Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2008 » Dec » 09 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 09 Dec 2008 06:47:05 -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/09/t12288305709f6uqer1vzynprf.htm/, Retrieved Tue, 09 Dec 2008 13:49:32 +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/09/t12288305709f6uqer1vzynprf.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 «

108.9 110.5 111.0 110.7 110.0 111.4 107.7 110.4 110.5 106.4 107.5 108.8 107.1 107.9 107.2 106.3 106.7 105.4 109.4 106.7 105.2 107.0 105.4 106.1 105.8 104.2 102.7 102.7 104.9 102.3 104.0 101.2 102.2 101.4 101.1 97.2 99.7 99.4 98.0 103.1 99.4 100.8 96.4 99.7 100.9 101.3 102.6 105.6 107.2 104.0 108.7 104.9 105.3 105.0 106.1 103.7 102.1 97.2 99.5 102.9

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	-0.436006	-3.349	0.000709
2	0.103484	0.7949	0.214936
3	-0.027061	-0.2079	0.418026
4	-0.02259	-0.1735	0.43142
5	-0.01591	-0.1222	0.451574
6	0.02381	0.1829	0.427755
7	0.062163	0.4775	0.31739
8	-0.179426	-1.3782	0.086673
9	0.153563	1.1795	0.121458
10	-0.252314	-1.9381	0.028703
11	0.306477	2.3541	0.010958
12	-0.256298	-1.9687	0.026847
13	0.053828	0.4135	0.340385
14	-0.032518	-0.2498	0.401816
15	0.048896	0.3756	0.354288
16	0.093056	0.7148	0.238784
17	-0.090399	-0.6944	0.245088
18	0.020834	0.16	0.436701
19	-0.167313	-1.2852	0.10188
20	0.198633	1.5257	0.066211
21	-0.104596	-0.8034	0.212479
22	0.0647	0.497	0.310527
23	0.093769	0.7203	0.237107
24	-0.212866	-1.6351	0.053681
25	0.048181	0.3701	0.356323
26	0.113069	0.8685	0.194319
27	-0.066908	-0.5139	0.30461
28	-0.060033	-0.4611	0.323204
29	0.11277	0.8662	0.194944
30	-0.108747	-0.8353	0.203459
31	0.030306	0.2328	0.408368
32	0.119779	0.92	0.180649
33	-0.123644	-0.9497	0.173062
34	0.021004	0.1613	0.436191
35	-0.082215	-0.6315	0.265074
36	0.092575	0.7111	0.239918
37	-0.011393	-0.0875	0.465281
38	-0.005608	-0.0431	0.482895
39	-0.094045	-0.7224	0.23646
40	0.068994	0.53	0.299067
41	-0.064348	-0.4943	0.311476
42	0.029043	0.2231	0.41212
43	0.09753	0.7491	0.228374
44	-0.122511	-0.941	0.175264
45	0.080242	0.6163	0.270018
46	-0.011375	-0.0874	0.465335
47	0.014525	0.1116	0.455773
48	0.042629	0.3274	0.372248
49	0.017091	0.1313	0.448001
50	-0.098852	-0.7593	0.225349
51	0.075867	0.5827	0.281144
52	-0.01341	-0.103	0.459154
53	-0.016106	-0.1237	0.450981
54	-0.000123	-9e-04	0.499624
55	-0.024979	-0.1919	0.424251
56	-0.023128	-0.1776	0.429804
57	0.01932	0.1484	0.441266
58	0.018587	0.1428	0.443479
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.436006	-3.349	0.000709
2	-0.106948	-0.8215	0.20734
3	-0.029659	-0.2278	0.410288
4	-0.045153	-0.3468	0.364978
5	-0.055984	-0.43	0.334373
6	-0.0068	-0.0522	0.47926
7	0.089997	0.6913	0.24605
8	-0.144822	-1.1124	0.13524
9	0.012723	0.0977	0.461241
10	-0.22689	-1.7428	0.043291
11	0.154897	1.1898	0.119448
12	-0.116803	-0.8972	0.186634
13	-0.12023	-0.9235	0.179754
14	-0.103942	-0.7984	0.213921
15	0.036033	0.2768	0.39146
16	0.147763	1.135	0.130485
17	-0.004026	-0.0309	0.487719
18	-0.120626	-0.9265	0.178968
19	-0.168695	-1.2958	0.10005
20	0.016541	0.1271	0.449665
21	0.067093	0.5154	0.304117
22	-0.10836	-0.8323	0.204289
23	0.173875	1.3356	0.093411
24	-0.15056	-1.1565	0.126074
25	-0.088308	-0.6783	0.250114
26	0.102456	0.787	0.217221
27	-0.068709	-0.5278	0.299822
28	-0.046352	-0.356	0.36154
29	0.008371	0.0643	0.474476
30	0.001835	0.0141	0.4944
31	-0.097141	-0.7462	0.229269
32	0.084521	0.6492	0.259359
33	0.030734	0.2361	0.407097
34	-0.113278	-0.8701	0.193885
35	-0.029286	-0.225	0.411397
36	-0.023785	-0.1827	0.427831
37	-0.054703	-0.4202	0.33794
38	-0.024878	-0.1911	0.424556
39	-0.150913	-1.1592	0.125526
40	0.04238	0.3255	0.372967
41	-0.078207	-0.6007	0.275163
42	-0.008089	-0.0621	0.475334
43	-0.049484	-0.3801	0.352619
44	-0.013537	-0.104	0.45877
45	0.051445	0.3952	0.347076
46	-0.03175	-0.2439	0.404085
47	-0.001925	-0.0148	0.494127
48	0.018771	0.1442	0.442923
49	-0.016231	-0.1247	0.450605
50	0.060135	0.4619	0.322923
51	-0.034915	-0.2682	0.394746
52	-0.081778	-0.6281	0.266166
53	-0.004815	-0.037	0.48531
54	-0.013136	-0.1009	0.459986
55	-0.051477	-0.3954	0.346986
56	-0.042347	-0.3253	0.373062
57	0.032282	0.248	0.402512
58	-0.081235	-0.624	0.267525
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/09/t12288305709f6uqer1vzynprf/1phxu1228830423.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288305709f6uqer1vzynprf/1phxu1228830423.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288305709f6uqer1vzynprf/2bmpt1228830423.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288305709f6uqer1vzynprf/2bmpt1228830423.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 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