Home » date » 2009 » Dec » 05 »

ws9

*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: Sat, 05 Dec 2009 07:53:43 -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/05/t12600248821u3nrxzy3y5dfc8.htm/, Retrieved Sat, 05 Dec 2009 15:54:44 +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/05/t12600248821u3nrxzy3y5dfc8.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 «

286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710 295881 293299

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.126583	0.9805	0.165386
2	-0.163188	-1.2641	0.10555
3	-0.136333	-1.056	0.147594
4	-0.128844	-0.998	0.161139
5	0.133234	1.032	0.1531
6	0.244281	1.8922	0.031647
7	0.131355	1.0175	0.156507
8	-0.180806	-1.4005	0.083255
9	-0.194032	-1.503	0.069047
10	-0.216421	-1.6764	0.049433
11	0.131793	1.0209	0.155709
12	0.652731	5.056	2e-06
13	-0.014802	-0.1147	0.454549
14	-0.177994	-1.3787	0.086547
15	-0.166937	-1.2931	0.100469
16	-0.163152	-1.2638	0.105601
17	0.080087	0.6203	0.268689
18	0.137622	1.066	0.145343
19	0.042225	0.3271	0.372377
20	-0.232306	-1.7994	0.038489
21	-0.229578	-1.7783	0.04021
22	-0.190477	-1.4754	0.072663
23	0.091221	0.7066	0.241277
24	0.444359	3.442	0.000529
25	-0.066586	-0.5158	0.303955
26	-0.163177	-1.264	0.105565
27	-0.121694	-0.9426	0.174823
28	-0.093319	-0.7228	0.236292
29	0.063787	0.4941	0.311522
30	0.095913	0.7429	0.230209
31	0.039219	0.3038	0.381171
32	-0.181245	-1.4039	0.082749
33	-0.156895	-1.2153	0.114505
34	-0.083221	-0.6446	0.260813
35	0.097307	0.7537	0.226978
36	0.252535	1.9561	0.027555

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.126583	0.9805	0.165386
2	-0.18213	-1.4108	0.081738
3	-0.093405	-0.7235	0.236089
4	-0.134013	-1.0381	0.151703
5	0.137495	1.065	0.145564
6	0.16937	1.3119	0.09727
7	0.112573	0.872	0.193346
8	-0.154351	-1.1956	0.118279
9	-0.071271	-0.5521	0.291478
10	-0.222835	-1.7261	0.044741
11	0.122327	0.9475	0.173582
12	0.576827	4.4681	1.8e-05
13	-0.205699	-1.5933	0.05817
14	-0.043872	-0.3398	0.367586
15	-0.062966	-0.4877	0.313758
16	-0.086571	-0.6706	0.252532
17	-0.054147	-0.4194	0.338202
18	-0.170779	-1.3228	0.095453
19	-0.072286	-0.5599	0.288809
20	-0.057046	-0.4419	0.330084
21	-0.034778	-0.2694	0.394276
22	0.030454	0.2359	0.407158
23	-0.101535	-0.7865	0.217339
24	0.053311	0.4129	0.340561
25	-0.013922	-0.1078	0.457242
26	-0.041715	-0.3231	0.373862
27	0.056972	0.4413	0.330289
28	0.019894	0.1541	0.439025
29	-0.065527	-0.5076	0.306807
30	-0.041749	-0.3234	0.373764
31	-0.010745	-0.0832	0.466972
32	0.040129	0.3108	0.378502
33	0.006257	0.0485	0.480754
34	0.040924	0.317	0.376173
35	-0.038183	-0.2958	0.384217
36	-0.167351	-1.2963	0.099918

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/05/t12600248821u3nrxzy3y5dfc8/14z481260024820.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/05/t12600248821u3nrxzy3y5dfc8/14z481260024820.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/05/t12600248821u3nrxzy3y5dfc8/2gdhb1260024820.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/05/t12600248821u3nrxzy3y5dfc8/2gdhb1260024820.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