Home » date » 2008 » Dec » 13 »

step 2

*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: Sat, 13 Dec 2008 10:48:01 -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/t1229190562zo8pj7aiu6q7b9w.htm/, Retrieved Sat, 13 Dec 2008 18:49:24 +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/t1229190562zo8pj7aiu6q7b9w.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 «

117.09 116.77 119.39 122.49 124.08 118.29 112.94 113.79 114.43 118.70 120.36 118.27 118.34 117.82 117.65 118.18 121.02 124.78 131.16 130.14 131.75 134.73 135.35 140.32 136.35 131.60 128.90 133.89 138.25 146.23 144.76 149.30 156.80 159.08 165.12 163.14 153.43 151.01 154.72 154.58 155.63 161.67 163.51 162.91 164.80 164.98 154.54 148.60 149.19 150.61

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	0.13163	0.8007	0.214217
2	-0.209317	-1.2732	0.10544
3	-0.083852	-0.5101	0.306522
4	-0.0548	-0.3333	0.370381
5	0.107404	0.6533	0.258798
6	0.110809	0.674	0.252243
7	-0.111679	-0.6793	0.250583
8	-0.22058	-1.3417	0.09393
9	-0.029056	-0.1767	0.430338
10	0.184227	1.1206	0.134838
11	0.315549	1.9194	0.031335
12	-0.293346	-1.7844	0.041284
13	-0.173361	-1.0545	0.149243
14	0.068011	0.4137	0.340744
15	0.029494	0.1794	0.4293
16	0.143798	0.8747	0.193692
17	-0.044421	-0.2702	0.394252
18	-0.195276	-1.1878	0.121238
19	-0.044812	-0.2726	0.393346
20	0.125703	0.7646	0.224673
21	0.119715	0.7282	0.235537
22	0.008251	0.0502	0.480122
23	-0.20053	-1.2198	0.115134
24	-0.042865	-0.2607	0.39787
25	0.068386	0.416	0.339915
26	-0.072527	-0.4412	0.330832
27	-0.065296	-0.3972	0.346759
28	-0.17122	-1.0415	0.152203
29	-0.16297	-0.9913	0.163988
30	0.064836	0.3944	0.347782
31	0.157979	0.9609	0.171408
32	0.089097	0.542	0.295549
33	-0.00655	-0.0398	0.484217
34	-0.031608	-0.1923	0.424293
35	-0.010316	-0.0628	0.475151
36	-0.000507	-0.0031	0.498777
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.13163	0.8007	0.214217
2	-0.23064	-1.4029	0.084487
3	-0.021051	-0.1281	0.449401
4	-0.092922	-0.5652	0.287667
5	0.114934	0.6991	0.244425
6	0.047228	0.2873	0.387752
7	-0.103966	-0.6324	0.265506
8	-0.165964	-1.0095	0.159641
9	0.001096	0.0067	0.497358
10	0.121633	0.7399	0.232026
11	0.266103	1.6186	0.057009
12	-0.407245	-2.4772	0.008968
13	0.122337	0.7441	0.230744
14	-0.002625	-0.016	0.493674
15	0.020541	0.1249	0.450622
16	0.005344	0.0325	0.48712
17	-0.103608	-0.6302	0.266211
18	0.015769	0.0959	0.462052
19	0.048648	0.2959	0.384476
20	-0.065417	-0.3979	0.346488
21	0.048907	0.2975	0.383879
22	-0.066595	-0.4051	0.343875
23	0.095819	0.5828	0.281768
24	-0.115904	-0.705	0.242606
25	-0.037737	-0.2295	0.409854
26	-0.145302	-0.8838	0.191246
27	-0.097322	-0.592	0.27873
28	-0.069377	-0.422	0.337732
29	-0.141781	-0.8624	0.197006
30	-0.056908	-0.3462	0.365593
31	0.100511	0.6114	0.272342
32	0.036104	0.2196	0.413691
33	0.08556	0.5204	0.302929
34	-0.027926	-0.1699	0.433021
35	-0.06544	-0.3981	0.346437
36	-0.05485	-0.3336	0.370268
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190562zo8pj7aiu6q7b9w/19u1w1229190479.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190562zo8pj7aiu6q7b9w/19u1w1229190479.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190562zo8pj7aiu6q7b9w/27jn41229190479.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229190562zo8pj7aiu6q7b9w/27jn41229190479.ps (open in new window)

Parameters (Session):

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