Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2008 » Dec » 24 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 24 Dec 2008 01:59:54 -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/24/t1230109219lau8umw6tn36t4p.htm/, Retrieved Wed, 24 Dec 2008 10:00:21 +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/24/t1230109219lau8umw6tn36t4p.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 «

46402 45329 42185 49341 50472 33020 29567 22870 25730 32609 23536 15135 36776 29982 38062 34226 24906 30233 27405 20784 22886 25425 20838 15655 37158 36364 43213 31635 30113 29985 20919 19429 21427 26064 20109 15369 35466 25954 33504 28115 28501 28618 21434 20177 21484 25642 23515 12941 36190 37785 38407 33326 30304 27576 27048 17291 21018 26792 19426 13927 35647 31746 31277 31583 25607 28151 24947 18077 23429 26313 18862 14753 36409 33163 34122 35225 28249 30374 26311 22069 23651 28628 23187 14727 43080 32519 39657 33614 28671 34243 27336 22916 24537 26128 22602 15744 41086 39690 43129 37863 35953 29133 24693 22205 21725 27192 21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738

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	-0.375364	-5.022	1e-06
2	-0.094602	-1.2657	0.103635
3	0.181913	2.4338	0.007961
4	-0.297114	-3.9751	5.1e-05
5	0.115952	1.5513	0.061295
6	0.035904	0.4804	0.315776
7	-0.117173	-1.5677	0.059363
8	0.200273	2.6795	0.004031
9	0.007934	0.1062	0.457791
10	-0.129975	-1.7389	0.041882
11	0.193297	2.5861	0.00525
12	-0.329707	-4.4112	9e-06
13	-0.107619	-1.4398	0.075829
14	0.199767	2.6727	0.00411
15	-0.026283	-0.3516	0.362758
16	0.04213	0.5637	0.286843
17	0.012669	0.1695	0.432798
18	0.05453	0.7296	0.233305
19	-0.076847	-1.0281	0.152635
20	-0.116885	-1.5638	0.059813
21	0.102423	1.3703	0.08615
22	-0.078296	-1.0475	0.148135
23	0.114594	1.5332	0.063501
24	0.035831	0.4794	0.316123
25	0.037596	0.503	0.30779
26	0.082525	1.1041	0.135513
27	-0.150486	-2.0134	0.022787
28	-0.022889	-0.3062	0.379891
29	0.089097	1.192	0.117413
30	-0.144868	-1.9382	0.027086
31	0.055052	0.7365	0.231181
32	0.205182	2.7452	0.003333
33	-0.16412	-2.1958	0.014697
34	0.012327	0.1649	0.434596
35	0.099324	1.3289	0.092791
36	-0.265847	-3.5568	0.00024
37	0.147658	1.9755	0.024872
38	-0.117251	-1.5687	0.05924
39	-0.025275	-0.3382	0.367822
40	0.226054	3.0244	0.001429
41	-0.147186	-1.9692	0.025236
42	0.039318	0.526	0.299757
43	0.083325	1.1148	0.133214
44	-0.15424	-2.0636	0.02025
45	-0.065996	-0.883	0.189219
46	0.183375	2.4534	0.007555
47	-0.139201	-1.8624	0.032094
48	0.126154	1.6878	0.046593

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.375364	-5.022	1e-06
2	-0.274123	-3.6675	0.000161
3	0.042506	0.5687	0.285139
4	-0.27775	-3.716	0.000135
5	-0.099301	-1.3286	0.092842
6	-0.073412	-0.9822	0.163666
7	-0.101827	-1.3624	0.087399
8	0.067876	0.9081	0.182518
9	0.137277	1.8366	0.033961
10	-0.003487	-0.0466	0.481423
11	0.167733	2.2441	0.013025
12	-0.221988	-2.97	0.001693
13	-0.364021	-4.8703	1e-06
14	-0.259789	-3.4757	0.00032
15	-0.045275	-0.6057	0.272729
16	-0.10061	-1.3461	0.089992
17	-0.149091	-1.9947	0.023797
18	0.125605	1.6805	0.047304
19	0.023586	0.3156	0.376353
20	-0.143353	-1.9179	0.028356
21	0.103175	1.3804	0.084595
22	-0.056513	-0.7561	0.225294
23	0.056425	0.7549	0.225644
24	-0.049307	-0.6597	0.255152
25	-0.025361	-0.3393	0.367389
26	0.039558	0.5292	0.298644
27	0.045213	0.6049	0.273004
28	0.045584	0.6099	0.271361
29	0.064858	0.8677	0.193347
30	-0.001429	-0.0191	0.492383
31	-0.020834	-0.2787	0.390385
32	0.045581	0.6098	0.271374
33	0.026956	0.3606	0.359395
34	-0.08099	-1.0836	0.140005
35	0.191157	2.5575	0.005686
36	-0.078455	-1.0497	0.147645
37	0.049477	0.662	0.254423
38	-0.055754	-0.7459	0.228342
39	-0.080524	-1.0773	0.14139
40	-0.032989	-0.4414	0.329744
41	-0.019565	-0.2618	0.396903
42	-0.020708	-0.2771	0.391031
43	0.020404	0.273	0.392587
44	0.079082	1.0581	0.145729
45	-0.055925	-0.7482	0.227655
46	-0.005437	-0.0727	0.471046
47	-0.000578	-0.0077	0.496918
48	-0.015233	-0.2038	0.419368

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230109219lau8umw6tn36t4p/1ug7d1230109192.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230109219lau8umw6tn36t4p/1ug7d1230109192.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230109219lau8umw6tn36t4p/2ed8z1230109192.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230109219lau8umw6tn36t4p/2ed8z1230109192.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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