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 04:23:02 -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/t122968584821hensa92rs548z.htm/, Retrieved Fri, 19 Dec 2008 12:24:10 +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/19/t122968584821hensa92rs548z.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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.532691	-3.6519	0.000326
2	-0.083357	-0.5715	0.285203
3	0.310883	2.1313	0.019162
4	-0.225653	-1.547	0.064285
5	-0.083328	-0.5713	0.285269
6	0.208222	1.4275	0.080023
7	-0.148339	-1.017	0.15719
8	0.13328	0.9137	0.182764
9	-0.081171	-0.5565	0.290262
10	-0.049042	-0.3362	0.369103
11	0.208797	1.4314	0.079461
12	-0.256965	-1.7617	0.042315
13	0.063992	0.4387	0.331441
14	0.068642	0.4706	0.320056
15	-0.032658	-0.2239	0.411907
16	-0.140365	-0.9623	0.170413
17	0.289559	1.9851	0.026492
18	-0.150103	-1.0291	0.154361
19	-0.088373	-0.6059	0.273762
20	0.065842	0.4514	0.326893
21	0.143495	0.9837	0.165138
22	-0.285231	-1.9554	0.028245
23	0.231947	1.5902	0.059253
24	-0.023051	-0.158	0.437554
25	-0.117609	-0.8063	0.21207
26	0.120991	0.8295	0.205515
27	-0.066911	-0.4587	0.324276
28	0.036704	0.2516	0.401212
29	0.032943	0.2258	0.411149
30	-0.126452	-0.8669	0.195198
31	0.119265	0.8176	0.208845
32	0.040063	0.2747	0.392391
33	-0.208352	-1.4284	0.079896
34	0.242688	1.6638	0.051405
35	-0.124199	-0.8515	0.199415
36	-0.064598	-0.4429	0.329949
37	0.119972	0.8225	0.207477
38	-0.064107	-0.4395	0.331159
39	-0.040997	-0.2811	0.389949
40	0.120148	0.8237	0.207137
41	-0.079008	-0.5417	0.295309
42	-0.01283	-0.088	0.465142
43	0.057058	0.3912	0.348719
44	-0.053309	-0.3655	0.3582
45	0.024829	0.1702	0.432783
46	-0.00062	-0.0043	0.498312
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	-0.532691	-3.6519	0.000326
2	-0.51256	-3.5139	0.000494
3	-0.055516	-0.3806	0.352609
4	-0.080441	-0.5515	0.29196
5	-0.264713	-1.8148	0.037971
6	-0.175127	-1.2006	0.117959
7	-0.193086	-1.3237	0.095998
8	0.11015	0.7551	0.226964
9	-0.019858	-0.1361	0.446147
10	-0.140492	-0.9632	0.170198
11	0.135654	0.93	0.178563
12	-0.026316	-0.1804	0.428801
13	-0.060571	-0.4153	0.339923
14	-0.236563	-1.6218	0.055769
15	-0.009207	-0.0631	0.47497
16	-0.273697	-1.8764	0.03341
17	-0.025418	-0.1743	0.431205
18	0.01186	0.0813	0.467772
19	-0.122759	-0.8416	0.202138
20	-0.267738	-1.8355	0.03638
21	0.059481	0.4078	0.342644
22	-0.123954	-0.8498	0.199875
23	0.001852	0.0127	0.494961
24	-0.080224	-0.55	0.292467
25	-0.099024	-0.6789	0.250274
26	-0.042264	-0.2897	0.386642
27	-0.0634	-0.4346	0.332904
28	-0.059786	-0.4099	0.34188
29	0.021783	0.1493	0.440965
30	-0.044966	-0.3083	0.379618
31	-0.006203	-0.0425	0.483129
32	-0.001848	-0.0127	0.494973
33	0.071873	0.4927	0.312246
34	0.010579	0.0725	0.471245
35	-0.000622	-0.0043	0.498309
36	-0.011295	-0.0774	0.469303
37	0.06172	0.4231	0.337065
38	-0.144436	-0.9902	0.163573
39	-0.087807	-0.602	0.275042
40	-0.037379	-0.2563	0.399434
41	0.088521	0.6069	0.27343
42	-0.089301	-0.6122	0.271672
43	0.025316	0.1736	0.43148
44	-0.011204	-0.0768	0.469551
45	0.069072	0.4735	0.319011
46	0.008115	0.0556	0.477934
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/19/t122968584821hensa92rs548z/12eh21229685780.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968584821hensa92rs548z/12eh21229685780.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968584821hensa92rs548z/2c5qg1229685780.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t122968584821hensa92rs548z/2c5qg1229685780.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 2.0 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2.0 ; 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