Home » date » 2008 » Dec » 22 »

(p)acf gas

*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: Mon, 22 Dec 2008 09:05:52 -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/22/t1229961986575kavzjtu9jxgj.htm/, Retrieved Mon, 22 Dec 2008 17:06:26 +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/22/t1229961986575kavzjtu9jxgj.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 «

127.96 127.47 126.47 125.75 125.42 125.14 125.15 125.51 125.63 126.22 126.88 127.96 128.74 129.6 131.2 132.72 134.67 135.94 136.39 136.74 137.2 137.36 138.63 141.07 143.32 147.91 152.56 151.61 156.56 157.45 158.13 159.18 159.47 159.79 161.65 162.77 163.48 166.16 163.86 162.12 149.08 145.32 141.21 134.68 133.65 139.17 138.61 144.96 157.99 167.18 174.48 182.77 190.00 189.70 188.90 198.28 201.18 204.14 221.02 221.12 220.68

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	0.51859	4.017	8.3e-05
2	0.376341	2.9151	0.002496
3	0.408789	3.1665	0.001213
4	0.047256	0.366	0.357809
5	-0.249538	-1.9329	0.028985
6	-0.172436	-1.3357	0.093348
7	-0.225952	-1.7502	0.042597
8	-0.277365	-2.1485	0.017862
9	-0.224697	-1.7405	0.043449
10	-0.051343	-0.3977	0.346132
11	-0.047146	-0.3652	0.358128
12	-0.190159	-1.473	0.072994
13	-0.001758	-0.0136	0.494591
14	-0.109073	-0.8449	0.200769
15	-0.266355	-2.0632	0.021715
16	-0.131229	-1.0165	0.156738
17	-0.123208	-0.9544	0.171864
18	-0.205661	-1.593	0.058203
19	0.009113	0.0706	0.471979
20	0.016593	0.1285	0.44908
21	0.023359	0.1809	0.428513
22	0.082985	0.6428	0.261402
23	0.07129	0.5522	0.291428
24	0.03819	0.2958	0.384196
25	0.020951	0.1623	0.435814
26	-0.011515	-0.0892	0.464613
27	-0.020904	-0.1619	0.435954
28	-0.048692	-0.3772	0.35369
29	-0.02608	-0.202	0.420295
30	0.023944	0.1855	0.426743
31	0.007855	0.0608	0.475842
32	0.074042	0.5735	0.284217
33	0.091935	0.7121	0.239573
34	0.084846	0.6572	0.256777
35	0.095966	0.7433	0.230086
36	0.094798	0.7343	0.232813
37	0.094733	0.7338	0.232964
38	0.109237	0.8461	0.200417
39	0.083887	0.6498	0.259156
40	0.043572	0.3375	0.368456
41	0.035427	0.2744	0.392353
42	-0.011731	-0.0909	0.463949
43	-0.063808	-0.4943	0.311466
44	-0.072858	-0.5644	0.287308
45	-0.085018	-0.6585	0.256354
46	-0.098415	-0.7623	0.224429
47	-0.07585	-0.5875	0.279527
48	-0.046094	-0.357	0.361157
49	-0.032586	-0.2524	0.400792
50	-0.024739	-0.1916	0.42434
51	-0.006477	-0.0502	0.480076
52	-0.006216	-0.0481	0.48088
53	-0.016217	-0.1256	0.450227
54	-0.015377	-0.1191	0.452795
55	-0.010204	-0.079	0.468631
56	-0.011605	-0.0899	0.464335
57	-0.00425	-0.0329	0.486924
58	0.007576	0.0587	0.476699
59	0.00328	0.0254	0.489907
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.51859	4.017	8.3e-05
2	0.146916	1.138	0.129821
3	0.232225	1.7988	0.03854
4	-0.379336	-2.9383	0.002339
5	-0.426123	-3.3007	0.000813
6	0.033111	0.2565	0.399231
7	0.194482	1.5064	0.0686
8	0.184414	1.4285	0.079172
9	-0.246618	-1.9103	0.030439
10	-0.075473	-0.5846	0.2805
11	0.003668	0.0284	0.488714
12	-0.280407	-2.172	0.016908
13	0.110301	0.8544	0.198145
14	-0.225338	-1.7455	0.043012
15	-0.006383	-0.0494	0.480366
16	0.053022	0.4107	0.341376
17	-0.079425	-0.6152	0.270366
18	-0.013062	-0.1012	0.459875
19	0.042345	0.328	0.372024
20	-0.134051	-1.0384	0.151636
21	-0.089153	-0.6906	0.246248
22	-0.085523	-0.6625	0.255107
23	-0.001531	-0.0119	0.495287
24	-0.021926	-0.1698	0.432853
25	0.076827	0.5951	0.277008
26	-0.131498	-1.0186	0.156245
27	-0.15621	-1.21	0.115512
28	-0.0062	-0.048	0.480928
29	-0.056394	-0.4368	0.331902
30	0.035279	0.2733	0.392793
31	0.051296	0.3973	0.346264
32	-0.098934	-0.7663	0.22324
33	-0.019864	-0.1539	0.439116
34	0.034161	0.2646	0.39611
35	-0.03074	-0.2381	0.406302
36	-0.001007	-0.0078	0.496901
37	0.141276	1.0943	0.139095
38	0.006077	0.0471	0.481305
39	-0.004331	-0.0335	0.486675
40	-0.147772	-1.1446	0.128452
41	-0.073994	-0.5732	0.28434
42	0.080292	0.6219	0.268168
43	0.073945	0.5728	0.284467
44	-0.024837	-0.1924	0.424046
45	-0.084583	-0.6552	0.257428
46	0.066723	0.5168	0.303586
47	0.02394	0.1854	0.426754
48	0.0086	0.0666	0.473555
49	0.007407	0.0574	0.477218
50	-0.120868	-0.9362	0.176452
51	0.057732	0.4472	0.328173
52	0.047192	0.3655	0.357993
53	0.048454	0.3753	0.354371
54	0.057609	0.4462	0.328517
55	-0.038774	-0.3003	0.382477
56	-0.0497	-0.385	0.35081
57	-0.068343	-0.5294	0.299246
58	-0.001311	-0.0102	0.495965
59	0.039082	0.3027	0.381572
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229961986575kavzjtu9jxgj/113fr1229961947.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229961986575kavzjtu9jxgj/113fr1229961947.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229961986575kavzjtu9jxgj/2n3jy1229961947.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229961986575kavzjtu9jxgj/2n3jy1229961947.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -2.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -2.0 ; 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