Home » date » 2008 » Dec » 07 »

s4

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 07 Dec 2008 11:48:27 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t1228675755ppkqglx221h0xxv.htm/, Retrieved Sun, 07 Dec 2008 18:49:18 +0000

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/2008/Dec/07/t1228675755ppkqglx221h0xxv.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

137 136 133 126 120 114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.182622	-1.252	0.108384
2	-0.031125	-0.2134	0.415976
3	-0.004418	-0.0303	0.487983
4	0.078406	0.5375	0.29672
5	-0.059382	-0.4071	0.342891
6	0.101172	0.6936	0.245673
7	0.10515	0.7209	0.23728
8	-0.029673	-0.2034	0.419838
9	0.00953	0.0653	0.474092
10	-0.145275	-0.996	0.162185
11	0.447602	3.0686	0.001782
12	-0.225773	-1.5478	0.064187
13	-0.108984	-0.7472	0.229345
14	-0.045367	-0.311	0.378581
15	0.072608	0.4978	0.310481
16	-0.183233	-1.2562	0.107629
17	0.068732	0.4712	0.319837
18	-0.050648	-0.3472	0.364987
19	-0.120031	-0.8229	0.207363
20	0.009913	0.068	0.473054
21	-0.036664	-0.2514	0.401319
22	0.163613	1.1217	0.133849
23	-0.154528	-1.0594	0.147419
24	-0.118428	-0.8119	0.210471
25	-0.03934	-0.2697	0.394284
26	0.025022	0.1715	0.432266
27	-0.030279	-0.2076	0.418227
28	0.054122	0.371	0.356136
29	0.027573	0.189	0.425442
30	-0.079684	-0.5463	0.293728
31	0.040441	0.2772	0.391403
32	0.033568	0.2301	0.409495
33	0.022006	0.1509	0.440363
34	-0.049167	-0.3371	0.368783
35	-0.036633	-0.2511	0.4014
36	-0.015436	-0.1058	0.458086
37	0.009038	0.062	0.475429
38	0.019326	0.1325	0.447581
39	0.007554	0.0518	0.47946
40	0.040221	0.2757	0.391977
41	-0.075466	-0.5174	0.303662
42	0.015662	0.1074	0.457476
43	0.022728	0.1558	0.438424
44	-0.001458	-0.01	0.496034
45	-0.005392	-0.037	0.485336
46	-0.044981	-0.3084	0.379579
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.182622	-1.252	0.108384
2	-0.0667	-0.4573	0.324791
3	-0.023549	-0.1614	0.436219
4	0.073839	0.5062	0.307536
5	-0.032627	-0.2237	0.411988
6	0.095285	0.6532	0.258392
7	0.145784	0.9994	0.161349
8	0.023856	0.1636	0.435393
9	0.029644	0.2032	0.419917
10	-0.165977	-1.1379	0.130469
11	0.417554	2.8626	0.003128
12	-0.140001	-0.9598	0.171034
13	-0.181495	-1.2443	0.109785
14	-0.114379	-0.7841	0.218446
15	-0.021955	-0.1505	0.440502
16	-0.126661	-0.8683	0.19481
17	-0.074216	-0.5088	0.306636
18	-0.163647	-1.1219	0.1338
19	-0.092094	-0.6314	0.265431
20	0.018848	0.1292	0.44887
21	0.083502	0.5725	0.28487
22	0.006905	0.0473	0.481223
23	0.031317	0.2147	0.415466
24	-0.04471	-0.3065	0.380283
25	0.017504	0.12	0.452498
26	-0.088628	-0.6076	0.273187
27	0.110643	0.7585	0.22596
28	-0.049589	-0.34	0.3677
29	0.066122	0.4533	0.326206
30	-0.016044	-0.11	0.456443
31	0.012724	0.0872	0.465429
32	0.00497	0.0341	0.486482
33	-0.061663	-0.4227	0.337206
34	-0.033843	-0.232	0.408767
35	-0.022081	-0.1514	0.440163
36	-0.093575	-0.6415	0.262152
37	-0.05124	-0.3513	0.363472
38	-0.092204	-0.6321	0.265187
39	-0.005014	-0.0344	0.486362
40	-0.002988	-0.0205	0.491872
41	-0.014934	-0.1024	0.459444
42	-0.060882	-0.4174	0.339148
43	0.021277	0.1459	0.442325
44	0.033391	0.2289	0.409964
45	0.101665	0.697	0.244625
46	-0.040507	-0.2777	0.39123
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228675755ppkqglx221h0xxv/1h9vy1228675705.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228675755ppkqglx221h0xxv/1h9vy1228675705.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228675755ppkqglx221h0xxv/2ujoz1228675705.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228675755ppkqglx221h0xxv/2ujoz1228675705.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.3 ; par3 = 1 ; 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 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