Home » date » 2008 » Dec » 11 »

Paper

*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: Thu, 11 Dec 2008 05:37:58 -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/11/t1228999192vhc92l477dvkd2m.htm/, Retrieved Thu, 11 Dec 2008 12:39:52 +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/11/t1228999192vhc92l477dvkd2m.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 «
119,5 125 145 105,3 116,9 120,1 88,9 78,4 114,6 113,3 117 99,6 99,4 101,9 115,2 108,5 113,8 121 92,2 90,2 101,5 126,6 93,9 89,8 93,4 101,5 110,4 105,9 108,4 113,9 86,1 69,4 101,2 100,5 98 106,6 90,1 96,9 125,9 112 100 123,9 79,8 83,4 113,6 112,9 104 109,9 99 106,3 128,9 111,1 102,9 130 87 87,5 117,6 103,4 110,8 112,6 102,5 112,4 135,6 105,1 127,7 137 91 90,5 122,4 123,3 124,3 120 118,1 119 142,7 123,6 129,6 151,6 110,4 99,2 130,5 136,2 129,7 128
 
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
10.288322.44650.008435
20.3545573.00850.001808
30.2721622.30940.011897
40.2029161.72180.0447
50.1380811.17170.1226
60.2823682.3960.009588
70.093210.79090.215795
80.2512952.13230.018197
90.3175792.69470.004381
100.2142521.8180.036613
110.2720462.30840.011926
12-0.076116-0.64590.260209
130.0730630.620.268621
140.0867470.73610.232039
150.045480.38590.350352
160.0669110.56780.285983
170.2018421.71270.045537
180.0551560.4680.320593
190.1546321.31210.096828
200.1511711.28270.101851
21-0.034254-0.29070.386076
22-0.089351-0.75820.225414
23-0.000332-0.00280.49888
240.0199680.16940.432966
25-0.031938-0.2710.393584
260.0986270.83690.202714
270.0050250.04260.483055
280.0374710.31790.375722
290.0172950.14680.441868
300.0036590.0310.487659
31-0.114562-0.97210.167129
32-0.059193-0.50230.308507
33-0.080959-0.6870.247157
340.0369880.31390.377271
35-0.022727-0.19280.423813
36-0.119825-1.01680.156338
370.0089640.07610.469791
38-0.116712-0.99030.162664
39-0.095996-0.81460.209007
40-0.060308-0.51170.305204
41-0.142621-1.21020.115084
42-0.200008-1.69710.046996
430.0378370.32110.374549
44-0.148329-1.25860.106117
45-0.078138-0.6630.254717
46-0.135068-1.14610.127776
47-0.179683-1.52470.065862
48-0.163918-1.39090.084272
49-0.119647-1.01520.156696
50-0.197468-1.67560.04908
51-0.124398-1.05560.14735
52-0.182916-1.55210.062512
53-0.107246-0.910.182925
54-0.05616-0.47650.317569
55-0.182046-1.54470.0634
56-0.144432-1.22550.112182
57-0.138202-1.17270.122394
58-0.141042-1.19680.117659
59-0.100251-0.85070.198891
60-0.068251-0.57910.282155


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.288322.44650.008435
20.2960382.5120.007124
30.1372891.16490.123944
40.029330.24890.402085
5-0.024793-0.21040.416984
60.2006671.70270.046468
7-0.055334-0.46950.320058
80.1326481.12560.132046
90.2244511.90450.030418
100.0166230.14110.444112
110.0783160.66450.254237
12-0.419495-3.55950.000331
130.0290590.24660.402971
140.1130530.95930.170312
15-0.017903-0.15190.43984
160.064980.55140.291542
170.0464160.39390.347427
180.0352780.29930.382769
19-0.097494-0.82730.205411
200.0501050.42520.335995
21-0.010745-0.09120.463803
22-0.20379-1.72920.044028
230.1185031.00550.159004
240.0112850.09580.461991
25-0.100517-0.85290.198268
260.1158110.98270.164526
27-0.089233-0.75720.225712
280.0140790.11950.452619
29-0.004141-0.03510.486035
300.0124470.10560.458089
31-0.039211-0.33270.370157
32-0.008029-0.06810.472938
330.0264260.22420.411606
34-0.055743-0.4730.318825
350.0175590.1490.440989
36-0.170791-1.44920.075811
37-0.005653-0.0480.480937
380.0266450.22610.410885
39-0.016936-0.14370.443066
400.0352190.29880.38296
41-0.064223-0.54490.293736
42-0.038072-0.32310.373796
430.0258030.21890.413654
44-0.093433-0.79280.215247
450.0586160.49740.310221
46-0.124107-1.05310.147913
47-0.012538-0.10640.457784
48-0.068193-0.57860.282319
49-0.01357-0.11510.454325
500.0350910.29780.383373
51-0.060912-0.51690.30342
52-0.015561-0.1320.44766
530.0289720.24580.403255
54-0.011124-0.09440.462532
550.0320330.27180.393274
56-0.037233-0.31590.376485
570.001130.00960.496188
58-0.015094-0.12810.449224
590.033190.28160.389517
60-0.014278-0.12120.451954
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228999192vhc92l477dvkd2m/119461228999073.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228999192vhc92l477dvkd2m/119461228999073.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228999192vhc92l477dvkd2m/21q0o1228999073.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228999192vhc92l477dvkd2m/21q0o1228999073.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 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')
 




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