Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 08 »

*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, 08 Dec 2009 10:38:21 -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/08/t12602940166cvb4vbpsojjbva.htm/, Retrieved Tue, 08 Dec 2009 18:40:18 +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/08/t12602940166cvb4vbpsojjbva.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 «

255 280.2 299.9 339.2 374.2 393.5 389.2 381.7 375.2 369 357.4 352.1 346.5 342.9 340.3 328.3 322.9 314.3 308.9 294 285.6 281.2 280.3 278.8 274.5 270.4 263.4 259.9 258 262.7 284.7 311.3 322.1 327 331.3 333.3 321.4 327 320 314.7 316.7 314.4 321.3 318.2 307.2 301.3 287.5 277.7 274.4 258.8 253.3 251 248.4 249.5 246.1 244.5 243.6 244 240.8 249.8 248 259.4 260.5 260.8 261.3 259.5 256.6 257.9 256.5 254.2 253.3 253.8 255.5 257.1 257.3 253.2 252.8 252 250.7 252.2 250 251 253.4 251.2 255.6 261.1 258.9 259.9 261.2 264.7 267.1 266.4 267.7 268.6 267.5 268.5 268.5 270.5 270.9 270.1 269.3 269.8 270.1 264.9 263.7 264.8 263.7 255.9 276.2 360.1 380.5 373.7 369.8 366.6 359.3 345.8 326.2 324.5 328.1 327.5 324.4 316.5 310.9 301.5 291.7 290.4 287.4 277.7 281.6 288 276 272.9 283 283.3 276.8 284.5 282.7 281.2 287.4 283.1 284 285.5 289.2 292.5 296.4 305.2 303.9 311.5 316.3 316.7 322.5 3 etc...

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	-0.238876	-4.5134	4e-06
2	-0.229817	-4.3423	9e-06
3	0.045508	0.8599	0.195223
4	-0.029124	-0.5503	0.291234
5	0.008862	0.1674	0.433559
6	-0.056802	-1.0732	0.141942
7	-0.041343	-0.7811	0.217618
8	0.023114	0.4367	0.33129
9	0.056822	1.0736	0.14186
10	-0.043949	-0.8304	0.203437
11	0.023389	0.4419	0.329409
12	0.005818	0.1099	0.456261
13	0.043676	0.8252	0.204895
14	-0.058231	-1.1003	0.135982
15	-0.029379	-0.5551	0.289584
16	0.047261	0.893	0.186238
17	-0.042625	-0.8054	0.21057
18	-0.011856	-0.224	0.411437
19	0.034653	0.6547	0.256527
20	0.043949	0.8304	0.203434
21	-0.066361	-1.2538	0.105359
22	-0.000187	-0.0035	0.49859
23	-0.024297	-0.4591	0.323227
24	0.073704	1.3926	0.082304
25	-0.052527	-0.9925	0.160821
26	-0.006169	-0.1166	0.453635
27	0.053316	1.0074	0.157219
28	-0.047062	-0.8892	0.187243
29	-0.007163	-0.1353	0.446207
30	0.00214	0.0404	0.483887
31	-0.014601	-0.2759	0.391401
32	0.023328	0.4408	0.329823
33	0.05576	1.0535	0.146402
34	-0.02871	-0.5425	0.293921
35	0.038277	0.7232	0.235006
36	0.005266	0.0995	0.460398
37	-0.006374	-0.1204	0.452104
38	-0.044501	-0.8408	0.200507
39	0.010465	0.1977	0.421682
40	0.035605	0.6727	0.250778
41	-0.090649	-1.7128	0.043812
42	0.035401	0.6689	0.251998
43	0.056629	1.07	0.142679
44	-0.014594	-0.2757	0.39145
45	-0.082813	-1.5647	0.059269
46	0.011402	0.2154	0.414775
47	0.02961	0.5595	0.288097
48	0.035487	0.6705	0.251481
49	-0.04386	-0.8287	0.203911
50	0.030365	0.5737	0.283257
51	0.009953	0.1881	0.425468
52	-0.030136	-0.5694	0.284721
53	-0.002074	-0.0392	0.48438
54	0.023295	0.4401	0.330051
55	-0.014267	-0.2696	0.393827
56	0.028678	0.5418	0.29413
57	-0.055407	-1.0469	0.147931
58	0.022158	0.4187	0.33786
59	-0.010821	-0.2045	0.419056
60	0.009157	0.173	0.431371

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.238876	-4.5134	4e-06
2	-0.304239	-5.7484	0
3	-0.115428	-2.1809	0.01492
4	-0.141076	-2.6656	0.004018
5	-0.067084	-1.2675	0.102897
6	-0.134155	-2.5348	0.005839
7	-0.141601	-2.6755	0.003903
8	-0.116597	-2.203	0.014115
9	-0.040293	-0.7613	0.223487
10	-0.093735	-1.7711	0.038701
11	-0.031622	-0.5975	0.275281
12	-0.049576	-0.9367	0.17477
13	0.02904	0.5487	0.29178
14	-0.060383	-1.1409	0.127336
15	-0.049367	-0.9328	0.175788
16	-0.013799	-0.2607	0.397227
17	-0.065344	-1.2346	0.10889
18	-0.061947	-1.1705	0.1213
19	-0.023459	-0.4432	0.328929
20	0.02465	0.4657	0.32084
21	-0.066037	-1.2477	0.106472
22	-0.043478	-0.8215	0.205958
23	-0.094724	-1.7897	0.037171
24	0.011727	0.2216	0.412386
25	-0.087047	-1.6447	0.050456
26	-0.030006	-0.5669	0.285556
27	-0.005595	-0.1057	0.457931
28	-0.060173	-1.1369	0.128164
29	-0.069879	-1.3203	0.093787
30	-0.057869	-1.0934	0.137479
31	-0.088257	-1.6676	0.048139
32	-0.060023	-1.1341	0.128755
33	0.001896	0.0358	0.485721
34	-0.007397	-0.1398	0.444465
35	0.039358	0.7436	0.22879
36	0.032758	0.6189	0.268175
37	0.056986	1.0767	0.141166
38	-0.005372	-0.1015	0.459602
39	0.035876	0.6779	0.249151
40	0.058883	1.1126	0.133321
41	-0.024588	-0.4646	0.32126
42	0.023321	0.4406	0.329868
43	0.059821	1.1303	0.129559
44	0.039133	0.7394	0.230077
45	-0.060647	-1.1459	0.126306
46	-0.057335	-1.0833	0.139699
47	-0.033754	-0.6378	0.262019
48	0.008287	0.1566	0.437832
49	-0.039727	-0.7506	0.226689
50	0.046056	0.8702	0.192388
51	0.001883	0.0356	0.48582
52	-0.015747	-0.2975	0.383114
53	-0.029414	-0.5558	0.289363
54	0.042174	0.7969	0.213032
55	-0.005542	-0.1047	0.458333
56	0.061809	1.1679	0.121822
57	-0.019058	-0.3601	0.359496
58	0.060244	1.1383	0.127885
59	-0.047658	-0.9005	0.184239
60	0.014428	0.2726	0.392653

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602940166cvb4vbpsojjbva/1u15d1260293899.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602940166cvb4vbpsojjbva/1u15d1260293899.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602940166cvb4vbpsojjbva/2gc6u1260293899.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/08/t12602940166cvb4vbpsojjbva/2gc6u1260293899.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; 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