Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 02 »

*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, 02 Dec 2009 15:41:15 -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/02/t1259793890vnpzpn33vczjsyy.htm/, Retrieved Wed, 02 Dec 2009 23:44:53 +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/02/t1259793890vnpzpn33vczjsyy.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 «

104.0 99.0 105.4 107.1 110.7 117.1 118.7 126.5 127.5 134.6 131.8 135.9 142.7 141.7 153.4 145.0 137.7 148.3 152.2 169.4 168.6 161.1 174.1 179.0 190.6 190.0 181.6 174.8 180.5 196.8 193.8 197.0 216.3 221.4 217.9 229.7 227.4 204.2 196.6 198.8 207.5 190.7 201.6 210.5 223.5 223.8 231.2 244.0 234.7 250.2 265.7 287.6 283.3 295.4 312.3 333.8 347.7 383.2 407.1 413.6 362.7 321.9 239.4 191.0 159.7 163.4 157.6 166.2 176.7 198.3 226.2 216.2 235.9

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	0.952701	8.1399	0
2	0.86879	7.4229	0
3	0.758822	6.4834	0
4	0.643805	5.5007	0
5	0.53301	4.554	1e-05
6	0.440899	3.767	0.000166
7	0.370068	3.1619	0.001142
8	0.316975	2.7082	0.00421
9	0.280495	2.3965	0.009556
10	0.258195	2.206	0.015265
11	0.238745	2.0398	0.022493
12	0.213357	1.8229	0.036205
13	0.188969	1.6145	0.055362
14	0.163781	1.3993	0.082972
15	0.140745	1.2025	0.116523
16	0.112815	0.9639	0.169142
17	0.088399	0.7553	0.226254
18	0.071691	0.6125	0.271045
19	0.060375	0.5158	0.303762
20	0.055654	0.4755	0.317923
21	0.055445	0.4737	0.318557
22	0.049137	0.4198	0.337923
23	0.04403	0.3762	0.353933
24	0.033225	0.2839	0.388654
25	0.022208	0.1897	0.425019
26	-0.000825	-0.007	0.497199
27	-0.033821	-0.289	0.386712
28	-0.070469	-0.6021	0.27449
29	-0.104173	-0.8901	0.188181
30	-0.128945	-1.1017	0.137103
31	-0.151266	-1.2924	0.100144
32	-0.164502	-1.4055	0.082056
33	-0.170461	-1.4564	0.074782
34	-0.172503	-1.4739	0.072408
35	-0.175499	-1.4995	0.069033
36	-0.178871	-1.5283	0.065383
37	-0.187926	-1.6056	0.056335
38	-0.207545	-1.7733	0.040178
39	-0.228092	-1.9488	0.02758
40	-0.247709	-2.1164	0.018859
41	-0.265285	-2.2666	0.013189
42	-0.285297	-2.4376	0.008611
43	-0.299726	-2.5609	0.006254
44	-0.308196	-2.6332	0.005159
45	-0.310546	-2.6533	0.004888
46	-0.312645	-2.6712	0.004656
47	-0.315344	-2.6943	0.004374
48	-0.317878	-2.7159	0.004123

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.952701	8.1399	0
2	-0.420631	-3.5939	0.000294
3	-0.214354	-1.8314	0.035557
4	0.038792	0.3314	0.370631
5	0.019298	0.1649	0.434745
6	0.114122	0.9751	0.166375
7	0.053844	0.46	0.323425
8	-0.029825	-0.2548	0.399787
9	0.025969	0.2219	0.412514
10	0.040002	0.3418	0.366751
11	-0.08224	-0.7027	0.242252
12	-0.101321	-0.8657	0.194749
13	0.091548	0.7822	0.218317
14	0.013185	0.1127	0.455307
15	0.019739	0.1686	0.43327
16	-0.103999	-0.8886	0.188576
17	0.027426	0.2343	0.407692
18	0.095136	0.8128	0.209476
19	-0.015729	-0.1344	0.446732
20	0.000472	0.004	0.498396
21	-0.016648	-0.1422	0.443639
22	-0.116441	-0.9949	0.161542
23	0.107868	0.9216	0.179879
24	-0.065513	-0.5597	0.288684
25	0.000296	0.0025	0.498996
26	-0.136312	-1.1647	0.123976
27	-0.060524	-0.5171	0.303319
28	0.031952	0.273	0.392813
29	0.038564	0.3295	0.371363
30	0.040108	0.3427	0.366411
31	-0.136674	-1.1677	0.123356
32	0.046818	0.4	0.345158
33	0.027714	0.2368	0.406744
34	-0.064511	-0.5512	0.291597
35	-0.060511	-0.517	0.303359
36	-0.041576	-0.3552	0.361724
37	0.022267	0.1902	0.424821
38	-0.12208	-1.0431	0.150183
39	0.05252	0.4487	0.327477
40	-0.03616	-0.309	0.379119
41	-0.03808	-0.3254	0.372922
42	-0.042048	-0.3593	0.360218
43	-0.00869	-0.0742	0.470509
44	-0.010806	-0.0923	0.463346
45	-0.012051	-0.103	0.459136
46	-0.087211	-0.7451	0.229292
47	-0.025543	-0.2182	0.413925
48	0.002415	0.0206	0.491797

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259793890vnpzpn33vczjsyy/1olvu1259793674.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259793890vnpzpn33vczjsyy/1olvu1259793674.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259793890vnpzpn33vczjsyy/2tczj1259793674.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259793890vnpzpn33vczjsyy/2tczj1259793674.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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