Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 11 »

*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, 11 Dec 2009 04:39:30 -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/11/t1260531621ymq1p8c45mm3xhj.htm/, Retrieved Fri, 11 Dec 2009 12:40:23 +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/11/t1260531621ymq1p8c45mm3xhj.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 «

12610 10862 52929 56902 81776 87876 82103 72846 60632 33521 15342 7758 8668 13082 38157 58263 81153 88476 72329 75845 61108 37665 12755 2793 12935 19533 33404 52074 70735 69702 61656 82993 53990 32283 15686 2713 12842 19244 48488 54464 84192 84458 85793 75163 68212 49233 24302 5402 15058 33559 70358 85934 94452 129305 113882 107256 94274 57842 26611 14521

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	0.477346	3.6666	0.000264
2	0.34215	2.6281	0.005464
3	0.033165	0.2547	0.399901
4	-0.293851	-2.2571	0.013859
5	-0.496844	-3.8163	0.000164
6	-0.613886	-4.7153	8e-06
7	-0.517807	-3.9773	9.6e-05
8	-0.352721	-2.7093	0.004406
9	-0.041553	-0.3192	0.37536
10	0.224664	1.7257	0.04482
11	0.439204	3.3736	0.000658
12	0.582272	4.4725	1.8e-05
13	0.437382	3.3596	0.000686
14	0.238702	1.8335	0.035886
15	0.037008	0.2843	0.3886
16	-0.26118	-2.0062	0.024715
17	-0.314163	-2.4131	0.00947
18	-0.490447	-3.7672	0.000192
19	-0.370035	-2.8423	0.003071
20	-0.261402	-2.0079	0.024622
21	-0.061804	-0.4747	0.318367
22	0.223593	1.7175	0.045571
23	0.299627	2.3015	0.012457
24	0.403244	3.0974	0.001494
25	0.359189	2.759	0.003855
26	0.198993	1.5285	0.065867
27	-0.016523	-0.1269	0.449721
28	-0.186289	-1.4309	0.078865
29	-0.197623	-1.518	0.067181
30	-0.372404	-2.8605	0.002921
31	-0.32461	-2.4934	0.007739
32	-0.186361	-1.4315	0.078786
33	-0.038592	-0.2964	0.38397
34	0.184748	1.4191	0.080569
35	0.20146	1.5474	0.063552
36	0.357663	2.7473	0.003979

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.477346	3.6666	0.000264
2	0.148019	1.137	0.130077
3	-0.23389	-1.7965	0.038764
4	-0.39225	-3.0129	0.001904
5	-0.326641	-2.509	0.007437
6	-0.29802	-2.2891	0.012834
7	-0.13825	-1.0619	0.146299
8	-0.101947	-0.7831	0.218359
9	0.04547	0.3493	0.364069
10	0.059011	0.4533	0.326007
11	0.061818	0.4748	0.31833
12	0.142819	1.097	0.138546
13	-0.09138	-0.7019	0.24275
14	-0.197226	-1.5149	0.067566
15	-0.036298	-0.2788	0.390682
16	-0.082882	-0.6366	0.263413
17	0.202554	1.5558	0.062547
18	-0.044433	-0.3413	0.367045
19	0.012881	0.0989	0.460759
20	-0.09181	-0.7052	0.241728
21	-0.120097	-0.9225	0.180018
22	0.077443	0.5949	0.277108
23	-0.04453	-0.342	0.366769
24	-0.020387	-0.1566	0.43805
25	0.096025	0.7376	0.231846
26	-0.018333	-0.1408	0.444247
27	-0.134935	-1.0365	0.152109
28	-0.106458	-0.8177	0.208403
29	0.175375	1.3471	0.091553
30	-0.037323	-0.2867	0.387679
31	-0.118982	-0.9139	0.182239
32	-0.027377	-0.2103	0.417085
33	0.052557	0.4037	0.343947
34	0.042733	0.3282	0.371948
35	-0.122328	-0.9396	0.175623
36	0.085404	0.656	0.257186

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260531621ymq1p8c45mm3xhj/1jdqr1260531568.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260531621ymq1p8c45mm3xhj/1jdqr1260531568.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260531621ymq1p8c45mm3xhj/2170z1260531568.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260531621ymq1p8c45mm3xhj/2170z1260531568.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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