Home » date » 2008 » Dec » 21 »

autocorr 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: Sun, 21 Dec 2008 09:50:49 -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/21/t1229878412ahea1zwdhgd8fs8.htm/, Retrieved Sun, 21 Dec 2008 17:53:34 +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/21/t1229878412ahea1zwdhgd8fs8.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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.148463	1.15	0.127355
2	-0.211849	-1.641	0.053018
3	0.199642	1.5464	0.063631
4	-0.073087	-0.5661	0.286709
5	0.084847	0.6572	0.256777
6	0.502486	3.8922	0.000126
7	0.079809	0.6182	0.269392
8	-0.051403	-0.3982	0.345962
9	0.135777	1.0517	0.148572
10	-0.260341	-2.0166	0.02411
11	0.099028	0.7671	0.223025
12	0.671236	5.1994	1e-06
13	0.017882	0.1385	0.44515
14	-0.201283	-1.5591	0.062112
15	0.105095	0.8141	0.209414
16	-0.158577	-1.2283	0.112059
17	-0.00287	-0.0222	0.491169
18	0.322229	2.496	0.007664
19	0.013425	0.104	0.458761
20	-0.053443	-0.414	0.340187
21	0.058753	0.4551	0.32534
22	-0.280309	-2.1713	0.016938
23	0.038698	0.2998	0.382699
24	0.386207	2.9915	0.002012
25	-0.082218	-0.6369	0.263319
26	-0.149725	-1.1598	0.125369
27	-0.004099	-0.0318	0.487388
28	-0.205869	-1.5947	0.058022
29	-0.051383	-0.398	0.346017
30	0.156305	1.2107	0.115373
31	-0.030898	-0.2393	0.405829
32	-0.048961	-0.3793	0.352919
33	-0.076058	-0.5891	0.27899
34	-0.272156	-2.1081	0.019604
35	-0.024991	-0.1936	0.42358
36	0.201222	1.5587	0.062168
37	-0.088978	-0.6892	0.246671
38	-0.173316	-1.3425	0.092245
39	-0.090795	-0.7033	0.242295
40	-0.1977	-1.5314	0.065466
41	-0.107705	-0.8343	0.203717
42	0.079271	0.614	0.270758
43	-0.003733	-0.0289	0.488514
44	-0.069927	-0.5417	0.295032
45	-0.104507	-0.8095	0.210711
46	-0.177626	-1.3759	0.086986
47	-0.037479	-0.2903	0.38629
48	0.050257	0.3893	0.349219
49	-0.0476	-0.3687	0.356822
50	-0.100224	-0.7763	0.220301
51	-0.089191	-0.6909	0.246155
52	-0.114213	-0.8847	0.189929
53	-0.070137	-0.5433	0.294475
54	0.014379	0.1114	0.455845
55	-0.003461	-0.0268	0.489351
56	-0.047611	-0.3688	0.356791
57	-0.050923	-0.3944	0.347324
58	-0.034718	-0.2689	0.394454
59	-0.015649	-0.1212	0.451963
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.148463	1.15	0.127355
2	-0.239162	-1.8525	0.034435
3	0.297306	2.3029	0.012383
4	-0.274118	-2.1233	0.018931
5	0.389374	3.0161	0.001876
6	0.274442	2.1258	0.018822
7	0.067117	0.5199	0.302528
8	0.109897	0.8513	0.199006
9	-0.034539	-0.2675	0.394987
10	-0.336534	-2.6068	0.005757
11	0.306888	2.3771	0.010326
12	0.353899	2.7413	0.004026
13	-0.118205	-0.9156	0.181768
14	-0.096103	-0.7444	0.229766
15	-0.087776	-0.6799	0.249588
16	-0.030705	-0.2378	0.406408
17	-0.090455	-0.7007	0.243112
18	-0.146779	-1.1369	0.130041
19	0.077878	0.6032	0.274312
20	-0.019067	-0.1477	0.441541
21	0.095497	0.7397	0.231178
22	-0.058104	-0.4501	0.32714
23	0.056579	0.4383	0.331387
24	-0.166928	-1.293	0.10048
25	0.042772	0.3313	0.370783
26	-0.060117	-0.4657	0.321571
27	-0.090278	-0.6993	0.243537
28	-0.009934	-0.077	0.469459
29	-0.026164	-0.2027	0.420042
30	-0.032443	-0.2513	0.401218
31	0.065226	0.5052	0.307621
32	-0.084899	-0.6576	0.256646
33	-0.059313	-0.4594	0.32379
34	-0.013037	-0.101	0.459949
35	-0.081147	-0.6286	0.266011
36	0.09847	0.7627	0.224301
37	-0.040708	-0.3153	0.376805
38	-0.142522	-1.104	0.137007
39	0.05384	0.417	0.339067
40	-0.083323	-0.6454	0.260558
41	-0.023206	-0.1798	0.428975
42	0.028693	0.2223	0.412436
43	-0.003153	-0.0244	0.490298
44	0.005753	0.0446	0.482301
45	0.087381	0.6768	0.250551
46	0.06615	0.5124	0.305128
47	-0.017025	-0.1319	0.447762
48	-0.207651	-1.6085	0.056492
49	0.045439	0.352	0.363048
50	0.036927	0.286	0.387918
51	-0.012158	-0.0942	0.462643
52	-0.001585	-0.0123	0.495123
53	0.071141	0.5511	0.291822
54	-0.088858	-0.6883	0.246962
55	-0.083263	-0.645	0.260708
56	0.033324	0.2581	0.398595
57	0.032625	0.2527	0.400677
58	0.039458	0.3056	0.380468
59	0.065483	0.5072	0.306926
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878412ahea1zwdhgd8fs8/19ov81229878247.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878412ahea1zwdhgd8fs8/19ov81229878247.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878412ahea1zwdhgd8fs8/2wrm71229878247.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229878412ahea1zwdhgd8fs8/2wrm71229878247.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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