Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2008 » Dec » 21 »

*Unverified author*

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 10:25:45 -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/t1229880384twtyqsqeggmkptm.htm/, Retrieved Sun, 21 Dec 2008 18:26:26 +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/t1229880384twtyqsqeggmkptm.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 «

106.7 101.1 97.8 113.8 107.1 117.5 113.7 106.6 109.8 108.8 102.0 114.5 116.5 108.6 113.9 109.3 112.5 123.4 115.2 110.8 120.4 117.6 111.2 131.1 118.9 115.7 119.6 113.1 106.4 115.5 111.8 109.6 121.5 109.5 109.0 113.4 112.7 114.4 109.2 116.2 113.8 123.6 112.6 117.7 113.3 110.7 114.7 116.9 120.6 111.6 111.9 116.1 111.9 125.1 115.1 116.7 115.8 116.8 113.0 106.5

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	0.179387	1.3895	0.084903
2	0.152756	1.1832	0.12069
3	0.250561	1.9408	0.02849
4	-0.067615	-0.5237	0.301193
5	0.044091	0.3415	0.36695
6	0.28745	2.2266	0.014871
7	0.045096	0.3493	0.364038
8	-0.008063	-0.0625	0.475203
9	0.240052	1.8594	0.033935
10	-0.196806	-1.5245	0.066325
11	-0.10115	-0.7835	0.218207
12	0.136553	1.0577	0.147209
13	-0.215849	-1.672	0.04987
14	-0.028489	-0.2207	0.413047
15	-0.045306	-0.3509	0.363432
16	-0.165213	-1.2797	0.102783
17	-0.09799	-0.759	0.225403
18	0.077402	0.5996	0.275531
19	-0.175125	-1.3565	0.090009
20	-0.017651	-0.1367	0.445852
21	-0.009642	-0.0747	0.470356
22	-0.230301	-1.7839	0.039748
23	-0.069058	-0.5349	0.29734
24	0.063028	0.4882	0.313588
25	-0.021341	-0.1653	0.434628
26	0.033784	0.2617	0.397228
27	0.085839	0.6649	0.254329
28	0.033712	0.2611	0.397443
29	0.065228	0.5053	0.307616
30	0.117096	0.907	0.184011
31	0.034973	0.2709	0.393699
32	0.047731	0.3697	0.356445
33	0.012276	0.0951	0.46228
34	0.02375	0.184	0.427329
35	-0.019614	-0.1519	0.439876
36	0.057586	0.4461	0.32858
37	-0.019458	-0.1507	0.440351
38	-0.072672	-0.5629	0.287796
39	-0.128706	-0.997	0.161395
40	-0.08561	-0.6631	0.254893
41	-0.08575	-0.6642	0.254549
42	-0.046974	-0.3639	0.35862
43	-0.045621	-0.3534	0.362521
44	-0.049341	-0.3822	0.351834
45	-0.053599	-0.4152	0.339746
46	-0.119335	-0.9244	0.179499
47	-0.100029	-0.7748	0.220745
48	0.005828	0.0451	0.48207
49	-0.010394	-0.0805	0.46805
50	0.01166	0.0903	0.464167
51	-0.082168	-0.6365	0.263446
52	-0.056391	-0.4368	0.331912
53	-0.088404	-0.6848	0.248061
54	-0.056389	-0.4368	0.331917
55	-0.029167	-0.2259	0.411013
56	-0.025791	-0.1998	0.421166
57	0.048269	0.3739	0.354901
58	0.046411	0.3595	0.360241
59	0.02449	0.1897	0.425093
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.179387	1.3895	0.084903
2	0.124585	0.965	0.169201
3	0.214341	1.6603	0.051038
4	-0.167885	-1.3004	0.099214
5	0.025766	0.1996	0.421242
6	0.283037	2.1924	0.01612
7	0.007148	0.0554	0.478016
8	-0.144912	-1.1225	0.133064
9	0.177093	1.3718	0.087623
10	-0.21665	-1.6782	0.049259
11	-0.091519	-0.7089	0.240564
12	0.10446	0.8091	0.210814
13	-0.153599	-1.1898	0.119411
14	-0.002369	-0.0184	0.49271
15	-0.167975	-1.3011	0.099094
16	0.061816	0.4788	0.316901
17	-0.005186	-0.0402	0.484045
18	0.040071	0.3104	0.37867
19	-0.057351	-0.4442	0.329234
20	0.059457	0.4606	0.323392
21	-0.107828	-0.8352	0.20345
22	-0.031853	-0.2467	0.402978
23	-0.079126	-0.6129	0.271126
24	0.163757	1.2685	0.104767
25	0.055194	0.4275	0.335262
26	-0.093481	-0.7241	0.235908
27	0.050719	0.3929	0.347906
28	0.201561	1.5613	0.061858
29	0.006465	0.0501	0.480115
30	-0.053227	-0.4123	0.340797
31	0.083991	0.6506	0.258898
32	-0.069499	-0.5383	0.296169
33	-0.130169	-1.0083	0.158684
34	-0.000691	-0.0054	0.497873
35	0.026443	0.2048	0.4192
36	-0.046232	-0.3581	0.360759
37	-0.144149	-1.1166	0.134314
38	-0.060658	-0.4699	0.320082
39	-0.063456	-0.4915	0.312424
40	-0.002755	-0.0213	0.491522
41	0.016761	0.1298	0.448567
42	0.016621	0.1287	0.448995
43	-0.041986	-0.3252	0.373073
44	0.062257	0.4822	0.315694
45	-0.017718	-0.1372	0.445648
46	-0.058012	-0.4494	0.327395
47	0.061823	0.4789	0.316881
48	0.066905	0.5182	0.303097
49	-0.033668	-0.2608	0.397572
50	0.03993	0.3093	0.379083
51	-0.094874	-0.7349	0.232634
52	-0.042177	-0.3267	0.372514
53	-0.045013	-0.3487	0.364278
54	-0.114025	-0.8832	0.190317
55	-0.035517	-0.2751	0.392088
56	-0.091903	-0.7119	0.23965
57	0.107715	0.8344	0.203695
58	0.049217	0.3812	0.352189
59	-0.036851	-0.2854	0.388142
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880384twtyqsqeggmkptm/18gma1229880342.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880384twtyqsqeggmkptm/18gma1229880342.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880384twtyqsqeggmkptm/2n7hd1229880342.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229880384twtyqsqeggmkptm/2n7hd1229880342.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