Home » date » 2008 » Dec » 09 »

step3

*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 08:03:47 -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/t1228835064g7wp321h66ca9s2.htm/, Retrieved Tue, 09 Dec 2008 15:04:26 +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/t1228835064g7wp321h66ca9s2.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 «

1846.5 2796.3 2895.6 2472.2 2584.4 2630.4 2663.1 3176.2 2856.7 2551.4 3088.7 2628.3 2226.2 3023.6 3077.9 3084.1 2990.3 2949.6 3014.7 3517.7 3121.2 3067.4 3174.6 2676.3 2424 3195.1 3146.6 3506.7 3528.5 3365.1 3153 3843.3 3123.2 3361.1 3481.9 2970.5 2537 3257.6 3301.3 3391.6 2933.6 3283.2 3139.7 3486.4 3202.2 3294.4 3550.3 3279.3 2678.6 3451.4 3977.1 3814.8 3310.5 3971.8 4051.9 4057.6 4391.4 3628.9 4092.2 3822.5

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	0.519173	3.5969	0.000379
2	0.467869	3.2415	0.001082
3	0.538071	3.7279	0.000255
4	0.307473	2.1302	0.019152
5	0.17915	1.2412	0.110284
6	0.229024	1.5867	0.05957
7	-0.008684	-0.0602	0.476136
8	-0.020604	-0.1427	0.443543
9	-0.02956	-0.2048	0.419298
10	-0.224969	-1.5586	0.062827
11	-0.30909	-2.1414	0.018672
12	-0.225078	-1.5594	0.062737
13	-0.301967	-2.0921	0.020872
14	-0.274126	-1.8992	0.031778
15	-0.253559	-1.7567	0.042673
16	-0.270458	-1.8738	0.033527
17	-0.118699	-0.8224	0.207467
18	-0.112915	-0.7823	0.21894
19	-0.139751	-0.9682	0.168894
20	-0.075397	-0.5224	0.301908
21	-0.061061	-0.423	0.337075
22	-0.113385	-0.7856	0.217994
23	-0.041842	-0.2899	0.386575
24	-0.196497	-1.3614	0.089876
25	-0.135234	-0.9369	0.176743
26	-0.043441	-0.301	0.382371
27	-0.09313	-0.6452	0.260928
28	-0.163365	-1.1318	0.131665
29	-0.038715	-0.2682	0.394837
30	-0.106768	-0.7397	0.231539
31	-0.099095	-0.6865	0.247835
32	-0.014981	-0.1038	0.458883
33	-0.054203	-0.3755	0.35446
34	-0.023022	-0.1595	0.436973
35	0.11949	0.8279	0.205926
36	0.015124	0.1048	0.458492
37	0.054486	0.3775	0.353736
38	0.138083	0.9567	0.171765
39	0.096407	0.6679	0.25369
40	0.06795	0.4708	0.319967
41	0.117728	0.8156	0.209366
42	0.045857	0.3177	0.376044
43	0.044288	0.3068	0.380148
44	0.080885	0.5604	0.288911
45	-0.002801	-0.0194	0.4923
46	0.013623	0.0944	0.4626
47	0.017715	0.1227	0.451415
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	0.519173	3.5969	0.000379
2	0.271512	1.8811	0.033017
3	0.32538	2.2543	0.014389
4	-0.143608	-0.9949	0.162377
5	-0.190456	-1.3195	0.096627
6	0.037013	0.2564	0.399355
7	-0.210496	-1.4584	0.075627
8	0.027668	0.1917	0.424397
9	-0.035773	-0.2478	0.402658
10	-0.176541	-1.2231	0.113629
11	-0.213529	-1.4794	0.072787
12	0.018679	0.1294	0.448787
13	0.084871	0.588	0.279643
14	0.088449	0.6128	0.271453
15	-0.080908	-0.5605	0.288857
16	-0.088104	-0.6104	0.272237
17	0.187109	1.2963	0.10053
18	-0.004906	-0.034	0.486514
19	-0.031694	-0.2196	0.413565
20	-0.146062	-1.0119	0.158319
21	-0.124276	-0.861	0.196757
22	-0.131776	-0.913	0.18291
23	0.010446	0.0724	0.471302
24	-0.258911	-1.7938	0.039574
25	-0.008534	-0.0591	0.47655
26	0.061826	0.4283	0.335157
27	0.119005	0.8245	0.20687
28	-0.050636	-0.3508	0.363632
29	-0.021907	-0.1518	0.44
30	-0.033222	-0.2302	0.409469
31	-0.031042	-0.2151	0.415314
32	0.08295	0.5747	0.28409
33	-0.048321	-0.3348	0.369625
34	-0.082023	-0.5683	0.286249
35	-0.09434	-0.6536	0.258242
36	-0.10326	-0.7154	0.238913
37	0.044856	0.3108	0.378661
38	0.028363	0.1965	0.422523
39	-0.021052	-0.1459	0.442324
40	-0.150537	-1.0429	0.151098
41	0.037947	0.2629	0.396874
42	0.046336	0.321	0.374793
43	0.019127	0.1325	0.447565
44	-0.06523	-0.4519	0.326678
45	-0.073898	-0.512	0.305505
46	0.003215	0.0223	0.491162
47	-0.034118	-0.2364	0.407072
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/09/t1228835064g7wp321h66ca9s2/1gjwl1228835026.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228835064g7wp321h66ca9s2/1gjwl1228835026.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228835064g7wp321h66ca9s2/2s8ke1228835026.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228835064g7wp321h66ca9s2/2s8ke1228835026.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.1 ; 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 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