brandstof

*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 08:05:26 -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/t1229007988x0x33l2fwtbg6ih.htm/, Retrieved Thu, 11 Dec 2008 15:06:30 +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/t1229007988x0x33l2fwtbg6ih.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:

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

124 118.63 121.86 119.97 125.03 130.09 126.65 121.7 119.24 122.63 116.66 114.12 113.11 112.61 113.4 115.18 121.01 119.44 116.68 117.07 117.41 119.58 120.92 117.09 116.77 119.39 122.49 124.08 118.29 112.94 113.79 114.43 118.7 120.36 118.27 118.34 117.82 117.65 118.18 121.02 124.78 131.16 130.14 131.75 134.73 135.35 140.32 136.35 131.6 128.9 133.89 138.25 146.23 144.76 149.3 156.8 159.08 165.12 163.14 153.43 151.01

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 0.934627 7.2997 0 2 0.843792 6.5902 0 3 0.736761 5.7543 0 4 0.635568 4.9639 3e-06 5 0.559589 4.3705 2.5e-05 6 0.480471 3.7526 0.000196 7 0.411416 3.2133 0.001049 8 0.360312 2.8141 0.003287 9 0.322337 2.5175 0.00723 10 0.308066 2.4061 0.009585 11 0.294362 2.299 0.012471 12 0.264284 2.0641 0.021633 13 0.221818 1.7325 0.044123 14 0.171475 1.3393 0.092727 15 0.108972 0.8511 0.199022 16 0.064375 0.5028 0.308463 17 0.018333 0.1432 0.443309 18 -0.026742 -0.2089 0.417627 19 -0.065248 -0.5096 0.306085 20 -0.108148 -0.8447 0.2008 21 -0.138944 -1.0852 0.141054 22 -0.158839 -1.2406 0.109757 23 -0.172465 -1.347 0.091483 24 -0.180362 -1.4087 0.082005 25 -0.18828 -1.4705 0.073281 26 -0.204481 -1.597 0.057712 27 -0.212552 -1.6601 0.051015 28 -0.218716 -1.7082 0.046339 29 -0.222057 -1.7343 0.043956 30 -0.21392 -1.6708 0.049945 31 -0.217262 -1.6969 0.04741 32 -0.222212 -1.7355 0.043848 33 -0.230619 -1.8012 0.038308 34 -0.239618 -1.8715 0.033038 35 -0.237757 -1.8569 0.034075 36 -0.234483 -1.8314 0.035965 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.934627 7.2997 0 2 -0.235113 -1.8363 0.035594 3 -0.146835 -1.1468 0.127968 4 0.026569 0.2075 0.418151 5 0.142071 1.1096 0.135762 6 -0.163172 -1.2744 0.103676 7 0.008909 0.0696 0.472378 8 0.125105 0.9771 0.166188 9 0.032307 0.2523 0.400819 10 0.069649 0.544 0.29422 11 -0.053357 -0.4167 0.339168 12 -0.149744 -1.1695 0.123368 13 -0.064119 -0.5008 0.309161 14 0.016183 0.1264 0.449919 15 -0.15657 -1.2229 0.113045 16 0.128689 1.0051 0.15941 17 -0.042359 -0.3308 0.370953 18 -0.079958 -0.6245 0.267316 19 -0.008497 -0.0664 0.473654 20 -0.051525 -0.4024 0.344389 21 -0.040079 -0.313 0.377665 22 0.026241 0.2049 0.419148 23 0.026177 0.2044 0.419341 24 -0.054034 -0.422 0.337247 25 0.046298 0.3616 0.35945 26 -0.093332 -0.7289 0.234412 27 0.030594 0.2389 0.405973 28 0.000113 9e-04 0.499649 29 -0.006499 -0.0508 0.479842 30 0.037274 0.2911 0.385974 31 -0.058337 -0.4556 0.325139 32 -0.04161 -0.325 0.373153 33 -0.05498 -0.4294 0.334569 34 0.02967 0.2317 0.408761 35 -0.022283 -0.174 0.431205 36 0.006978 0.0545 0.478358

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007988x0x33l2fwtbg6ih/1vn5z1229007924.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007988x0x33l2fwtbg6ih/1vn5z1229007924.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007988x0x33l2fwtbg6ih/23j6w1229007924.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007988x0x33l2fwtbg6ih/23j6w1229007924.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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

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