Home » date » 2007 » Nov » 25 » attachments

Q2 Autocorrelation

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 25 Nov 2007 07:00:32 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/25/t1195998691q9gevch0ewk2f5n.htm/, Retrieved Sun, 25 Nov 2007 14:51:33 +0100
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
106.8 113.7 102.5 96.6 92.1 95.6 102.3 98.6 98.2 104.5 84 73.8 103.9 106 97.2 102.6 89 93.8 116.7 106.8 98.5 118.7 90 91.9 113.3 113.1 104.1 108.7 96.7 101 116.9 105.8 99 129.4 83 88.9 115.9 104.2 113.4 112.2 100.8 107.3 126.6 102.9 117.9 128.8 87.5 93.8 122.7 126.2 124.6 116.7 115.2 111.1 129.9 113.3 118.5 133.5 102.1 102.4
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
017.7460
10.2249491.74240.043277
2-0.003033-0.02350.509332
30.3690632.85870.00292
40.051520.39910.345628
50.1786961.38420.085716
60.5165844.00148.8e-05
70.1227430.95080.17277
80.0417130.32310.373869
90.2284691.76970.040928
10-0.219192-1.69790.952642
110.0335550.25990.39791
120.5681154.40062.3e-05
13-0.019376-0.15010.559398
14-0.129444-1.00270.839975
150.1240180.96060.170294
16-0.1507-1.16730.876149
17-0.011636-0.09010.535759
180.2280951.76680.041172
19-0.041284-0.31980.624878
20-0.048612-0.37660.646082
210.0648850.50260.308543
22-0.298111-2.30920.987803
23-0.005381-0.04170.516555
240.328462.54420.006772
25-0.081057-0.62790.733762
26-0.08571-0.66390.745352
270.0080490.06230.475247
28-0.186932-1.4480.923585
29-0.048605-0.37650.646062
300.0846130.65540.257356
31-0.07443-0.57650.716793
32-0.044952-0.34820.635543
33-0.08958-0.69390.754783
34-0.277354-2.14840.982135
35-0.084911-0.65770.743383
360.0774570.60.27539
37-0.132918-1.02960.84633
38-0.179468-1.39010.91519
39-0.136939-1.06070.853467
40-0.208262-1.61320.944024
41-0.146784-1.1370.869967
42-0.07782-0.60280.725542
43-0.121761-0.94320.825307
44-0.106934-0.82830.794611
45-0.151503-1.17350.877392
46-0.218727-1.69430.952299
47-0.113864-0.8820.809348
48-0.026906-0.20840.582193
49-0.055268-0.42810.664946
50-0.06263-0.48510.685324
51-0.045463-0.35220.637021
52-0.054054-0.41870.661534
53-0.029497-0.22850.589977
54-0.014409-0.11160.544248
550.0090260.06990.472245
560.0268790.20820.417887
571e-0600.499998
58-0.00315-0.02440.509694
59-0.000236-0.00180.500727


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.2249491.74240.043277
1-0.056494-0.43760.668375
20.4041683.13070.001347
3-0.171762-1.33050.905799
40.3483362.69820.00452
50.2907692.25230.013988
60.0083920.0650.474192
7-0.00972-0.07530.529882
8-0.037139-0.28770.612708
9-0.444147-3.44030.999468
100.1202420.93140.177692
110.385542.98640.002041
12-0.171027-1.32480.904864
13-0.107907-0.83580.796719
14-0.086541-0.67030.747394
150.1074470.83230.204275
16-0.061889-0.47940.683297
17-0.127533-0.98790.836408
180.0861560.66740.253551
19-0.042827-0.33170.629379
200.0300610.23290.408335
21-0.008918-0.06910.527421
220.162241.25670.106866
23-0.073937-0.57270.71551
240.0424370.32870.371757
250.0043270.03350.486687
26-0.116881-0.90540.815551
27-0.074381-0.57620.716666
28-0.0782-0.60570.726512
29-0.042066-0.32580.62716
30-0.006703-0.05190.520619
31-0.038502-0.29820.616724
32-0.087747-0.67970.750341
330.1583651.22670.112365
34-0.186255-1.44270.922851
350.0100990.07820.468955
36-0.065496-0.50730.693108
37-0.167046-1.29390.899677
380.0485140.37580.354201
39-0.031895-0.24710.597145
400.0415680.3220.374292
41-0.066688-0.51660.696321
42-0.001401-0.01090.504311
430.0461510.35750.360991
440.0657250.50910.306272
45-0.076861-0.59540.723079
46-0.041402-0.32070.625224
47-0.061997-0.48020.683594
480.054580.42280.336985
490.2086061.61590.055686
500.0288580.22350.411939
510.025570.19810.421832
520.0157290.12180.451717
530.0217590.16850.433361
54-0.143939-1.1150.865341
550.0014060.01090.495673
56-0.036784-0.28490.611659
570.0006090.00470.498125
580.0596640.46220.322822
59NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195998691q9gevch0ewk2f5n/1v8ad1195999228.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195998691q9gevch0ewk2f5n/1v8ad1195999228.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195998691q9gevch0ewk2f5n/2mcwa1195999228.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1195998691q9gevch0ewk2f5n/2mcwa1195999228.ps (open in new window)


 
Parameters:
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 





Copyright

Creative Commons License

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:

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