Home » date » 2008 » Dec » 19 »

Paper - ACF

*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 10:24:24 -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/t1229707508ynx0j6og5vrxby0.htm/, Retrieved Fri, 19 Dec 2008 18:25:10 +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/t1229707508ynx0j6og5vrxby0.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 «

90.8 96.4 90 92.1 97.2 95.1 88.5 91 90.5 75 66.3 66 68.4 70.6 83.9 90.1 90.6 87.1 90.8 94.1 99.8 96.8 87 96.3 107.1 115.2 106.1 89.5 91.3 97.6 100.7 104.6 94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147 145.8 164.4 149.8 137.7 151.7 156.8 180 180.4 170.4 191.6 199.5 218.2 217.5 205 194 199.3

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	0.051025	0.3919	0.348262
2	-0.144024	-1.1063	0.136551
3	-0.151793	-1.1659	0.124164
4	-0.178163	-1.3685	0.088173
5	0.409404	3.1447	0.001302
6	0.028175	0.2164	0.414705
7	-0.131468	-1.0098	0.158351
8	-0.150366	-1.155	0.126377
9	-0.126241	-0.9697	0.168083
10	0.253541	1.9475	0.02812
11	0.102741	0.7892	0.216587
12	-0.007892	-0.0606	0.475933
13	-0.117915	-0.9057	0.184384
14	-0.040691	-0.3126	0.37786
15	0.076901	0.5907	0.278492
16	-0.056368	-0.433	0.333307
17	0.075175	0.5774	0.282924
18	-0.147822	-1.1354	0.130391
19	0.073974	0.5682	0.286025
20	0.195252	1.4998	0.069505
21	-0.059219	-0.4549	0.325437
22	-0.048203	-0.3703	0.35626
23	-0.205524	-1.5787	0.059881
24	0.034067	0.2617	0.397241
25	0.222322	1.7077	0.046476
26	0.017201	0.1321	0.44767
27	-0.130041	-0.9989	0.16097
28	-0.157022	-1.2061	0.116295
29	-0.015181	-0.1166	0.453785
30	0.204199	1.5685	0.061058
31	0.067959	0.522	0.301812
32	-0.071564	-0.5497	0.292301
33	-0.185592	-1.4256	0.079632
34	-0.089597	-0.6882	0.24701
35	0.074096	0.5691	0.28571
36	0.06698	0.5145	0.304417
37	0.025626	0.1968	0.422315
38	-0.03544	-0.2722	0.393201
39	-0.011737	-0.0902	0.464235
40	-0.024553	-0.1886	0.42553
41	0.024498	0.1882	0.425694
42	-0.010364	-0.0796	0.46841
43	-0.10165	-0.7808	0.219024
44	-0.106008	-0.8143	0.209384
45	-0.064642	-0.4965	0.310684
46	-0.045821	-0.352	0.363061
47	0.019292	0.1482	0.441352
48	0.013297	0.1021	0.459497
49	0.04274	0.3283	0.371926
50	0.006807	0.0523	0.47924
51	-0.006922	-0.0532	0.478889
52	0.038979	0.2994	0.382842
53	-0.029777	-0.2287	0.409938
54	0.005255	0.0404	0.483971
55	0.024404	0.1875	0.425975
56	0.011048	0.0849	0.466328
57	-0.016085	-0.1236	0.451045
58	0.002726	0.0209	0.491682
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.051025	0.3919	0.348262
2	-0.14701	-1.1292	0.131691
3	-0.139226	-1.0694	0.144619
4	-0.193621	-1.4872	0.071139
5	0.409436	3.1449	0.001301
6	-0.114633	-0.8805	0.191077
7	-0.077594	-0.596	0.276725
8	-0.109252	-0.8392	0.202378
9	0.035814	0.2751	0.392102
10	0.053779	0.4131	0.340522
11	0.034427	0.2644	0.39618
12	0.042476	0.3263	0.372688
13	-0.035023	-0.269	0.394428
14	0.100178	0.7695	0.222338
15	-0.089067	-0.6841	0.248283
16	-0.135638	-1.0419	0.150865
17	0.1094	0.8403	0.202061
18	-0.107067	-0.8224	0.207081
19	0.156965	1.2057	0.116378
20	0.118975	0.9139	0.182255
21	-0.00236	-0.0181	0.4928
22	-0.186635	-1.4336	0.078487
23	-0.054868	-0.4214	0.33748
24	0.019461	0.1495	0.440841
25	0.074154	0.5696	0.285561
26	0.055658	0.4275	0.335281
27	-0.135589	-1.0415	0.150951
28	0.06767	0.5198	0.30258
29	-0.060857	-0.4674	0.32095
30	0.024571	0.1887	0.425474
31	-0.119446	-0.9175	0.181313
32	0.107289	0.8241	0.2066
33	-0.070844	-0.5442	0.29419
34	-0.061803	-0.4747	0.318371
35	-0.029953	-0.2301	0.409415
36	-0.06185	-0.4751	0.318243
37	0.041074	0.3155	0.376751
38	0.077878	0.5982	0.276
39	0.041988	0.3225	0.3741
40	-0.121172	-0.9307	0.17789
41	0.041732	0.3206	0.374842
42	-0.072815	-0.5593	0.289036
43	-0.133706	-1.027	0.154303
44	-0.120432	-0.9251	0.179352
45	-0.101888	-0.7826	0.218491
46	-0.033841	-0.2599	0.397908
47	0.022571	0.1734	0.431476
48	0.071156	0.5466	0.293371
49	-0.049219	-0.3781	0.353373
50	-0.053821	-0.4134	0.340403
51	0.013964	0.1073	0.457474
52	0.053572	0.4115	0.341101
53	0.051149	0.3929	0.34791
54	-0.021644	-0.1663	0.434264
55	0.059748	0.4589	0.323984
56	-0.00311	-0.0239	0.490513
57	-0.019329	-0.1485	0.441239
58	-0.052922	-0.4065	0.342923
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/t1229707508ynx0j6og5vrxby0/1zurv1229707462.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707508ynx0j6og5vrxby0/1zurv1229707462.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707508ynx0j6og5vrxby0/2bzaj1229707462.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707508ynx0j6og5vrxby0/2bzaj1229707462.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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