autocorrelatie-Inschrijvingen nieuwe personenwagen (eigen reeks)-Ling Weng

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 11 Apr 2011 19:03:11 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla.htm/, Retrieved Mon, 11 Apr 2011 21:01:38 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

26281 23899 25727 30733 28599 16723 43738 45272 46532 41032 37967 35366 33892 21560 26588 33527 24859 17952 45504 40129 40357 41913 33730 37842 33025 24050 30429 34507 25189 20253 48527 44446 46380 48950 38883 42928 37107 30186 32602 39892 32194 21629 59968 45694 55756 48554 41052 49822 39191 31994 35735 38930 33658 23849 58972 59249 63955 53785 52760 44795 37348 32370 32717 40974 33591 21124 58608 46865 51378 46235 47206 45382 41227 33795 31295 42625 33625 21538 56421 53152 53536 52408 41454 38271 35306 26414 31917 38030 27534 18387

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' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.437531 4.1508 3.8e-05 2 0.236584 2.2444 0.013628 3 0.181795 1.7247 0.044011 4 -0.025761 -0.2444 0.403744 5 -0.205032 -1.9451 0.027442 6 -0.305198 -2.8954 0.002376 7 -0.235993 -2.2388 0.013816 8 -0.061794 -0.5862 0.279593 9 0.104723 0.9935 0.161567 10 0.123946 1.1759 0.121377 11 0.309828 2.9393 0.00209 12 0.76628 7.2696 0 13 0.30757 2.9179 0.002225 14 0.154875 1.4693 0.072623 15 0.106738 1.0126 0.156981 16 -0.048502 -0.4601 0.323265 17 -0.224695 -2.1316 0.01788 18 -0.320523 -3.0407 0.001545 19 -0.240432 -2.2809 0.012456 20 -0.113483 -1.0766 0.14227 21 0.041379 0.3926 0.347789 22 0.071623 0.6795 0.24929 23 0.229787 2.1799 0.015936 24 0.616309 5.8468 0 25 0.228629 2.169 0.016361 26 0.069691 0.6611 0.255103 27 0.00265 0.0251 0.490001 28 -0.113305 -1.0749 0.142646 29 -0.280469 -2.6608 0.004616 30 -0.36001 -3.4154 0.000479 31 -0.279873 -2.6551 0.004688 32 -0.192797 -1.829 0.035353 33 -0.067771 -0.6429 0.26095 34 -0.040429 -0.3835 0.351112 35 0.081093 0.7693 0.221861 36 0.406204 3.8536 0.000109 37 0.111818 1.0608 0.14581 38 -0.021741 -0.2063 0.418528 39 -0.051809 -0.4915 0.312135 40 -0.124133 -1.1776 0.121025 41 -0.280517 -2.6612 0.00461 42 -0.329593 -3.1268 0.00119 43 -0.253535 -2.4052 0.009104 44 -0.189967 -1.8022 0.037432 45 -0.070628 -0.67 0.252274 46 -0.049464 -0.4693 0.320011 47 0.043614 0.4138 0.340017 48 0.30134 2.8588 0.002642 49 0.081235 0.7707 0.221464 50 -0.040511 -0.3843 0.350824 51 -0.053813 -0.5105 0.305472 52 -0.111839 -1.061 0.145766 53 -0.240555 -2.2821 0.01242 54 -0.254818 -2.4174 0.008824 55 -0.212286 -2.0139 0.023502 56 -0.154769 -1.4683 0.072759 57 -0.057008 -0.5408 0.294982 58 -0.047845 -0.4539 0.325498 59 0.034721 0.3294 0.371312 60 0.216374 2.0527 0.021503 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.437531 4.1508 3.8e-05 2 0.05584 0.5297 0.298796 3 0.073978 0.7018 0.242301 4 -0.172719 -1.6386 0.052399 5 -0.203416 -1.9298 0.028392 6 -0.190773 -1.8098 0.03683 7 0.015851 0.1504 0.440403 8 0.184887 1.754 0.041418 9 0.228217 2.1651 0.016514 10 -0.00119 -0.0113 0.49551 11 0.151869 1.4408 0.076562 12 0.680702 6.4577 0 13 -0.431847 -4.0969 4.6e-05 14 -0.122825 -1.1652 0.123505 15 -0.07326 -0.695 0.244422 16 0.119466 1.1334 0.130038 17 -0.086512 -0.8207 0.206985 18 0.010438 0.099 0.460672 19 0.059475 0.5642 0.287001 20 -0.135894 -1.2892 0.100315 21 0.032957 0.3127 0.377633 22 0.108846 1.0326 0.152278 23 -0.014905 -0.1414 0.443936 24 -0.010256 -0.0973 0.461352 25 -0.052983 -0.5026 0.308221 26 -0.128991 -1.2237 0.112126 27 -0.153053 -1.452 0.07499 28 0.033125 0.3142 0.37703 29 0.041655 0.3952 0.346825 30 -0.036429 -0.3456 0.365226 31 -0.07539 -0.7152 0.238166 32 -0.080129 -0.7602 0.22457 33 -0.160526 -1.5229 0.065647 34 -0.072045 -0.6835 0.248031 35 -0.060423 -0.5732 0.28396 36 -0.06912 -0.6557 0.256835 37 -0.005167 -0.049 0.480506 38 -0.012573 -0.1193 0.452659 39 0.072231 0.6852 0.247477 40 -0.050051 -0.4748 0.318031 41 -0.026636 -0.2527 0.400541 42 0.030068 0.2853 0.388053 43 -0.016154 -0.1533 0.439271 44 0.012029 0.1141 0.454701 45 0.044667 0.4237 0.336382 46 0.001364 0.0129 0.494852 47 -0.034668 -0.3289 0.371503 48 -0.046839 -0.4444 0.328928 49 0.107874 1.0234 0.154435 50 0.020042 0.1901 0.424816 51 0.034689 0.3291 0.371425 52 -0.042542 -0.4036 0.343736 53 0.020857 0.1979 0.421799 54 0.028583 0.2712 0.393444 55 -0.077811 -0.7382 0.231162 56 0.077863 0.7387 0.231013 57 -0.008368 -0.0794 0.468449 58 -0.025647 -0.2433 0.404159 59 0.015346 0.1456 0.442288 60 -0.087876 -0.8337 0.203339

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla/1owfx1302548590.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla/1owfx1302548590.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla/2dbvh1302548590.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla/2dbvh1302548590.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla/37vkf1302548590.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302548495hc24lvzz0u92bla/37vkf1302548590.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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 (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')

Copyright

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.

Privacy Policy

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