Home » date » 2008 » Dec » 07 »

acf

*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 13:04:18 -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/t12286803852a1d5v65c4jckwa.htm/, Retrieved Sun, 07 Dec 2008 20:06:27 +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/t12286803852a1d5v65c4jckwa.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 «

3595 3914 4159 3676 3794 3446 3504 3958 3353 3480 3098 2944 3389 3497 4404 3849 3734 3060 3507 3287 3215 3764 2734 2837 2766 3851 3289 3848 3348 3682 4058 3655 3811 3341 3032 3475 3353 3186 3902 4164 3499 4145 3796 3711 3949 3740 3243 4407 4814 3908 5250 3937 4004 5560 3922 3759 4138 4634 3996 4308 4142 4429 5219 4929 5754 5592 4163 4962 5208 4755 4491 5732 5730 5024 6056 4901 5353 5578 4618 4724 5011 5298 4143 4617 4736 4214 5112 4197 4119 5104 4194 4583 3790 5557 4304 3838 4277 4951 4479 4677 4274 4782

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' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.48052	-4.8292	2e-06
2	-0.05971	-0.6001	0.274898
3	0.159583	1.6038	0.055942
4	-0.132643	-1.333	0.092757
5	0.009126	0.0917	0.463552
6	0.067898	0.6824	0.248284
7	-0.010134	-0.1018	0.459541
8	-0.194529	-1.955	0.026674
9	0.247774	2.4901	0.007201
10	-0.138039	-1.3873	0.084205
11	-0.101652	-1.0216	0.154709
12	0.328288	3.2993	0.00067
13	-0.215017	-2.1609	0.016534
14	0.061393	0.617	0.269316
15	0.076854	0.7724	0.220849
16	-0.158914	-1.5971	0.056687
17	0.041344	0.4155	0.339326
18	0.117258	1.1784	0.120697
19	-0.132621	-1.3328	0.092794
20	-0.032191	-0.3235	0.373487
21	0.091011	0.9146	0.181277
22	-0.105629	-1.0616	0.145484
23	0.059636	0.5993	0.275147
24	0.095917	0.964	0.168685
25	-0.109013	-1.0956	0.137937
26	0.051732	0.5199	0.302134
27	0.02723	0.2737	0.392453
28	-0.115307	-1.1588	0.12463
29	0.114537	1.1511	0.126208
30	-0.019939	-0.2004	0.42079
31	-0.161671	-1.6248	0.053664
32	0.122538	1.2315	0.1105
33	0.022964	0.2308	0.408973
34	-0.004268	-0.0429	0.482936
35	-0.096542	-0.9702	0.167123
36	0.169626	1.7047	0.04566

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.48052	-4.8292	2e-06
2	-0.377856	-3.7974	0.000125
3	-0.093309	-0.9377	0.175306
4	-0.141453	-1.4216	0.079113
5	-0.131891	-1.3255	0.094
6	-0.0502	-0.5045	0.307503
7	0.026053	0.2618	0.396993
8	-0.25779	-2.5908	0.005496
9	-0.020383	-0.2048	0.419054
10	-0.10769	-1.0823	0.140855
11	-0.243236	-2.4445	0.008119
12	0.11029	1.1084	0.135162
13	0.038141	0.3833	0.351148
14	0.122156	1.2277	0.111215
15	0.158139	1.5893	0.057562
16	-0.019991	-0.2009	0.420589
17	-0.00788	-0.0792	0.468519
18	0.08005	0.8045	0.211502
19	-0.018784	-0.1888	0.425325
20	0.003283	0.033	0.486871
21	-0.079427	-0.7982	0.213306
22	-0.087305	-0.8774	0.191176
23	-0.009574	-0.0962	0.461768
24	-0.018419	-0.1851	0.426759
25	0.017456	0.1754	0.430545
26	0.023099	0.2321	0.408447
27	-0.036213	-0.3639	0.358334
28	-0.071386	-0.7174	0.237387
29	0.023738	0.2386	0.405963
30	-0.032001	-0.3216	0.374207
31	-0.178376	-1.7927	0.038011
32	-0.126459	-1.2709	0.103343
33	-0.031795	-0.3195	0.374988
34	0.17102	1.7187	0.044363
35	-0.097127	-0.9761	0.165669
36	0.052796	0.5306	0.298434

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286803852a1d5v65c4jckwa/18yq91228680257.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286803852a1d5v65c4jckwa/18yq91228680257.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286803852a1d5v65c4jckwa/2r1p71228680257.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286803852a1d5v65c4jckwa/2r1p71228680257.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -0.1 ; par3 = 1 ; 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 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