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 11:25:37 -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/t1228847164qvkf7y9j5pi6kpq.htm/, Retrieved Tue, 09 Dec 2008 18:26:05 +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/t1228847164qvkf7y9j5pi6kpq.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 «

106,7 110,2 125,9 100,1 106,4 114,8 81,3 87 104,2 108 105 94,5 92 95,9 108,8 103,4 102,1 110,1 83,2 82,7 106,8 113,7 102,5 96,6 92,1 95,6 102,3 98,6 98,2 104,5 84 73,8 103,9 106 97,2 102,6 89 93,8 116,7 106,8 98,5 118,7 90 91,9 113,3 113,1 104,1 108,7 96,7 101 116,9 105,8 99 129,4 83 88,9 115,9 104,2 113,4 112,2 100,8 107,3 126,6 102,9 117,9 128,8 87,5 93,8 122,7 126,2 124,6 116,7 115,2 111,1 129,9 113,3 118,5 137,9 103,6 101,7 127,4 137,5 128,3 118,2 117,1 124,2 126 132,1

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.569951	-4.9359	2e-06
2	0.031238	0.2705	0.39375
3	0.239259	2.072	0.02085
4	-0.223218	-1.9331	0.028498
5	0.036848	0.3191	0.375263
6	0.168424	1.4586	0.074426
7	-0.250651	-2.1707	0.016559
8	0.116796	1.0115	0.157519
9	0.008917	0.0772	0.469326
10	-0.051162	-0.4431	0.329494
11	0.097393	0.8434	0.20083
12	-0.124986	-1.0824	0.141269
13	0.026048	0.2256	0.41107
14	-0.033114	-0.2868	0.387537
15	0.051971	0.4501	0.326974
16	-0.107046	-0.927	0.178438
17	0.091685	0.794	0.214847
18	-0.041812	-0.3621	0.359147
19	-0.012018	-0.1041	0.458692
20	0.03736	0.3235	0.373591
21	0.145459	1.2597	0.10584
22	-0.342854	-2.9692	0.002004
23	0.398668	3.4526	0.000458
24	-0.227888	-1.9736	0.026058
25	-0.031564	-0.2734	0.392666
26	0.216161	1.872	0.032552
27	-0.169477	-1.4677	0.073182
28	0.01983	0.1717	0.432055
29	0.127602	1.1051	0.136332
30	-0.129127	-1.1183	0.13351
31	0.020409	0.1767	0.430092
32	0.123263	1.0675	0.144588
33	-0.225217	-1.9504	0.02743
34	0.169016	1.4637	0.073724
35	-0.043561	-0.3773	0.353525
36	-0.0789	-0.6833	0.248264
37	0.072427	0.6272	0.266204
38	-0.019883	-0.1722	0.431874
39	-0.078936	-0.6836	0.248165
40	0.10469	0.9066	0.183751
41	-0.040554	-0.3512	0.36321
42	-0.065207	-0.5647	0.286978
43	0.055092	0.4771	0.317337
44	0.045373	0.3929	0.347739
45	-0.135557	-1.174	0.122063
46	0.124027	1.0741	0.143109
47	-0.012426	-0.1076	0.457296
48	-0.112735	-0.9763	0.166023
49	0.169833	1.4708	0.072765
50	-0.087107	-0.7544	0.226494
51	0.01085	0.094	0.462693
52	0.01404	0.1216	0.451774
53	-0.022043	-0.1909	0.424562
54	0.058257	0.5045	0.307688
55	0.004211	0.0365	0.485504
56	-0.108686	-0.9413	0.174799
57	0.119297	1.0331	0.152429
58	-0.050887	-0.4407	0.330352
59	-0.041377	-0.3583	0.360551
60	0.081712	0.7076	0.24068

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.569951	-4.9359	2e-06
2	-0.434871	-3.7661	0.000164
3	0.030961	0.2681	0.394668
4	-0.000607	-0.0053	0.497911
5	-0.083993	-0.7274	0.234623
6	0.114828	0.9944	0.161602
7	-0.060747	-0.5261	0.300191
8	-0.095547	-0.8275	0.205301
9	-0.10493	-0.9087	0.183204
10	0.003886	0.0337	0.48662
11	0.122733	1.0629	0.145619
12	-0.060386	-0.523	0.301273
13	-0.104751	-0.9072	0.183611
14	-0.236817	-2.0509	0.021885
15	-0.075403	-0.653	0.257873
16	-0.181472	-1.5716	0.060127
17	-0.076268	-0.6605	0.255478
18	-0.016682	-0.1445	0.442757
19	-0.040982	-0.3549	0.361826
20	-0.07098	-0.6147	0.270305
21	0.234681	2.0324	0.022827
22	-0.165531	-1.4335	0.07793
23	0.162237	1.405	0.082073
24	0.000428	0.0037	0.498527
25	-0.028159	-0.2439	0.403999
26	0.01047	0.0907	0.463998
27	0.029231	0.2531	0.400424
28	0.060419	0.5232	0.301174
29	-0.003323	-0.0288	0.488559
30	0.04552	0.3942	0.347271
31	-0.054372	-0.4709	0.319548
32	0.090635	0.7849	0.217485
33	-0.015497	-0.1342	0.446799
34	-0.003003	-0.026	0.489661
35	0.109525	0.9485	0.172956
36	-0.020945	-0.1814	0.428276
37	0.007067	0.0612	0.475679
38	-0.083583	-0.7238	0.235705
39	-0.025993	-0.2251	0.411253
40	-0.06926	-0.5998	0.275222
41	0.043504	0.3768	0.353709
42	-0.07449	-0.6451	0.260416
43	-0.054237	-0.4697	0.319965
44	-0.033706	-0.2919	0.385584
45	-0.019556	-0.1694	0.432986
46	-0.112365	-0.9731	0.166814
47	-0.013882	-0.1202	0.452316
48	-0.067665	-0.586	0.27982
49	-0.056033	-0.4853	0.314454
50	-0.038859	-0.3365	0.368706
51	0.015892	0.1376	0.44545
52	-0.097775	-0.8468	0.199912
53	-0.138957	-1.2034	0.116303
54	0.10674	0.9244	0.179124
55	-0.014447	-0.1251	0.450384
56	-0.041299	-0.3577	0.360802
57	-0.023959	-0.2075	0.418094
58	-0.055121	-0.4774	0.317246
59	-0.003782	-0.0328	0.486978
60	-0.083607	-0.7241	0.23564

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847164qvkf7y9j5pi6kpq/1tdui1228847132.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847164qvkf7y9j5pi6kpq/1tdui1228847132.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847164qvkf7y9j5pi6kpq/28xkl1228847132.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228847164qvkf7y9j5pi6kpq/28xkl1228847132.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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