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 07:25:33 -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/t1196000294p1wbx6j2qc14vse.htm/, Retrieved Sun, 25 Nov 2007 15:18:14 +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'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
016.92820
10.0938190.650.259397
20.1740141.20560.11694
30.3042522.10790.020142
4-0.017648-0.12230.548402
50.078810.5460.293793
60.0762140.5280.299958
7-0.241365-1.67220.949506
80.0105120.07280.471123
9-0.118087-0.81810.791338
10-0.16855-1.16770.875661
11-0.050764-0.35170.636699
12-0.28617-1.98260.973427
13-0.218581-1.51440.931755
14-0.103457-0.71680.761505
15-0.126216-0.87450.806887
16-0.099569-0.68980.753191
170.0503230.34860.36444
18-0.03327-0.23050.590658
190.0203560.1410.444218
200.084240.58360.2811
210.1307090.90560.184841
220.0206110.14280.443524
230.1691431.17190.12352
24-0.010816-0.07490.529712
250.0629260.4360.332409
260.1721271.19250.119458
27-0.006016-0.04170.516536
28-0.018372-0.12730.550377
290.0749030.51890.303093
30-0.012222-0.08470.533565
310.0893520.61910.269405
32-0.042947-0.29750.616334
33-0.062255-0.43130.665914
340.0590040.40880.342254
35-0.086231-0.59740.723484
36-0.127175-0.88110.808671
37-0.021624-0.14980.559232
38-0.094996-0.65810.743207
39-0.045759-0.3170.623702
400.0460370.3190.375573
41-0.023583-0.16340.56455
42-0.046806-0.32430.626433
430.0002790.00190.499234
44-0.023274-0.16120.563711
45-0.067172-0.46540.67812
46-0.052584-0.36430.641389
47-0.012122-0.0840.533289
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.0938190.650.259397
10.1666791.15480.126947
20.2853811.97720.02689
3-0.089088-0.61720.729996
4-0.011177-0.07740.530701
50.0033680.02330.49074
6-0.255563-1.77060.95851
70.0032170.02230.491155
8-0.073265-0.50760.692969
9-0.023811-0.1650.565168
10-0.034816-0.24120.59479
11-0.218808-1.51590.931954
12-0.140783-0.97540.832868
13-0.076484-0.52990.700688
140.0845910.58610.280289
15-0.027794-0.19260.575943
160.1081770.74950.228615
170.009120.06320.474941
18-0.087202-0.60420.725706
19-0.026024-0.18030.571162
200.1019070.7060.241791
21-0.042217-0.29250.614413
220.0837620.58030.282208
23-0.12931-0.89590.812608
24-0.055327-0.38330.648411
250.0687070.4760.318111
260.0004990.00350.498629
27-0.054889-0.38030.647294
280.0294630.20410.419559
290.114820.79550.215121
300.0741350.51360.304936
31-0.097602-0.67620.748922
320.0287690.19930.421427
330.0500370.34670.36518
34-0.018644-0.12920.551118
35-0.158957-1.10130.861868
36-0.041598-0.28820.612783
370.0488830.33870.368167
380.0489060.33880.368107
390.0383940.2660.395688
400.0508850.35250.362987
41-0.070803-0.49050.687006
42-0.043126-0.29880.616805
43-0.059503-0.41220.659003
44-0.033228-0.23020.590546
45-0.051117-0.35420.637612
460.0362710.25130.401329
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/1m5a51196000729.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/1m5a51196000729.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/28a711196000729.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196000294p1wbx6j2qc14vse/28a711196000729.ps (open in new window)


 
Parameters:
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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