Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2008 » Dec » 18 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 18 Dec 2008 04:07:16 -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/18/t1229598460wkjx5udgf9d0mo8.htm/, Retrieved Thu, 18 Dec 2008 12:07:45 +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/18/t1229598460wkjx5udgf9d0mo8.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 «

6.3 6.1 6.1 6.3 6.3 6 6.2 6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7

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	3 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.493728	3.4206	0.000642
2	-0.163657	-1.1338	0.131245
3	-0.685537	-4.7495	9e-06
4	-0.585826	-4.0587	9e-05
5	-0.18389	-1.274	0.104394
6	0.178932	1.2397	0.11056
7	0.363513	2.5185	0.007587
8	0.317408	2.1991	0.016362
9	0.222944	1.5446	0.064506
10	-0.056218	-0.3895	0.349318
11	-0.235041	-1.6284	0.054992
12	-0.325881	-2.2578	0.014273
13	-0.149848	-1.0382	0.152195
14	0.062884	0.4357	0.332513
15	0.203056	1.4068	0.082962
16	0.159691	1.1064	0.13704
17	0.041397	0.2868	0.387748
18	0.037517	0.2599	0.398017
19	-0.064287	-0.4454	0.32902
20	-0.072115	-0.4996	0.30981
21	-0.16263	-1.1267	0.132728
22	-0.067239	-0.4658	0.321716
23	0.067451	0.4673	0.321194
24	0.186719	1.2936	0.100992
25	0.145444	1.0077	0.159333
26	-0.007504	-0.052	0.479376
27	-0.115021	-0.7969	0.214719
28	-0.134184	-0.9297	0.178601
29	-0.07066	-0.4895	0.313342
30	-0.036448	-0.2525	0.400858
31	0.010956	0.0759	0.469904
32	0.09557	0.6621	0.255528
33	0.165922	1.1495	0.128014
34	0.098727	0.684	0.248632
35	-0.07206	-0.4992	0.309944
36	-0.170286	-1.1798	0.121952
37	-0.145179	-1.0058	0.15977
38	0.0283	0.1961	0.422693
39	0.112588	0.78	0.2196
40	0.100626	0.6972	0.244535
41	0.003235	0.0224	0.491105
42	-0.044078	-0.3054	0.380697
43	-0.040247	-0.2788	0.390783
44	-0.008451	-0.0585	0.476778
45	-0.00016	-0.0011	0.499561
46	-0.000277	-0.0019	0.499239
47	0.000117	8e-04	0.499678
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	0.493728	3.4206	0.000642
2	-0.538755	-3.7326	0.000251
3	-0.550005	-3.8105	0.000197
4	-0.043744	-0.3031	0.381574
5	-0.209054	-1.4484	0.077007
6	-0.422332	-2.926	0.002616
7	-0.110559	-0.766	0.223721
8	-0.076935	-0.533	0.29824
9	0.071586	0.496	0.311091
10	-0.201644	-1.397	0.084415
11	0.03194	0.2213	0.412904
12	0.041553	0.2879	0.387336
13	0.055375	0.3836	0.351466
14	-0.031236	-0.2164	0.414792
15	0.002958	0.0205	0.491868
16	-0.061722	-0.4276	0.335418
17	-0.031295	-0.2168	0.414635
18	0.209412	1.4509	0.076663
19	-0.196082	-1.3585	0.090329
20	0.042667	0.2956	0.384402
21	0.008204	0.0568	0.477456
22	0.012227	0.0847	0.466423
23	0.079357	0.5498	0.292502
24	0.053047	0.3675	0.357422
25	0.076688	0.5313	0.298828
26	0.10227	0.7085	0.241017
27	0.019574	0.1356	0.446347
28	0.14167	0.9815	0.165629
29	-0.074973	-0.5194	0.302925
30	-0.064776	-0.4488	0.327803
31	-0.104573	-0.7245	0.236136
32	0.035322	0.2447	0.403859
33	-0.103919	-0.72	0.237517
34	-0.131987	-0.9144	0.182529
35	-0.101253	-0.7015	0.243189
36	0.015712	0.1089	0.456886
37	-0.045154	-0.3128	0.377881
38	-0.004935	-0.0342	0.486434
39	0.060806	0.4213	0.337716
40	0.002883	0.02	0.492074
41	-0.032341	-0.2241	0.41183
42	0.003383	0.0234	0.4907
43	-0.064963	-0.4501	0.32734
44	0.012062	0.0836	0.466875
45	-0.048513	-0.3361	0.369126
46	-0.035177	-0.2437	0.404246
47	-0.089428	-0.6196	0.269234
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/18/t1229598460wkjx5udgf9d0mo8/13fcd1229598433.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229598460wkjx5udgf9d0mo8/13fcd1229598433.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229598460wkjx5udgf9d0mo8/2wuxk1229598433.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229598460wkjx5udgf9d0mo8/2wuxk1229598433.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