Home » date » 2008 » Dec » 09 »

step 3

*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: Tue, 09 Dec 2008 09:02:19 -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/t1228838660yfqppjv7upwmg6z.htm/, Retrieved Tue, 09 Dec 2008 16:04:20 +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/t1228838660yfqppjv7upwmg6z.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 «
0.9059 0.8883 0.8924 0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227 1.4684
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2581952.2060.015265
2-0.130307-1.11330.134607
3-0.145946-1.2470.108199
40.1029920.880.190884
50.0129340.11050.456156
6-0.189041-1.61520.055294
7-0.005797-0.04950.480315
80.0312810.26730.395008
90.0476810.40740.34246
100.0454120.3880.349574
110.0950440.81210.209699
12-0.001117-0.00950.496205
13-0.042794-0.36560.357848
140.005270.0450.482105
15-0.093776-0.80120.212802
16-0.165475-1.41380.080833
170.0360140.30770.379591
180.1654281.41340.080892
190.1574141.34490.091403
20-0.043275-0.36970.356324
21-0.089094-0.76120.224488
22-0.05598-0.47830.316934
23-0.079046-0.67540.250787
24-0.084888-0.72530.235298
25-0.198598-1.69680.046995
26-0.088942-0.75990.224873
270.0341330.29160.385697
280.0346450.2960.384034
29-0.038013-0.32480.373138
30-0.080807-0.69040.246061
310.018780.16050.436484
32-0.0811-0.69290.24528
33-0.186303-1.59180.057879
34-0.066738-0.57020.285143
350.0265570.22690.410567
360.0016670.01420.494338
37-0.102908-0.87920.191076
380.1027910.87820.191346
390.0483150.41280.340479
40-0.015672-0.13390.446923
41-0.034723-0.29670.383778
420.0539010.46050.323253
43-9.6e-05-8e-040.499672
44-0.138531-1.18360.120204
450.0280880.240.405509
460.1457771.24550.108461
470.1403231.19890.117218
480.0144940.12380.450894
490.0167960.14350.443142
50-0.02139-0.18280.427747
51-0.096054-0.82070.207248
52-0.032065-0.2740.392442
530.0590230.50430.307789
540.042160.36020.359862
55-0.009228-0.07880.468688
560.0211310.18050.428615
570.0411360.35150.363125
580.0558130.47690.31744
590.0102420.08750.465254
600.0099190.08480.466346


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2581952.2060.015265
2-0.21104-1.80310.037747
3-0.056866-0.48590.314259
40.1534231.31080.09701
5-0.110426-0.94350.174274
6-0.163234-1.39470.083672
70.1519031.29790.099211
8-0.098886-0.84490.200469
90.0294580.25170.400994
100.1235251.05540.147362
110.0236760.20230.420126
12-0.072889-0.62280.267689
130.0634340.5420.294742
14-0.006425-0.05490.478185
15-0.170327-1.45530.07494
16-0.060702-0.51860.302792
170.1718291.46810.073186
18-0.010297-0.0880.465066
190.1233351.05380.147731
20-0.006246-0.05340.478794
21-0.14076-1.20270.116498
22-0.058409-0.4990.309625
23-0.031407-0.26830.394596
24-0.087218-0.74520.229274
25-0.176483-1.50790.067952
260.038770.33120.370702
270.0253540.21660.414553
28-0.153957-1.31540.096244
290.0030120.02570.489771
30-0.055258-0.47210.319122
31-0.108438-0.92650.178622
32-0.098267-0.83960.201939
33-0.085526-0.73070.23364
340.0366410.31310.377562
35-0.044317-0.37860.353024
36-0.069975-0.59790.275891
37-0.108974-0.93110.177443
380.096460.82420.206268
39-0.118332-1.0110.15767
400.0030.02560.489811
410.0354340.30280.38147
420.0445590.38070.35226
43-0.048764-0.41660.339082
44-0.018856-0.16110.436228
450.0327040.27940.390356
460.0263230.22490.411343
470.1073390.91710.181055
480.0022450.01920.492374
49-0.042786-0.36560.357875
50-0.029204-0.24950.401829
51-0.077783-0.66460.254206
52-0.023203-0.19820.421703
530.0103380.08830.464929
540.0085970.07340.470824
55-0.058414-0.49910.309609
56-0.022567-0.19280.42382
57-0.110374-0.9430.174387
58-0.021547-0.18410.427223
59-0.059024-0.50430.307785
60-0.058585-0.50050.309098
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228838660yfqppjv7upwmg6z/1rdo81228838534.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228838660yfqppjv7upwmg6z/1rdo81228838534.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228838660yfqppjv7upwmg6z/2li7f1228838534.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228838660yfqppjv7upwmg6z/2li7f1228838534.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')
 




Copyright

Creative Commons License

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.


Privacy Policy

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