Home » date » 2008 » Dec » 19 »

ACF d=1,D=0

*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 08:27:04 -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/t1229700497xur5mka7iadccsg.htm/, Retrieved Fri, 19 Dec 2008 16:28:19 +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/t1229700497xur5mka7iadccsg.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 «

29.59 30.7 30.52 32.67 33.19 37.13 35.54 37.75 41.84 42.94 49.14 44.61 40.22 44.23 45.85 53.38 53.26 51.8 55.3 57.81 63.96 63.77 59.15 56.12 57.42 63.52 61.71 63.01 68.18 72.03 69.75 74.41 74.33 64.24 60.03 59.44 62.5 55.04 58.34 61.92 67.65 67.68 70.3 75.26 71.44 76.36 81.71 92.6 90.6 92.23 94.09 102.79 109.65 124.05 132.69 135.81 116.07 101.42 75.73 55.48

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	0.332116	2.551	0.006677
2	0.143945	1.1057	0.13668
3	0.021791	0.1674	0.433823
4	-0.053048	-0.4075	0.342568
5	-0.005336	-0.041	0.483722
6	-0.142628	-1.0955	0.138864
7	-0.024995	-0.192	0.424204
8	-0.097592	-0.7496	0.228231
9	-0.11198	-0.8601	0.196597
10	0.074704	0.5738	0.284139
11	0.094021	0.7222	0.236516
12	-0.078015	-0.5992	0.275651
13	-0.125607	-0.9648	0.16929
14	-0.052922	-0.4065	0.342922
15	0.070425	0.5409	0.29529
16	-0.096721	-0.7429	0.230236
17	-0.115082	-0.884	0.190153
18	-0.104434	-0.8022	0.212836
19	-0.135592	-1.0415	0.150947
20	-0.066913	-0.514	0.304597
21	0.091467	0.7026	0.242544
22	0.148693	1.1421	0.129007
23	0.053532	0.4112	0.341213
24	0.074743	0.5741	0.284038
25	0.146148	1.1226	0.133081
26	0.15174	1.1655	0.124246
27	-0.025059	-0.1925	0.424012
28	-0.046765	-0.3592	0.36036
29	-0.080838	-0.6209	0.26852
30	-0.082544	-0.634	0.264256
31	-0.05371	-0.4126	0.340714
32	0.019285	0.1481	0.441372
33	0.049602	0.381	0.352286
34	-0.043921	-0.3374	0.368521
35	0.085931	0.66	0.255895
36	0.072644	0.558	0.289482
37	0.095291	0.7319	0.233549
38	0.00237	0.0182	0.49277
39	-0.056197	-0.4317	0.333782
40	-0.02593	-0.1992	0.421406
41	-0.072871	-0.5597	0.28889
42	0.012563	0.0965	0.461726
43	-0.087263	-0.6703	0.252648
44	-0.052706	-0.4048	0.34353
45	0.014772	0.1135	0.455024
46	0.043111	0.3311	0.370855
47	0.112179	0.8617	0.196181
48	-0.009039	-0.0694	0.472442
49	-0.124805	-0.9586	0.170825
50	-0.047859	-0.3676	0.35724
51	-0.111004	-0.8526	0.198654
52	-0.028538	-0.2192	0.413624
53	-0.046094	-0.3541	0.362281
54	-0.090424	-0.6946	0.24503
55	-0.047185	-0.3624	0.359161
56	-0.041188	-0.3164	0.376417
57	-0.005965	-0.0458	0.481806
58	-0.0203	-0.1559	0.438311
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.332116	2.551	0.006677
2	0.037815	0.2905	0.386239
3	-0.041385	-0.3179	0.375849
4	-0.060489	-0.4646	0.321954
5	0.038066	0.2924	0.385508
6	-0.158283	-1.2158	0.114453
7	0.071562	0.5497	0.292309
8	-0.101344	-0.7784	0.219711
9	-0.06317	-0.4852	0.31466
10	0.150011	1.1523	0.126932
11	0.060807	0.4671	0.321087
12	-0.224217	-1.7222	0.045132
13	-0.050081	-0.3847	0.350929
14	0.048961	0.3761	0.354104
15	0.087896	0.6751	0.251111
16	-0.184152	-1.4145	0.081236
17	-0.066874	-0.5137	0.304701
18	-0.05752	-0.4418	0.330118
19	-0.036757	-0.2823	0.389337
20	-0.034745	-0.2669	0.395244
21	0.129688	0.9962	0.161622
22	0.038754	0.2977	0.383499
23	0.00643	0.0494	0.480388
24	0.050816	0.3903	0.348851
25	0.040796	0.3134	0.377557
26	0.039059	0.3	0.382609
27	-0.053592	-0.4116	0.341045
28	-0.017493	-0.1344	0.446786
29	-0.06602	-0.5071	0.306985
30	-0.004292	-0.033	0.486905
31	-0.010888	-0.0836	0.466817
32	0.013243	0.1017	0.459662
33	0.02448	0.188	0.425747
34	-0.013015	-0.1	0.460354
35	0.11199	0.8602	0.196577
36	-0.072182	-0.5544	0.290686
37	0.070494	0.5415	0.295109
38	0.021922	0.1684	0.433429
39	-0.036888	-0.2833	0.388953
40	-0.015748	-0.121	0.452065
41	0.022544	0.1732	0.431558
42	0.067667	0.5198	0.302589
43	-0.162744	-1.2501	0.108107
44	0.049118	0.3773	0.353659
45	0.085011	0.653	0.258153
46	-0.015219	-0.1169	0.453668
47	-0.017928	-0.1377	0.44547
48	-0.074431	-0.5717	0.284844
49	-0.138736	-1.0657	0.145461
50	0.059372	0.456	0.325017
51	-0.045918	-0.3527	0.362783
52	-0.027348	-0.2101	0.417172
53	0.008626	0.0663	0.4737
54	-0.006831	-0.0525	0.479167
55	-0.045717	-0.3512	0.36336
56	-0.018971	-0.1457	0.442319
57	-0.114198	-0.8772	0.191976
58	0.012423	0.0954	0.462151
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/t1229700497xur5mka7iadccsg/1fl6t1229700422.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700497xur5mka7iadccsg/1fl6t1229700422.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700497xur5mka7iadccsg/2bwon1229700422.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700497xur5mka7iadccsg/2bwon1229700422.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.2 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.2 ; par3 = 1 ; 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