Home » date » 2008 » Dec » 23 »

Huur

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 23 Dec 2008 12:28:39 -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/23/t1230060616pcvwoe7i2lnj4tc.htm/, Retrieved Tue, 23 Dec 2008 20:30:18 +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/23/t1230060616pcvwoe7i2lnj4tc.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 «

100,95 101,26 101,42 101,68 101,75 101,89 102,07 102,22 102,45 102,62 102,67 102,86 104,78 104,87 105,06 105,14 105,32 105,54 105,68 105,77 106,07 106,03 106,13 106,28 106,61 106,74 107,01 107,1 107,28 107,4 107,59 107,69 107,78 108,02 108 108,07 108,36 108,74 108,99 109,21 109,31 109,41 109,54 109,81 109,85 110,01 110,23

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	-0.053463	-0.3626	0.35928
2	-0.067757	-0.4596	0.324002
3	-0.076502	-0.5189	0.303172
4	0.017965	0.1218	0.451777
5	-0.020955	-0.1421	0.443801
6	-0.00582	-0.0395	0.484342
7	-0.083513	-0.5664	0.286932
8	-0.003685	-0.025	0.490084
9	-0.075585	-0.5126	0.305328
10	-0.051295	-0.3479	0.364752
11	0.046437	0.315	0.377111
12	0.087141	0.591	0.278701
13	0.007315	0.0496	0.480324
14	0.040386	0.2739	0.392689
15	-0.05364	-0.3638	0.358835
16	-0.01012	-0.0686	0.472788
17	-0.017183	-0.1165	0.453867
18	-0.012732	-0.0863	0.465782
19	-0.020694	-0.1404	0.444497
20	-0.061385	-0.4163	0.339551
21	0.03338	0.2264	0.410949
22	-0.108752	-0.7376	0.232254
23	-0.043249	-0.2933	0.385296
24	0.043041	0.2919	0.385831
25	0.111372	0.7554	0.226941
26	0.026158	0.1774	0.429981
27	0.013586	0.0921	0.463492
28	-0.050348	-0.3415	0.36715
29	-0.041787	-0.2834	0.389065
30	-0.025077	-0.1701	0.432846
31	0.0392	0.2659	0.395765
32	-0.08336	-0.5654	0.287284
33	-0.034824	-0.2362	0.407167
34	0.013201	0.0895	0.464525
35	0.008252	0.056	0.477806
36	0.008883	0.0602	0.476109
37	0.006355	0.0431	0.482904
38	0.003467	0.0235	0.490672
39	-0.002954	-0.02	0.49205
40	0.005749	0.039	0.484532
41	-0.004633	-0.0314	0.487536
42	0.002751	0.0187	0.492598
43	-0.004348	-0.0295	0.488302
44	-0.001561	-0.0106	0.495798
45	0.000585	0.004	0.498427
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.053463	-0.3626	0.35928
2	-0.070818	-0.4803	0.316642
3	-0.084834	-0.5754	0.283922
4	0.003515	0.0238	0.490542
5	-0.031613	-0.2144	0.415588
6	-0.014204	-0.0963	0.461837
7	-0.088292	-0.5988	0.276113
8	-0.020835	-0.1413	0.44412
9	-0.093663	-0.6353	0.264205
10	-0.08177	-0.5546	0.290932
11	0.022186	0.1505	0.440524
12	0.063866	0.4332	0.333461
13	0.010319	0.07	0.472253
14	0.049187	0.3336	0.370097
15	-0.043853	-0.2974	0.383741
16	-0.025044	-0.1699	0.432933
17	-0.029944	-0.2031	0.419981
18	-0.027447	-0.1862	0.42657
19	-0.022716	-0.1541	0.439116
20	-0.06856	-0.465	0.322064
21	0.042736	0.2898	0.386618
22	-0.12356	-0.838	0.203175
23	-0.073793	-0.5005	0.309558
24	0.005372	0.0364	0.485546
25	0.066751	0.4527	0.326437
26	0.023629	0.1603	0.43669
27	0.023899	0.1621	0.435973
28	-0.036385	-0.2468	0.403091
29	-0.072809	-0.4938	0.311893
30	-0.050678	-0.3437	0.366314
31	0.021041	0.1427	0.443573
32	-0.098517	-0.6682	0.253681
33	-0.045636	-0.3095	0.379163
34	0.041742	0.2831	0.389182
35	-0.013557	-0.092	0.463568
36	-0.003081	-0.0209	0.491708
37	-0.035014	-0.2375	0.40667
38	-0.036304	-0.2462	0.403302
39	-0.055519	-0.3766	0.354119
40	-0.002067	-0.014	0.494438
41	-0.004001	-0.0271	0.489234
42	-0.030638	-0.2078	0.418153
43	-0.000909	-0.0062	0.497555
44	0.005356	0.0363	0.485589
45	-0.020331	-0.1379	0.445464
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230060616pcvwoe7i2lnj4tc/1ylzz1230060517.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230060616pcvwoe7i2lnj4tc/1ylzz1230060517.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230060616pcvwoe7i2lnj4tc/238kd1230060517.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230060616pcvwoe7i2lnj4tc/238kd1230060517.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1.0 ; 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