Home » date » 2008 » Dec » 19 »

Paper12

*Unverified author*

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 06:29:09 -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/t1229693371jzkh3vusp5hnky0.htm/, Retrieved Fri, 19 Dec 2008 14:29:31 +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/t1229693371jzkh3vusp5hnky0.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 «

65.1 72.5 70.6 81.9 72 70.9 71.1 65.1 78.1 92 77.8 63.3 56.2 79.2 69 66.1 77.5 69.3 70.2 70.2 78.2 85.4 82.4 61.2 52.2 85.3 79.9 72.2 85.7 75.5 69.2 77.6 85.3 77 89.9 60 54.3 84 69.9 75.1 81.7 69.9 68.3 77.3 77.4 85.3 91 60.6 57.6 93.8 78.7 80.3 89.8 77.5 71.7 83.2 86.2 100.7 100.8 57.1

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	0.141618	0.9812	0.165717
2	0.135883	0.9414	0.1756
3	0.438583	3.0386	0.00192
4	0.03166	0.2193	0.413656
5	0.087533	0.6064	0.273538
6	0.192394	1.3329	0.094421
7	-0.070282	-0.4869	0.314264
8	-0.021416	-0.1484	0.441334
9	0.036108	0.2502	0.401763
10	-0.223055	-1.5454	0.064412
11	-0.222123	-1.5389	0.065196
12	-0.186965	-1.2953	0.100701
13	-0.237446	-1.6451	0.053244
14	-0.245021	-1.6976	0.048033
15	-0.119971	-0.8312	0.204993
16	-0.210025	-1.4551	0.076076
17	-0.133765	-0.9268	0.179345
18	0.091165	0.6316	0.26532
19	-0.112405	-0.7788	0.219971
20	-0.00169	-0.0117	0.495354
21	0.174043	1.2058	0.116902
22	-0.001788	-0.0124	0.495084
23	0.282358	1.9562	0.028135
24	0.060304	0.4178	0.338978
25	0.044347	0.3072	0.379992
26	0.279343	1.9353	0.029426
27	0.060715	0.4206	0.337946
28	0.008574	0.0594	0.47644
29	0.185788	1.2872	0.102102
30	0.034097	0.2362	0.40713
31	0.016384	0.1135	0.455051
32	0.061674	0.4273	0.33554
33	-0.110804	-0.7677	0.223221
34	-0.138634	-0.9605	0.170812
35	-0.092274	-0.6393	0.262836
36	-0.069177	-0.4793	0.316961
37	-0.130804	-0.9062	0.184669
38	-0.069352	-0.4805	0.316533
39	-0.034025	-0.2357	0.407321
40	-0.09141	-0.6333	0.264769
41	-0.079071	-0.5478	0.293178
42	-0.108694	-0.7531	0.227547
43	-0.110786	-0.7675	0.223257
44	0.030024	0.208	0.418051
45	-0.045822	-0.3175	0.376135
46	-0.05658	-0.392	0.348396
47	0.030792	0.2133	0.415986
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	0.141618	0.9812	0.165717
2	0.118198	0.8189	0.208446
3	0.419015	2.903	0.002784
4	-0.087471	-0.606	0.273679
5	0.009013	0.0624	0.475235
6	0.005998	0.0416	0.483514
7	-0.094031	-0.6515	0.258926
8	-0.072565	-0.5027	0.308721
9	-0.026796	-0.1856	0.426752
10	-0.181062	-1.2544	0.107879
11	-0.207467	-1.4374	0.07855
12	-0.178234	-1.2348	0.11145
13	-0.027255	-0.1888	0.425511
14	-0.076344	-0.5289	0.299647
15	0.074247	0.5144	0.304668
16	-0.045791	-0.3172	0.376215
17	0.059332	0.4111	0.341426
18	0.220961	1.5309	0.066184
19	0.019895	0.1378	0.445473
20	0.056036	0.3882	0.349782
21	0.053696	0.372	0.35576
22	-0.037284	-0.2583	0.398635
23	0.230183	1.5948	0.058666
24	-0.294916	-2.0432	0.02327
25	-0.042607	-0.2952	0.384561
26	-0.060519	-0.4193	0.338439
27	-0.060537	-0.4194	0.338394
28	-0.091401	-0.6332	0.26479
29	0.034303	0.2377	0.40658
30	0.09146	0.6337	0.264659
31	0.11277	0.7813	0.219234
32	0.035335	0.2448	0.403824
33	0.058561	0.4057	0.343374
34	-0.094727	-0.6563	0.257387
35	-0.031461	-0.218	0.414189
36	-0.010659	-0.0738	0.47072
37	0.058665	0.4064	0.343111
38	-0.051801	-0.3589	0.360627
39	-0.00531	-0.0368	0.485402
40	-0.002904	-0.0201	0.492015
41	-0.147573	-1.0224	0.155856
42	-0.054639	-0.3786	0.353344
43	-0.058895	-0.408	0.342531
44	-0.045193	-0.3131	0.377777
45	0.030324	0.2101	0.417242
46	-0.141989	-0.9837	0.165091
47	0.049998	0.3464	0.365279
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/t1229693371jzkh3vusp5hnky0/1wn8s1229693344.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229693371jzkh3vusp5hnky0/1wn8s1229693344.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229693371jzkh3vusp5hnky0/2izzz1229693345.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229693371jzkh3vusp5hnky0/2izzz1229693345.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1.0 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1.0 ; 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