Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 04 »

*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: Fri, 04 Dec 2009 05:15:24 -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/04/t1259928965f9v2rosciwewi6m.htm/, Retrieved Fri, 04 Dec 2009 13:16:08 +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/04/t1259928965f9v2rosciwewi6m.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 «

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 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509 25447 24090 27786 26195 20516 22759 19028 16971 20036

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	0.321453	2.5106	0.007359
2	0.135637	1.0594	0.146807
3	-0.044166	-0.3449	0.365661
4	-0.213575	-1.6681	0.050213
5	-0.274227	-2.1418	0.018107
6	-0.521246	-4.0711	6.8e-05
7	-0.27636	-2.1584	0.017419
8	-0.147762	-1.1541	0.126489
9	-0.055135	-0.4306	0.334131
10	0.062574	0.4887	0.313397
11	0.228409	1.7839	0.039704
12	0.752746	5.8791	0
13	0.231376	1.8071	0.037839
14	0.073821	0.5766	0.28318
15	-0.075086	-0.5864	0.279871
16	-0.209904	-1.6394	0.053138
17	-0.242257	-1.8921	0.031614
18	-0.421634	-3.2931	0.000826
19	-0.208761	-1.6305	0.054078
20	-0.104414	-0.8155	0.208979
21	-0.044258	-0.3457	0.365391
22	0.030117	0.2352	0.407412
23	0.158802	1.2403	0.10981
24	0.548806	4.2863	3.3e-05
25	0.203951	1.5929	0.058175
26	0.079002	0.617	0.269757
27	-0.007465	-0.0583	0.47685
28	-0.141752	-1.1071	0.136295
29	-0.138529	-1.0819	0.141768
30	-0.279893	-2.186	0.01633
31	-0.137267	-1.0721	0.143952
32	-0.062645	-0.4893	0.313202
33	-0.03704	-0.2893	0.38667
34	0.02089	0.1632	0.435467
35	0.093151	0.7275	0.234843
36	0.331668	2.5904	0.005987

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.321453	2.5106	0.007359
2	0.036027	0.2814	0.389684
3	-0.109187	-0.8528	0.19856
4	-0.196754	-1.5367	0.06477
5	-0.162736	-1.271	0.104276
6	-0.437902	-3.4201	0.000561
7	-0.064344	-0.5025	0.308546
8	-0.095953	-0.7494	0.228243
9	-0.153962	-1.2025	0.116912
10	-0.153559	-1.1993	0.117518
11	0.032757	0.2558	0.399467
12	0.646117	5.0463	2e-06
13	-0.334561	-2.613	0.005643
14	-0.188021	-1.4685	0.073554
15	-0.039198	-0.3061	0.380268
16	0.04239	0.3311	0.370861
17	-0.085878	-0.6707	0.252463
18	0.09593	0.7492	0.228297
19	-0.046354	-0.362	0.359288
20	-0.226145	-1.7662	0.041179
21	-0.038712	-0.3024	0.381706
22	0.039822	0.311	0.378423
23	-0.116681	-0.9113	0.18286
24	-0.160176	-1.251	0.107853
25	0.13387	1.0456	0.149945
26	-0.035961	-0.2809	0.389883
27	0.000481	0.0038	0.498507
28	-0.012889	-0.1007	0.460072
29	0.105634	0.825	0.206286
30	-0.067716	-0.5289	0.299405
31	-0.017878	-0.1396	0.444707
32	0.057959	0.4527	0.326195
33	0.004746	0.0371	0.485277
34	0.012576	0.0982	0.46104
35	-0.013833	-0.108	0.457159
36	-0.1513	-1.1817	0.120958

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259928965f9v2rosciwewi6m/1b1ma1259928922.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259928965f9v2rosciwewi6m/1b1ma1259928922.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259928965f9v2rosciwewi6m/2unjq1259928922.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259928965f9v2rosciwewi6m/2unjq1259928922.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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