Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 01 »

*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: Tue, 01 Dec 2009 05:43:24 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/01/t1259671456wsrw9ey7mvn9i3u.htm/, Retrieved Tue, 01 Dec 2009 13:44:19 +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/2009/Dec/01/t1259671456wsrw9ey7mvn9i3u.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107 99 103 131 137 135

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	0.016607	0.1138	0.454921
2	0.266291	1.8256	0.037134
3	0.043209	0.2962	0.384182
4	0.101582	0.6964	0.2448
5	-0.138081	-0.9466	0.174333
6	-0.002207	-0.0151	0.493996
7	0.081143	0.5563	0.290326
8	-0.001421	-0.0097	0.496134
9	0.217987	1.4944	0.070872
10	0.004035	0.0277	0.489025
11	0.414702	2.8431	0.003296
12	-0.139895	-0.9591	0.171214
13	0.031922	0.2188	0.41386
14	0.007548	0.0517	0.479475
15	0.030661	0.2102	0.417209
16	-0.156164	-1.0706	0.144907
17	0.068177	0.4674	0.321187
18	-0.089054	-0.6105	0.272228
19	-0.130691	-0.896	0.187418
20	0.008384	0.0575	0.477203
21	-0.149529	-1.0251	0.155277
22	0.058546	0.4014	0.344984
23	-0.142342	-0.9758	0.167069
24	-0.058676	-0.4023	0.344656
25	-0.057339	-0.3931	0.348013
26	-0.01203	-0.0825	0.467309
27	-0.165011	-1.1313	0.131842
28	-0.112252	-0.7696	0.222706
29	-0.099633	-0.6831	0.248964
30	-0.106429	-0.7296	0.234616
31	-0.000463	-0.0032	0.49874
32	-0.063981	-0.4386	0.33147
33	0.001057	0.0072	0.497124
34	-0.030715	-0.2106	0.417067
35	-0.033995	-0.2331	0.408365
36	-0.026308	-0.1804	0.428823

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.016607	0.1138	0.454921
2	0.266089	1.8242	0.03724
3	0.038263	0.2623	0.397111
4	0.032479	0.2227	0.412379
5	-0.172646	-1.1836	0.121261
6	-0.041701	-0.2859	0.388111
7	0.17127	1.1742	0.123122
8	0.02785	0.1909	0.4247
9	0.202814	1.3904	0.085475
10	-0.050424	-0.3457	0.365558
11	0.331664	2.2738	0.013795
12	-0.183461	-1.2577	0.107348
13	-0.195003	-1.3369	0.093849
14	0.124713	0.855	0.198447
15	0.037968	0.2603	0.397886
16	-0.068554	-0.47	0.320272
17	0.024593	0.1686	0.433416
18	-0.235033	-1.6113	0.056905
19	-0.116607	-0.7994	0.214035
20	-0.037446	-0.2567	0.39926
21	-0.105234	-0.7214	0.237104
22	0.046484	0.3187	0.37569
23	-0.001419	-0.0097	0.49614
24	-0.115233	-0.79	0.216749
25	-0.048226	-0.3306	0.371201
26	-0.045107	-0.3092	0.379253
27	0.025551	0.1752	0.430849
28	-0.171397	-1.175	0.122949
29	0.042144	0.2889	0.386955
30	0.146338	1.0032	0.160441
31	-0.029272	-0.2007	0.420909
32	0.04521	0.3099	0.378988
33	-0.064658	-0.4433	0.329802
34	-0.008675	-0.0595	0.476414
35	0.123633	0.8476	0.200483
36	-0.022981	-0.1576	0.437743

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259671456wsrw9ey7mvn9i3u/19ak01259671403.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259671456wsrw9ey7mvn9i3u/19ak01259671403.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259671456wsrw9ey7mvn9i3u/2a0ev1259671403.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/01/t1259671456wsrw9ey7mvn9i3u/2a0ev1259671403.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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