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 11:37:56 -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/t1259951986y3bh8j6c9lpjax7.htm/, Retrieved Fri, 04 Dec 2009 19:39:48 +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/t1259951986y3bh8j6c9lpjax7.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 «

274412 272433 268361 268586 264768 269974 304744 309365 308347 298427 289231 291975 294912 293488 290555 284736 281818 287854 316263 325412 326011 328282 317480 317539 313737 312276 309391 302950 300316 304035 333476 337698 335932 323931 313927 314485 313218 309664 302963 298989 298423 301631 329765 335083 327616 309119 295916 291413 291542 284678 276475 272566 264981 263290 296806 303598 286994 276427 266424 267153 268381 262522 255542 253158 243803 250741 280445 285257 270976 261076 255603 260376 263903 264291 263276 262572 256167 264221 293860

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	0.317747	2.8063	0.003163
2	-0.199405	-1.7611	0.04107
3	-0.308207	-2.722	0.004
4	-0.25626	-2.2632	0.013201
5	0.0259	0.2287	0.409836
6	0.153606	1.3566	0.089409
7	0.036341	0.321	0.37455
8	-0.229901	-2.0304	0.02286
9	-0.301599	-2.6637	0.004694
10	-0.183702	-1.6224	0.054375
11	0.312361	2.7587	0.003614
12	0.787723	6.957	0
13	0.238157	2.1033	0.01933
14	-0.183644	-1.6219	0.05443
15	-0.253884	-2.2422	0.013893
16	-0.235125	-2.0766	0.020567
17	-0.004893	-0.0432	0.48282
18	0.099659	0.8802	0.190737
19	0.00494	0.0436	0.482657
20	-0.22335	-1.9726	0.026044
21	-0.256443	-2.2648	0.013149
22	-0.118839	-1.0496	0.148581
23	0.276701	2.4438	0.008397
24	0.622235	5.4954	0
25	0.148946	1.3155	0.096106
26	-0.195124	-1.7233	0.044399
27	-0.267939	-2.3664	0.010223
28	-0.202054	-1.7845	0.039116
29	-0.00197	-0.0174	0.49308
30	0.072687	0.642	0.261393
31	-0.016164	-0.1428	0.443424
32	-0.210874	-1.8624	0.033157
33	-0.197855	-1.7474	0.042251
34	-0.063155	-0.5578	0.2893
35	0.185415	1.6375	0.052773
36	0.472992	4.1774	3.8e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.317747	2.8063	0.003163
2	-0.334101	-2.9507	0.002092
3	-0.14714	-1.2995	0.0988
4	-0.18965	-1.6749	0.048975
5	0.079973	0.7063	0.241052
6	-0.02844	-0.2512	0.401171
7	-0.089881	-0.7938	0.214859
8	-0.274576	-2.425	0.00881
9	-0.178159	-1.5735	0.059831
10	-0.219532	-1.9389	0.028068
11	0.304176	2.6864	0.004411
12	0.632048	5.5821	0
13	-0.164361	-1.4516	0.075312
14	0.061521	0.5433	0.294222
15	0.115251	1.0179	0.155943
16	-0.010982	-0.097	0.46149
17	-0.082949	-0.7326	0.233004
18	-0.114348	-1.0099	0.157834
19	-0.049698	-0.4389	0.330967
20	-0.079403	-0.7013	0.242611
21	0.044123	0.3897	0.348918
22	0.015302	0.1351	0.446425
23	-0.09334	-0.8244	0.206125
24	0.045663	0.4033	0.343921
25	-0.08166	-0.7212	0.23647
26	-0.089381	-0.7894	0.216137
27	-0.200765	-1.7731	0.040057
28	0.03501	0.3092	0.378998
29	-0.057004	-0.5034	0.308036
30	-0.058469	-0.5164	0.303522
31	-0.026171	-0.2311	0.408908
32	-0.004019	-0.0355	0.485886
33	0.034283	0.3028	0.381433
34	-0.025554	-0.2257	0.411018
35	-0.263831	-2.3301	0.011194
36	-0.034255	-0.3025	0.381527

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259951986y3bh8j6c9lpjax7/1qfaz1259951874.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259951986y3bh8j6c9lpjax7/1qfaz1259951874.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259951986y3bh8j6c9lpjax7/2n71b1259951874.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259951986y3bh8j6c9lpjax7/2n71b1259951874.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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