Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 13 »

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 13 Dec 2009 03:04:21 -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/13/t1260698699xagfcifae5q8x48.htm/, Retrieved Sun, 13 Dec 2009 11:05:01 +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/13/t1260698699xagfcifae5q8x48.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

2.14 2.45 2.52 2.3 2.2541086 39690 43129 37863 35953 29133 24693 22205 21725 27192 21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 2.06 1.99 2.25 2.26 2.36 2.3 2.19 2.31 2.21 2.21 2.26 2.18 2.21 2.33 2.12 2.08 1.97 2.09 2.11 2.24 2.45 2.68 2.73 2.76 2.83 3.16 3.22 3.22 3.34 3.35 3.42 3.58 3.71 3.68 3.83 3.94 3.88 4.03 4.15 4.32 4.4 4.37 4.14 4.11 4.16 3.98 4.13 3.76 3.66 3.85 4.03 4.31 4.58 4.46 4.41 3.84 2.84 2.66 2.17 1.43 1.47 1.29 1.23 1.09 0.94 0.76 0.67

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
R Framework error message	Warning: there are blank lines in the 'Data' field. Please, use NA for missing data - blank lines are simply deleted and are NOT treated as missing values.

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.897675	10.7346	0
2	0.824319	9.8574	0
3	0.774293	9.2592	0
4	0.709089	8.4795	0
5	0.671921	8.035	0
6	0.655948	7.844	0
7	0.653564	7.8155	0
8	0.660262	7.8956	0
9	0.659218	7.8831	0
10	0.651979	7.7965	0
11	0.673354	8.0521	0
12	0.6813	8.1472	0
13	0.618537	7.3966	0
14	0.577547	6.9065	0
15	0.54849	6.559	0
16	0.499747	5.9761	0
17	0.488167	5.8376	0
18	0.468355	5.6007	0
19	0.460005	5.5009	0
20	0.467709	5.593	0
21	0.448425	5.3624	0
22	0.436889	5.2244	0
23	0.457007	5.465	0
24	0.45357	5.4239	0
25	0.39218	4.6898	3e-06
26	0.354022	4.2335	2e-05
27	0.310112	3.7084	0.000149
28	0.273978	3.2763	0.00066
29	0.267743	3.2017	0.000842
30	0.247287	2.9571	0.001817
31	0.248839	2.9757	0.001717
32	0.253083	3.0264	0.001468
33	0.239519	2.8642	0.002405
34	0.232693	2.7826	0.00306
35	0.245089	2.9308	0.001968
36	0.231643	2.77	0.003175
37	0.196538	2.3503	0.010064
38	0.16875	2.018	0.022733
39	0.136684	1.6345	0.052177
40	0.107176	1.2816	0.101021
41	0.099969	1.1955	0.116944
42	0.07624	0.9117	0.181732
43	0.074858	0.8952	0.1861
44	0.066696	0.7976	0.213222
45	0.040116	0.4797	0.316079
46	0.032629	0.3902	0.348492
47	0.025458	0.3044	0.380622
48	0.009129	0.1092	0.45661
49	-0.024818	-0.2968	0.383531
50	-0.065638	-0.7849	0.216902
51	-0.102155	-1.2216	0.111935
52	-0.12644	-1.512	0.06637
53	-0.141657	-1.694	0.046224
54	-0.157953	-1.8888	0.030469
55	-0.16092	-1.9243	0.02815
56	-0.170493	-2.0388	0.021656
57	-0.192714	-2.3045	0.011317
58	-0.203189	-2.4298	0.008174
59	-0.212262	-2.5383	0.006105
60	-0.242339	-2.898	0.002174

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.897675	10.7346	0
2	0.095268	1.1392	0.128254
3	0.100295	1.1994	0.116187
4	-0.072331	-0.865	0.194257
5	0.108682	1.2997	0.097906
6	0.114624	1.3707	0.086307
7	0.134958	1.6139	0.05438
8	0.099176	1.186	0.1188
9	0.025996	0.3109	0.378177
10	0.014676	0.1755	0.430467
11	0.198906	2.3786	0.009351
12	0.057592	0.6887	0.246064
13	-0.31564	-3.7745	0.000117
14	-0.037095	-0.4436	0.329003
15	0.038178	0.4565	0.324348
16	-0.049505	-0.592	0.277396
17	0.085165	1.0184	0.155098
18	-0.114565	-1.37	0.086417
19	-0.000408	-0.0049	0.498056
20	0.065737	0.7861	0.216556
21	-0.042744	-0.5111	0.30502
22	0.005052	0.0604	0.475955
23	0.096028	1.1483	0.126376
24	0.008145	0.0974	0.461274
25	-0.228351	-2.7307	0.003558
26	-0.04144	-0.4956	0.310486
27	-0.052648	-0.6296	0.264986
28	0.078626	0.9402	0.174343
29	0.043209	0.5167	0.303082
30	-0.095138	-1.1377	0.128578
31	-0.004442	-0.0531	0.478856
32	0.001019	0.0122	0.495148
33	0.10826	1.2946	0.098772
34	-0.03348	-0.4004	0.344742
35	-0.007017	-0.0839	0.466624
36	-0.015382	-0.1839	0.427158
37	0.005816	0.0696	0.472323
38	-0.009903	-0.1184	0.452948
39	-0.009433	-0.1128	0.455172
40	-0.069576	-0.832	0.203394
41	0.00947	0.1132	0.454996
42	-0.033979	-0.4063	0.342555
43	-0.028097	-0.336	0.368684
44	-0.061675	-0.7375	0.231004
45	0.000936	0.0112	0.495543
46	-0.014362	-0.1717	0.43194
47	-0.057193	-0.6839	0.247564
48	-0.009763	-0.1167	0.453613
49	-0.060048	-0.7181	0.236943
50	-0.081733	-0.9774	0.165014
51	0.005039	0.0603	0.476015
52	-0.032245	-0.3856	0.350184
53	-0.036868	-0.4409	0.329985
54	0.005333	0.0638	0.474619
55	-0.040483	-0.4841	0.314526
56	-0.018855	-0.2255	0.410967
57	-0.021864	-0.2615	0.397057
58	-0.02427	-0.2902	0.386032
59	0.001674	0.02	0.49203
60	-0.113328	-1.3552	0.088745

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698699xagfcifae5q8x48/1pxya1260698658.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698699xagfcifae5q8x48/1pxya1260698658.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698699xagfcifae5q8x48/2d2ah1260698658.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260698699xagfcifae5q8x48/2d2ah1260698658.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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