Home » date » 2008 » Dec » 08 »

(Partial) Autocorrelation Function

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 08 Dec 2008 09:53:06 -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/08/t1228755345g7nlw8s1cvq5q1p.htm/, Retrieved Mon, 08 Dec 2008 16:55:45 +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/08/t1228755345g7nlw8s1cvq5q1p.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 «

67.8 66.9 71.5 75.9 71.9 70.7 73.5 76.1 82.5 87.1 83.2 86.1 85.9 77.4 74.4 69.9 73.8 69.2 69.7 71 71.2 75.8 73 66.4 58.6 55.5 52.6 54.9 54.6 51.2 50.9 49.6 53.4 52 47.5 42.1 44.5 43.2 51.4 59.4 60.3 61.4 68.8 73.6 81.8 79.6 85.8 88.1 89.1 95 96.2 84.2 96.9 103.1 99.3 103.5 112.4 111.1 113.7 92 93 98.4 92.6 94.6 99.5 97.6 91.3 93.6 93.1 78.4 70.2 69.3 71.1 73.5 85.9 91.5 91.8 88.3 91.3 94 99.3 96.7 88 96.7 106.8 114.3 105.7 90.1 91.6 97.7 100.8 104.6 95.9 102.7 104 107.9 113.8 113.8 123.1 125.1 137.6 134 140.3 152.1 150.6 167.3 153.2 142 154.4 158.5 180.9 181.3 172.4 192 199.3 215.4 214.3 201.5 190.5 196 215.7 209.4 214.1 237.8 239 237.8 251.5 248.8 215.4 201.2 203.1 214.2 188.9 203 213.3 228.5 228.2 240.9 258.8 248.5 269.2 289.6 323.4 317.2 322.8 340.9 368.2 388.5 441.2 474.3 483.9 417.9 365.9 263 199.4

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.981515	12.2198	0
2	0.944445	11.7582	0
3	0.895153	11.1446	0
4	0.842618	10.4905	0
5	0.789931	9.8346	0
6	0.743544	9.257	0
7	0.703855	8.7629	0
8	0.667953	8.3159	0
9	0.63453	7.8998	0
10	0.605542	7.5389	0
11	0.577017	7.1838	0
12	0.549356	6.8394	0
13	0.524012	6.5239	0
14	0.503689	6.2709	0
15	0.485674	6.0466	0
16	0.468048	5.8271	0
17	0.45367	5.6482	0
18	0.442333	5.507	0
19	0.43412	5.4047	0
20	0.427746	5.3254	0
21	0.423747	5.2756	0
22	0.419969	5.2286	0
23	0.414073	5.1552	0
24	0.404792	5.0396	1e-06
25	0.393055	4.8935	1e-06
26	0.376213	4.6838	3e-06
27	0.35586	4.4304	9e-06
28	0.334271	4.1616	2.6e-05
29	0.313667	3.9051	7e-05
30	0.294635	3.6682	0.000168
31	0.276785	3.446	0.000366
32	0.260889	3.248	0.000712
33	0.246449	3.0683	0.001271
34	0.232166	2.8904	0.0022
35	0.217414	2.7068	0.003778
36	0.200008	2.4901	0.006913

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.981515	12.2198	0
2	-0.516729	-6.4332	0
3	-0.136248	-1.6963	0.045921
4	0.122258	1.5221	0.06501
5	-0.003984	-0.0496	0.480252
6	0.1563	1.9459	0.026737
7	0.015085	0.1878	0.425636
8	-0.123138	-1.5331	0.06365
9	0.00603	0.0751	0.470129
10	0.122757	1.5283	0.064236
11	-0.119829	-1.4919	0.068884
12	0.032108	0.3997	0.34495
13	0.089159	1.11	0.134353
14	0.055682	0.6932	0.244598
15	-0.053637	-0.6678	0.252634
16	-0.070859	-0.8822	0.189519
17	0.125426	1.5615	0.060218
18	0.041057	0.5112	0.304983
19	0.053526	0.6664	0.253076
20	-0.033302	-0.4146	0.339501
21	-0.00527	-0.0656	0.473885
22	-0.011266	-0.1403	0.444318
23	-0.027569	-0.3432	0.365943
24	-0.062997	-0.7843	0.21703
25	0.011167	0.139	0.444805
26	-0.076498	-0.9524	0.17119
27	0.007272	0.0905	0.463989
28	0.041111	0.5118	0.304749
29	-0.029328	-0.3651	0.357754
30	0.041965	0.5225	0.301048
31	-0.03669	-0.4568	0.324231
32	-0.009913	-0.1234	0.450969
33	0.016235	0.2021	0.420044
34	-0.020728	-0.2581	0.39835
35	-0.039419	-0.4908	0.312144
36	-0.099425	-1.2378	0.108825

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228755345g7nlw8s1cvq5q1p/1l5x71228755181.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228755345g7nlw8s1cvq5q1p/1l5x71228755181.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228755345g7nlw8s1cvq5q1p/2ebmt1228755181.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228755345g7nlw8s1cvq5q1p/2ebmt1228755181.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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 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