Home » date » 2008 » Dec » 19 »

auto corr inv

*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: Fri, 19 Dec 2008 04:19:14 -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/19/t12296856010tamxojir5jy1wm.htm/, Retrieved Fri, 19 Dec 2008 12:20:07 +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/19/t12296856010tamxojir5jy1wm.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 «

93,0 99,2 112,2 112,1 103,3 108,2 90,4 72,8 111,0 117,9 111,3 110,5 94,8 100,4 132,1 114,6 101,9 130,2 84,0 86,4 122,3 120,9 110,2 112,6 102,0 105,0 130,5 115,5 103,7 130,9 89,1 93,8 123,8 111,9 118,3 116,9 103,6 116,6 141,3 107,0 125,2 136,4 91,6 95,3 132,3 130,6 131,9 118,6 114,3 111,3 126,5 112,1 119,3 142,4 101,1 97,4 129,1 136,9 129,8 123,9

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	0.127705	0.9892	0.163269
2	-0.211408	-1.6376	0.053374
3	0.236878	1.8349	0.035743
4	-0.052329	-0.4053	0.343334
5	0.078793	0.6103	0.271976
6	0.491399	3.8064	0.000167
7	0.079066	0.6124	0.271279
8	-0.034315	-0.2658	0.395652
9	0.158316	1.2263	0.112436
10	-0.263039	-2.0375	0.023009
11	0.070609	0.5469	0.293225
12	0.662938	5.1351	2e-06
13	0.003959	0.0307	0.48782
14	-0.202933	-1.5719	0.060615
15	0.139607	1.0814	0.141926
16	-0.148858	-1.153	0.126732
17	-0.008855	-0.0686	0.472773
18	0.315927	2.4472	0.008672
19	0.020473	0.1586	0.437266
20	-0.040641	-0.3148	0.377002
21	0.073702	0.5709	0.285103
22	-0.281349	-2.1793	0.016622
23	0.017978	0.1393	0.444856
24	0.375503	2.9086	0.002542
25	-0.097798	-0.7575	0.225846
26	-0.149382	-1.1571	0.125907
27	0.019133	0.1482	0.44134
28	-0.197689	-1.5313	0.065477
29	-0.057052	-0.4419	0.330066
30	0.150561	1.1662	0.124067
31	-0.026022	-0.2016	0.42047
32	-0.045952	-0.3559	0.361565
33	-0.070556	-0.5465	0.293366
34	-0.272516	-2.1109	0.019478
35	-0.044957	-0.3482	0.36444
36	0.186517	1.4448	0.076865
37	-0.098975	-0.7667	0.223147
38	-0.172255	-1.3343	0.093576
39	-0.074137	-0.5743	0.283968
40	-0.192716	-1.4928	0.070368
41	-0.112208	-0.8692	0.194111
42	0.071905	0.557	0.289808
43	-0.001478	-0.0114	0.495452
44	-0.069631	-0.5394	0.295816
45	-0.105341	-0.816	0.208873
46	-0.17321	-1.3417	0.092378
47	-0.044054	-0.3412	0.367058
48	0.038607	0.299	0.382968
49	-0.048362	-0.3746	0.354637
50	-0.095502	-0.7398	0.231167
51	-0.085095	-0.6591	0.256162
52	-0.112209	-0.8692	0.19411
53	-0.075275	-0.5831	0.281013
54	0.010123	0.0784	0.468879
55	-0.008191	-0.0634	0.474812
56	-0.05195	-0.4024	0.344409
57	-0.054157	-0.4195	0.338176
58	-0.03458	-0.2679	0.394864
59	-0.014721	-0.114	0.454799
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.127705	0.9892	0.163269
2	-0.231492	-1.7931	0.038996
3	0.321908	2.4935	0.007712
4	-0.249233	-1.9305	0.029134
5	0.37142	2.877	0.002776
6	0.27884	2.1599	0.017394
7	0.087153	0.6751	0.251107
8	0.123241	0.9546	0.171799
9	-0.026311	-0.2038	0.419598
10	-0.36533	-2.8298	0.003163
11	0.233318	1.8073	0.037867
12	0.372548	2.8857	0.002709
13	-0.119771	-0.9277	0.17863
14	-0.083691	-0.6483	0.259642
15	-0.084776	-0.6567	0.256952
16	-0.036316	-0.2813	0.389724
17	-0.04531	-0.351	0.363419
18	-0.144558	-1.1197	0.133644
19	0.098867	0.7658	0.223393
20	-0.030758	-0.2382	0.40625
21	0.093754	0.7262	0.235264
22	-0.058476	-0.453	0.326108
23	0.051138	0.3961	0.346714
24	-0.185367	-1.4358	0.078119
25	0.016334	0.1265	0.44987
26	-0.060929	-0.472	0.319335
27	-0.0964	-0.7467	0.229078
28	0.012627	0.0978	0.461204
29	-0.028286	-0.2191	0.413657
30	-0.008343	-0.0646	0.474342
31	0.065748	0.5093	0.306211
32	-0.073373	-0.5683	0.285961
33	-0.068665	-0.5319	0.298387
34	-0.025152	-0.1948	0.423093
35	-0.099713	-0.7724	0.221462
36	0.080941	0.627	0.266531
37	-0.012923	-0.1001	0.460299
38	-0.158369	-1.2267	0.11236
39	0.068282	0.5289	0.29941
40	-0.098642	-0.7641	0.223908
41	-0.000527	-0.0041	0.498379
42	0.027706	0.2146	0.415401
43	0.006938	0.0537	0.478661
44	0.00174	0.0135	0.494646
45	0.087604	0.6786	0.250008
46	0.074886	0.5801	0.282022
47	0.003123	0.0242	0.49039
48	-0.20401	-1.5803	0.059653
49	0.011897	0.0922	0.463443
50	0.023832	0.1846	0.427082
51	-0.025356	-0.1964	0.422477
52	-0.004444	-0.0344	0.486326
53	0.074395	0.5763	0.283298
54	-0.081099	-0.6282	0.266131
55	-0.086286	-0.6684	0.25323
56	0.048861	0.3785	0.353207
57	0.040806	0.3161	0.37652
58	0.044198	0.3424	0.36664
59	0.073193	0.567	0.286431
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296856010tamxojir5jy1wm/1pu551229685552.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296856010tamxojir5jy1wm/1pu551229685552.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296856010tamxojir5jy1wm/2amvy1229685552.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12296856010tamxojir5jy1wm/2amvy1229685552.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 2.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2.0 ; 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