Home » date » 2008 » Dec » 13 »

"(§(yery

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 13 Dec 2008 09:20:45 -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/13/t1229185420nedug7h86ezsx81.htm/, Retrieved Sat, 13 Dec 2008 17:23:42 +0100

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/13/t1229185420nedug7h86ezsx81.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

554.79 562.33 560.85 555.33 543.6 536.66 542.72 593.53 610.76 612.61 611.32 594.17 595.45 590.87 589.38 584.43 573.1 567.46 569.03 620.74 628.88 628.23 612.12 595.4 597.14 593.41 590.07 579.8 574.21 572.78 572.94 619.57 625.81 619.92 587.63 565.74 557.27 560.58 548.85 531.67 525.92 511.04 498.66 555.36 564.59 541.66 527.07 509.85 514.26 516.92 507.56 492.62 490.24 469.36 477.58 528.38 533.59 517.95 506.17 501.87

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	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.885042	6.8555	0
2	0.722742	5.5983	0
3	0.60558	4.6908	8e-06
4	0.554837	4.2977	3.2e-05
5	0.549802	4.2588	3.7e-05
6	0.509153	3.9439	0.000106
7	0.433008	3.3541	0.000692
8	0.361669	2.8015	0.003419
9	0.336875	2.6094	0.005717
10	0.36711	2.8436	0.003045
11	0.430952	3.3381	0.000726
12	0.439164	3.4017	0.000599
13	0.30035	2.3265	0.011693
14	0.143271	1.1098	0.135763
15	0.030377	0.2353	0.407387
16	-0.015087	-0.1169	0.453681
17	-0.02922	-0.2263	0.410853
18	-0.082474	-0.6388	0.262678
19	-0.151827	-1.176	0.122111
20	-0.214896	-1.6646	0.050606
21	-0.232126	-1.798	0.038601
22	-0.203175	-1.5738	0.060398
23	-0.156536	-1.2125	0.115033
24	-0.150511	-1.1659	0.124143
25	-0.236841	-1.8346	0.035765
26	-0.332105	-2.5725	0.006295
27	-0.376243	-2.9144	0.002501
28	-0.370266	-2.8681	0.002846
29	-0.340966	-2.6411	0.00526
30	-0.341933	-2.6486	0.005157
31	-0.35907	-2.7813	0.003612
32	-0.373535	-2.8934	0.002652
33	-0.352236	-2.7284	0.004168
34	-0.304222	-2.3565	0.010866
35	-0.245507	-1.9017	0.031008
36	-0.20757	-1.6078	0.056561
37	-0.236926	-1.8352	0.035716
38	-0.267643	-2.0732	0.02123
39	-0.261964	-2.0292	0.023443
40	-0.227624	-1.7632	0.041482
41	-0.185015	-1.4331	0.078507
42	-0.176953	-1.3707	0.087791
43	-0.181925	-1.4092	0.081972
44	-0.177554	-1.3753	0.087072
45	-0.148701	-1.1518	0.126979
46	-0.110965	-0.8595	0.196734
47	-0.068168	-0.528	0.299715
48	-0.039992	-0.3098	0.378903
49	-0.042362	-0.3281	0.371975
50	-0.039069	-0.3026	0.381611
51	-0.021676	-0.1679	0.433612
52	0.007859	0.0609	0.475829
53	0.034178	0.2647	0.396059
54	0.02833	0.2194	0.413523
55	0.013297	0.103	0.459153
56	0.003268	0.0253	0.489943
57	0.000992	0.0077	0.496947
58	0.001831	0.0142	0.494367
59	0.003191	0.0247	0.49018
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.885042	6.8555	0
2	-0.279454	-2.1646	0.017202
3	0.172678	1.3376	0.093045
4	0.156543	1.2126	0.115022
5	0.11947	0.9254	0.179229
6	-0.18368	-1.4228	0.079989
7	-0.018087	-0.1401	0.444523
8	0.04007	0.3104	0.378672
9	0.124523	0.9645	0.169321
10	0.120621	0.9343	0.17694
11	0.189239	1.4658	0.073957
12	-0.178134	-1.3798	0.086381
13	-0.582263	-4.5102	1.5e-05
14	0.069226	0.5362	0.296893
15	-0.074474	-0.5769	0.283092
16	-0.041682	-0.3229	0.373959
17	-0.04601	-0.3564	0.361398
18	0.071826	0.5564	0.290017
19	0.029707	0.2301	0.409396
20	-0.175726	-1.3612	0.089275
21	0.041423	0.3209	0.374717
22	-0.03012	-0.2333	0.408158
23	-0.046261	-0.3583	0.360675
24	0.043221	0.3348	0.369475
25	0.015807	0.1224	0.451479
26	-0.045843	-0.3551	0.361879
27	0.069093	0.5352	0.297247
28	-0.078005	-0.6042	0.273987
29	0.070185	0.5436	0.294349
30	0.003652	0.0283	0.488763
31	-0.006806	-0.0527	0.479066
32	-0.045209	-0.3502	0.363713
33	-0.008845	-0.0685	0.472802
34	-0.038391	-0.2974	0.383605
35	-0.010169	-0.0788	0.46874
36	0.102361	0.7929	0.215485
37	-0.034891	-0.2703	0.393942
38	0.015916	0.1233	0.451147
39	-0.02764	-0.2141	0.415599
40	-0.02566	-0.1988	0.42156
41	-0.141872	-1.0989	0.138094
42	-0.035465	-0.2747	0.39224
43	0.047068	0.3646	0.358352
44	0.014668	0.1136	0.454959
45	-0.003544	-0.0274	0.489097
46	-0.042295	-0.3276	0.372172
47	0.022071	0.171	0.432416
48	-0.07816	-0.6054	0.273589
49	0.131404	1.0179	0.156418
50	-0.015476	-0.1199	0.45249
51	-0.013365	-0.1035	0.458947
52	-0.015855	-0.1228	0.451335
53	0.020998	0.1626	0.435672
54	-0.077205	-0.598	0.276037
55	-0.053936	-0.4178	0.338798
56	0.008717	0.0675	0.473196
57	-0.08199	-0.6351	0.263892
58	-0.007612	-0.059	0.47659
59	-0.046961	-0.3638	0.358658
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229185420nedug7h86ezsx81/158v61229185243.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229185420nedug7h86ezsx81/158v61229185243.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229185420nedug7h86ezsx81/2jzvg1229185243.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229185420nedug7h86ezsx81/2jzvg1229185243.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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')

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