 282 278 291 293 271 284 290 288 262 263 275 297 301 296 309 310 292 300 314 310 288

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	0.916384	9.5233	0
2	0.840224	8.7319	0
3	0.764409	7.944	0
4	0.683936	7.1077	0
5	0.587324	6.1036	0
6	0.501817	5.215	0
7	0.413188	4.294	1.9e-05
8	0.30947	3.2161	0.000857
9	0.226209	2.3508	0.010273
10	0.137231	1.4262	0.078355
11	0.048807	0.5072	0.30652
12	-0.015238	-0.1584	0.437234
13	-0.084323	-0.8763	0.191402
14	-0.136907	-1.4228	0.07884
15	-0.165514	-1.7201	0.044142
16	-0.192583	-2.0014	0.02393
17	-0.226087	-2.3496	0.010306
18	-0.235864	-2.4512	0.007922
19	-0.22934	-2.3834	0.009451
20	-0.227294	-2.3621	0.009981
21	-0.211437	-2.1973	0.015067
22	-0.189798	-1.9724	0.025558
23	-0.169196	-1.7583	0.040762
24	-0.155185	-1.6127	0.054861
25	-0.152585	-1.5857	0.057865
26	-0.155929	-1.6205	0.054025
27	-0.142644	-1.4824	0.070573
28	-0.119428	-1.2411	0.108623
29	-0.10321	-1.0726	0.142923
30	-0.086488	-0.8988	0.185376
31	-0.068583	-0.7127	0.238773
32	-0.06826	-0.7094	0.23981
33	-0.051167	-0.5317	0.297998
34	-0.055884	-0.5808	0.281305
35	-0.055906	-0.581	0.281227
36	-0.063844	-0.6635	0.254216
37	-0.066426	-0.6903	0.245736
38	-0.076464	-0.7946	0.214282
39	-0.074244	-0.7716	0.221029
40	-0.05809	-0.6037	0.273659
41	-0.06505	-0.676	0.250237
42	-0.069164	-0.7188	0.236915
43	-0.069693	-0.7243	0.235231
44	-0.064634	-0.6717	0.251605
45	-0.0533	-0.5539	0.290394
46	-0.037045	-0.385	0.350502
47	-0.018281	-0.19	0.424841
48	-0.00989	-0.1028	0.459165

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.916384	9.5233	0
2	0.002898	0.0301	0.488014
3	-0.03734	-0.3881	0.349371
4	-0.071826	-0.7464	0.228512
5	-0.151594	-1.5754	0.059043
6	-0.000102	-0.0011	0.499579
7	-0.07177	-0.7459	0.228689
8	-0.155925	-1.6204	0.054029
9	0.051921	0.5396	0.2953
10	-0.108078	-1.1232	0.131926
11	-0.065849	-0.6843	0.247619
12	0.092712	0.9635	0.168725
13	-0.127542	-1.3255	0.093908
14	0.061984	0.6442	0.26042
15	0.101465	1.0545	0.147014
16	-0.094067	-0.9776	0.165235
17	-0.037827	-0.3931	0.347505
18	0.05799	0.6026	0.274004
19	0.01683	0.1749	0.430744
20	0.010848	0.1127	0.455225
21	0.012068	0.1254	0.450215
22	-0.022179	-0.2305	0.409075
23	0.023811	0.2474	0.402516
24	-0.088702	-0.9218	0.17934
25	-0.130892	-1.3603	0.088288
26	-0.029434	-0.3059	0.38014
27	0.071573	0.7438	0.229304
28	0.062667	0.6513	0.258132
29	0.019113	0.1986	0.421464
30	-0.022227	-0.231	0.408882
31	-0.008113	-0.0843	0.466481
32	-0.061728	-0.6415	0.261281
33	0.108606	1.1287	0.130771
34	-0.176764	-1.837	0.034481
35	0.032687	0.3397	0.367374
36	-0.023202	-0.2411	0.404958
37	-0.053579	-0.5568	0.289404
38	-1.4e-05	-1e-04	0.499941
39	0.052761	0.5483	0.292304
40	0.07651	0.7951	0.214146
41	-0.048032	-0.4992	0.309341
42	-0.06105	-0.6344	0.263565
43	-0.040536	-0.4213	0.337202
44	0.069221	0.7194	0.236736
45	0.043314	0.4501	0.326758
46	0.030457	0.3165	0.37611
47	0.031096	0.3232	0.3736
48	-0.04745	-0.4931	0.311464

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278091727dr9bxtc00k40l4t/1z3m51278091671.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278091727dr9bxtc00k40l4t/1z3m51278091671.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278091727dr9bxtc00k40l4t/2svl81278091671.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jul/02/t1278091727dr9bxtc00k40l4t/2svl81278091671.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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