Home » date » 2008 » Dec » 15 »

ACF

*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: Mon, 15 Dec 2008 15:14:24 -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/15/t1229379310f807xf9s88zxp83.htm/, Retrieved Mon, 15 Dec 2008 23:15:10 +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/15/t1229379310f807xf9s88zxp83.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 «

11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4 21211.2 21423.1 21688.7 23243.2 21490.2 22925.8 23184.8 18562.2

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.133181	-0.9323	0.177885
2	0.105118	0.7358	0.232672
3	0.425624	2.9794	0.002242
4	-0.064091	-0.4486	0.327834
5	0.011675	0.0817	0.467599
6	0.23651	1.6556	0.0521
7	-0.211688	-1.4818	0.072396
8	0.02162	0.1513	0.440165
9	0.172949	1.2106	0.11592
10	-0.106141	-0.743	0.230519
11	-0.097161	-0.6801	0.249812
12	0.072442	0.5071	0.307181
13	-0.114252	-0.7998	0.213854
14	-0.091584	-0.6411	0.262226
15	0.036712	0.257	0.399132
16	-0.220544	-1.5438	0.064535
17	-0.005512	-0.0386	0.48469
18	0.034249	0.2397	0.405764
19	-0.136172	-0.9532	0.172583
20	0.021245	0.1487	0.441194
21	0.001143	0.008	0.496825
22	-0.175499	-1.2285	0.112565
23	0.19422	1.3595	0.0901
24	-0.260447	-1.8231	0.037194
25	-0.018382	-0.1287	0.449072
26	0.075412	0.5279	0.299981
27	-0.149845	-1.0489	0.149682
28	-0.075143	-0.526	0.300629
29	0.06964	0.4875	0.314047
30	-0.152294	-1.0661	0.14581
31	-0.076438	-0.5351	0.297513
32	0.012582	0.0881	0.465089
33	-0.143422	-1.004	0.160167
34	-0.064237	-0.4497	0.32747
35	0.030586	0.2141	0.415678
36	-0.076094	-0.5327	0.298338
37	-0.039511	-0.2766	0.391634
38	0.079512	0.5566	0.290173
39	0.007455	0.0522	0.479296
40	-0.015498	-0.1085	0.457027
41	0.111581	0.7811	0.219261
42	0.02689	0.1882	0.425738
43	0.035311	0.2472	0.402902
44	0.106197	0.7434	0.230402
45	-0.014512	-0.1016	0.459751
46	0.024884	0.1742	0.431219
47	0.03768	0.2638	0.396535
48	-0.009589	-0.0671	0.473378
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	-0.133181	-0.9323	0.177885
2	0.088959	0.6227	0.268181
3	0.462012	3.2341	0.001094
4	0.066971	0.4688	0.320648
5	-0.129872	-0.9091	0.183873
6	0.02776	0.1943	0.423364
7	-0.185787	-1.3005	0.099755
8	-0.055987	-0.3919	0.348412
9	0.147234	1.0306	0.153885
10	0.143805	1.0066	0.159527
11	-0.157209	-1.1005	0.138253
12	-0.176291	-1.234	0.111537
13	-0.065328	-0.4573	0.324741
14	-0.027334	-0.1913	0.424526
15	0.060539	0.4238	0.336793
16	-0.099718	-0.698	0.24423
17	0.027953	0.1957	0.422839
18	0.008938	0.0626	0.475184
19	-0.014462	-0.1012	0.459888
20	0.04373	0.3061	0.380409
21	-0.018167	-0.1272	0.449662
22	-0.182732	-1.2791	0.103439
23	0.132669	0.9287	0.178803
24	-0.221012	-1.5471	0.064139
25	0.028792	0.2015	0.420554
26	0.042077	0.2945	0.384794
27	-0.002967	-0.0208	0.491757
28	-0.138541	-0.9698	0.168457
29	-0.089459	-0.6262	0.267042
30	0.017829	0.1248	0.450595
31	-0.120285	-0.842	0.20194
32	-0.083932	-0.5875	0.279775
33	-0.01247	-0.0873	0.465397
34	0.05855	0.4099	0.34185
35	-0.066881	-0.4682	0.320869
36	0.005757	0.0403	0.484008
37	0.031148	0.218	0.414153
38	-0.064955	-0.4547	0.325673
39	0.091612	0.6413	0.262163
40	-0.045483	-0.3184	0.375775
41	0.040016	0.2801	0.390285
42	0.033635	0.2354	0.407423
43	0.023832	0.1668	0.434096
44	-0.035184	-0.2463	0.403244
45	-0.071669	-0.5017	0.309068
46	-0.134636	-0.9425	0.175292
47	0.005652	0.0396	0.4843
48	-0.101818	-0.7127	0.239697
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/15/t1229379310f807xf9s88zxp83/155ou1229379259.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229379310f807xf9s88zxp83/155ou1229379259.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229379310f807xf9s88zxp83/2viko1229379259.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229379310f807xf9s88zxp83/2viko1229379259.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')

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