search for: autocorrelation

Displaying 20 results from an estimated 458 matches for "autocorrelation".

2011 Mar 16
1
Autocorrelation in linear models
I have been reading about autocorrelation in linear models over the last couple of days, and I have to say the more I read, the more confused I get. Beyond confusion lies enlightenment, so I'm tempted to ask R-Help for guidance. Most authors are mainly worried about autocorrelation in the residuals, but some authors are also worri...
2009 Aug 24
1
lme, lmer, gls, and spatial autocorrelation
Hello folks, I have some data where spatial autocorrelation seems to be a serious problem, and I'm unclear on how to deal with it in R. I've tried to do my homework - read through 'The R Book,' use the online help in R, search the internet, etc. - and I still have some unanswered questions. I'd greatly appreciate any help you could offer...
2005 Feb 10
2
correcting for autocorrelation in models with panel data?
...US states over about 25 years, and I would like to test a simple model via OLS, using this data. I know how to run OLS in R, and I think I can see how to create Panel Corrected Standard Errors using http://jackman.stanford.edu/classes/350C/pcse.r What I can't figure out is how to correct for autocorrelation over time. I have found a lot of R stuff on time series models but they all seem focused on predicting a single variable from its previous values. Can anyone explain to me how to detect and get round autocorrelation? Is there a package for panel data that I have missed? I appreciate that this is p...
2007 Oct 22
3
Spatial autocorrelation
Hi, I have collected data on trees from 5 forest plots located within the same landscape. Data within the plots are spatially autocorrelated (calculated using Moran's I). I would like to do a ANCOVA type of analysis combining these five plots, but the assumption that there is no autocorrelation in the residuals is obviously violated. Does anyone have any ideas how to incorporate these spatial effects in my analysis? I have been reading up on autoregressive techniques, but I am not sure if it works with more than one plot. All help is greatly appreciated! Many thanks, Geertje van der Hei...
2009 Oct 06
1
Spatial Autocorrelation
Hello, I have a matrix with the distances among sites. And I have another matrix with the presence and absence of each species in each site. I would like to test the spatial autocorrelation among sites. I have tried to use the function gearymoran of the ade4 package, but error messages keep popping up. Do you know any function for me to test the spatial autocorrelation of my data? Thanks, Paulo Branco -- View this message in context: http://www.nabble.com/Spatial-Autocorrelation-t...
2008 Jul 06
1
Different Autocorrelation using R and other softwares
Dear All, Would like to ask the inconsistency in the autocorrelation from R with SPSS/Minitab. I have tried a dataset x with 20 data (1-20) and ask R to give the autocorrelation of different lags using the command < acf(x, lag.max=100, type = "correlation"), However while SPSS and Minitab give the same answers (0.85 for lag1), R gives 0.3688 which is mu...
2004 Aug 25
1
Newbie Question: Spatial Autocorrelation with R Tutorial?
Howdy All, I am looking for some good tutorials (books, websites, whatever) for calculating/testing for Spatial Autocorrelation using R. Specifically, I am wanting to test for autocorrelation of a number of variables measured at a set of discrete locations. Up to this point I have been exploring the "spdep" package and I can get "moran.test" to work, but I am concerned that somewhere along the line I m...
2008 Oct 08
0
partial autocorrelation plots ACF type=p
.... I want to see if the two variables are correlated but need to take into account the fact that they are a time series. I have been following an example from 'The R Book' where you plot the ACF: par(mfrow=c(1,1) acf(cbind(x,y)) and this appeared to work fine, producing four graphs for the autocorrelation of x,x y,y x,y and y,x. Then the next step in the example was to plot the partial autocorrelation: acf(cbind(x,y),type="p") When i do this however three of my graphs x,x y,y and y,x contain no data, the x,y graph contains data but has no lines of significance and all four of the graphs...
2010 Apr 29
1
a question on autocorrelation acf
Hi R users, where can I find the equations used by acf function to calculate autocorrelation? I think I misunderstand acf. Doesn't acf use following equation to calculate autocorrelation? [image: R(\tau) = \frac{\operatorname{E}[(X_t - \mu)(X_{t+\tau} - \mu)]}{\sigma^2}\, ,] If it does, then the autocorrelation of a sine function should give a cosine; however, the following code gives...
2012 Jan 09
1
Autocorrelation values? How to extract?
Hi, I am attempting to correct my models p-values due to temporal autocorrelations. It is not possible to model the correlation, so I have to make do with the p-value correction. I am feeling a bit thick here....I cannot get the autocorrelation values. What is the argument? My aim is to multiply the dependent variable autocorrelation with the independent variable autocorrela...
2004 Apr 26
2
Spatial Autocorrelation for point data
Hi R helpers, Is there a function (package?) in R available which tests "spatial autocorrelation" between points (e.g. vector layer of weather stations)? (e.g. Moran's I...) Via the archives we found out that there is a package 'spdep' which uses grid data for testing spatial autocorrelation. Thanks a lot, Jan _______________________________________________________________...
2012 Sep 27
2
Generating an autocorrelated binary variable
Hi R-fellows, I am trying to simulate a multivariate correlated sample via the Gaussian copula method. One variable is a binary variable, that should be autocorrelated. The autocorrelation should be rho = 0.2. Furthermore, the overall probability to get either outcome of the binary variable should be 0.5. Below you can see the R code (I use for simplicity a diagonal matrix in rmvnorm even if it produces no correlated sample): "sampleCop" <- function(n = 1000, rho = 0....
2007 May 14
1
a question about spatial autocorrelation in R
Dear all, I am currently facing a problem related to the spatial autocorrelation of a sample of stations; these stations supply weekly data for a fixed time-window during the year (namely, 4-6 months per year). For this reason I'm trying to use the R package 'spdep' (specifically Moran's I) in order to get rid of it. Does anyone know how is it possible (if...
2003 Jan 06
2
Removing autocorrelations
Could anyone tell me whether there is an R function for removing autocorrelations from a series of observations before performing a linear or nonlinear regression analysis on them? Many thanks, Andrew Wilson
2010 Dec 27
0
Heteroskedasticity and autocorrelation of residuals
Hello everyone, I'm working on a current linear model Y = a0 + a1* X1 + ... + a7*X7 + residuals. And I know that this model presents both heteroskedasticity (tried Breusch-Pagan test and White test) and residuals autocorrelation (using Durbin Watson test). Ultimately, this model being meant to be used for predictions, I would like to be able to remove this heteroskedasticity and residuals autocorrelation. What I've done until now : - I've used the sandwich package (function vcovHAC) with the coeftest function and...
2009 Aug 25
1
Autocorrelation and t-tests
...autocorrelated. I have come across several possible solutions (including Cliff & Ord which however appears to be for gridded data), or using gls. However, they don't quite fit the bill (I think). Ideally it would simply be a modified t-test which somehow 'takes care' of the spatial autocorrelation, and it would be perfect (perhaps asking too much!) if it were a function/package in R. I could also take the differences between the two sets and test whether they are significantly different to 0 or not. I get the impression that this issue must have come up again and again, so I am hoping someon...
2005 Oct 31
2
How can I test temporal autocorrelation of binary data?
Hi, I have a binary (o/1 - coded) data set and want to test it's autocorrelation structure. Is that function implemented in R? Can I use the ACF - funtion with binary data? Thanks for your help, Daniel
2011 Sep 16
3
question concerning the acf function
Hi everyone, I've got a question concerning the function acf(.) in R for calculating the autocorrelation in my data. I have a table with daily returns of several stocks over time and I would like to calculate the autocorrelation for all the series (not only for one time series). How can I do this? After that I want to apply an autoregressive model based on the estimated lag in the data and finall...
2008 Aug 14
1
autocorrelation in gams
Hi, I am looking at the effects of two explanatory variables on chlorophyll. The data are an annual time-series (so are autocorrelated) and the relationships are non-linear. I want to account for autocorrelation in my model. The model I am trying to use is this: Library(mgcv) gam1 <-gam(Chl~s(wintersecchi)+s(SST),family=gaussian, na.action=na.omit, correlation=corAR1(form =~ Year)) the result I get is this: Family: gaussian Link function: identity Formula: CPRChl ~ s(winte...
2010 Apr 17
2
interpreting acf plot
...h the given data, according to what I found here: http://landshape.org/enm/options-for-acf-in-r/ this test data does not look IID but rather shows some trends so how can I then prove that it is not autocorrelated? maybe the trends are ok? I have bought several titles on R but none really explains autocorrelation or how to interpret the acf function ... the integrated help is also a bit dry. These are the books I have on R: - Introductory Statistics with R (Springer) - A handbook of Statistical Analyses using R (CRC) - R in a Nutshell (Oreilly) - Statistical Computing with R (CRC) Thanks in advance, Best r...