Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 14 »

*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: Mon, 14 Dec 2009 05:53:49 -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/14/t1260795323ezgqaluc6men06g.htm/, Retrieved Mon, 14 Dec 2009 13:55:25 +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/14/t1260795323ezgqaluc6men06g.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 «

17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4 20906.5 21164.1 21374.4 22952.3 21343.5 23899.3 22392.9 18274.1 22786.7 22321.5 17842.2 16373.5 15993.8 16446.1 17729 16643 16196.7 18252.1 17570.4

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	0.518069	3.9794	9.6e-05
2	0.346902	2.6646	0.004962
3	0.440202	3.3813	0.000643
4	0.38916	2.9892	0.002037
5	0.250818	1.9266	0.029427
6	0.214829	1.6501	0.052115
7	0.043019	0.3304	0.37112
8	0.125311	0.9625	0.169855
9	-0.051237	-0.3936	0.347663
10	-0.165675	-1.2726	0.104081
11	-0.0172	-0.1321	0.447672
12	0.169698	1.3035	0.098738
13	-0.067539	-0.5188	0.302929
14	-0.16653	-1.2791	0.102928
15	-0.069603	-0.5346	0.297457
16	0.035788	0.2749	0.39218
17	-0.074478	-0.5721	0.284723
18	-0.070831	-0.5441	0.294225
19	-0.03705	-0.2846	0.388479
20	-0.065759	-0.5051	0.307683
21	-0.165129	-1.2684	0.104822
22	-0.159263	-1.2233	0.113036
23	-0.097211	-0.7467	0.229107
24	-0.00694	-0.0533	0.478834
25	-0.092254	-0.7086	0.240676
26	-0.231143	-1.7754	0.040491
27	-0.124848	-0.959	0.170741
28	-0.036153	-0.2777	0.391107
29	-0.139596	-1.0723	0.143985
30	-0.138251	-1.0619	0.146299
31	-0.072477	-0.5567	0.289916
32	-0.192418	-1.478	0.072364
33	-0.194773	-1.4961	0.069982
34	-0.164957	-1.2671	0.105057
35	-0.186475	-1.4323	0.078662
36	-0.103964	-0.7986	0.213873
37	-0.154929	-1.19	0.1194
38	-0.23236	-1.7848	0.039718
39	-0.105147	-0.8076	0.211268
40	-0.102701	-0.7889	0.216676
41	-0.111452	-0.8561	0.197709
42	-0.042829	-0.329	0.371669
43	-0.036818	-0.2828	0.38916
44	-0.053033	-0.4074	0.342611
45	-0.005602	-0.043	0.482912
46	0.01742	0.1338	0.447005
47	0.072204	0.5546	0.290629
48	0.089504	0.6875	0.247232
49	0.077953	0.5988	0.27581
50	0.089724	0.6892	0.246706
51	0.097209	0.7467	0.229111
52	0.079593	0.6114	0.271652
53	0.066885	0.5138	0.304671
54	0.047137	0.3621	0.359298
55	0.033006	0.2535	0.400372
56	0.019984	0.1535	0.439264
57	0.00713	0.0548	0.478255
58	0.005076	0.039	0.484516
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.518069	3.9794	9.6e-05
2	0.107308	0.8242	0.20656
3	0.309986	2.381	0.010255
4	0.079752	0.6126	0.271252
5	-0.044594	-0.3425	0.366582
6	-0.016889	-0.1297	0.448612
7	-0.261181	-2.0062	0.024715
8	0.156818	1.2045	0.116595
9	-0.310285	-2.3833	0.010197
10	-0.032462	-0.2493	0.401981
11	0.167833	1.2891	0.101189
12	0.356237	2.7363	0.004098
13	-0.134162	-1.0305	0.153487
14	-0.252742	-1.9413	0.028499
15	-0.0127	-0.0976	0.46131
16	0.026383	0.2026	0.420054
17	-0.073298	-0.563	0.287779
18	0.009357	0.0719	0.471473
19	0.108051	0.83	0.204955
20	-0.166273	-1.2772	0.103273
21	-0.029805	-0.2289	0.409854
22	0.05124	0.3936	0.347655
23	-0.036625	-0.2813	0.389725
24	-0.09061	-0.696	0.244585
25	0.120824	0.9281	0.178578
26	-0.076904	-0.5907	0.278484
27	-0.066333	-0.5095	0.306147
28	-0.02023	-0.1554	0.438524
29	0.01268	0.0974	0.461371
30	-0.114136	-0.8767	0.192105
31	-0.046742	-0.359	0.360425
32	-0.10063	-0.773	0.221318
33	0.034505	0.265	0.395953
34	-0.0035	-0.0269	0.489322
35	-0.115492	-0.8871	0.189311
36	0.080204	0.6161	0.270112
37	-0.121186	-0.9308	0.177863
38	0.102255	0.7854	0.21767
39	-0.031838	-0.2446	0.403825
40	-0.090764	-0.6972	0.244218
41	-0.006449	-0.0495	0.48033
42	0.012055	0.0926	0.463268
43	0.004282	0.0329	0.486937
44	-0.022732	-0.1746	0.430994
45	0.087105	0.6691	0.253031
46	-0.011299	-0.0868	0.465567
47	0.021885	0.1681	0.43354
48	0.029185	0.2242	0.4117
49	0.008546	0.0656	0.473942
50	-0.030731	-0.236	0.407107
51	-0.025435	-0.1954	0.422888
52	-0.042119	-0.3235	0.373721
53	-0.114936	-0.8828	0.190453
54	-0.05279	-0.4055	0.343293
55	0.028681	0.2203	0.413198
56	0.076091	0.5845	0.280567
57	0.020333	0.1562	0.438212
58	-0.068618	-0.5271	0.300063
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260795323ezgqaluc6men06g/1k93q1260795227.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260795323ezgqaluc6men06g/1k93q1260795227.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260795323ezgqaluc6men06g/2rhvw1260795227.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260795323ezgqaluc6men06g/2rhvw1260795227.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