Home » date » 2009 » Dec » 17 »

parial autocorrelation rent D0 d2

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Thu, 17 Dec 2009 15:32:33 -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/17/t12610892039oqsfc3f8akr8cd.htm/, Retrieved Thu, 17 Dec 2009 23:33:25 +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/17/t12610892039oqsfc3f8akr8cd.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 «
3.25 3.25 3.25 3.25 3.25 3.25 2.85 2.75 2.75 2.55 2.5 2.5 2.1 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2.21 2.25 2.25 2.45 2.5 2.5 2.64 2.75 2.93 3 3.17 3.25 3.39 3.5 3.5 3.65 3.75 3.75 3.9 4 4 4 4 4 4 4 4 4 4 4 4 4.18 4.25 4.25 3.97 3.42 2.75 2.31 2 1.66 1.31 1.09 1 1 1
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.202411-1.86610.032736
2-0.212623-1.96030.026619
30.2446012.25510.013348
4-0.187008-1.72410.04416
5-0.135108-1.24560.108161
60.2275242.09770.019452
7-0.114348-1.05420.147381
8-0.091328-0.8420.201076
9-0.051817-0.47770.317036
100.0349070.32180.374187
11-0.071488-0.65910.25581
120.0822870.75860.225081
130.0329820.30410.380906
14-0.086724-0.79960.2131
150.0996150.91840.180503
160.0238570.220.413217
17-0.106144-0.97860.165277
180.0323960.29870.382959
190.0358280.33030.370987
20-0.038841-0.35810.360578
210.0019250.01780.49294
22-0.008371-0.07720.469332
230.025950.23920.405745
24-0.033065-0.30480.380613
250.0367490.33880.367796
26-0.026034-0.240.405446
27-0.015152-0.13970.444618
280.0189180.17440.430975
290.000670.00620.497544
30-0.119371-1.10050.137102
310.1425581.31430.096137
320.0380880.35120.363171
33-0.184915-1.70480.045939
340.110331.01720.155975
350.1185331.09280.138779
36-0.273732-2.52370.006737
370.1167751.07660.142349
380.0621970.57340.283936
39-0.076427-0.70460.241485
40-0.002009-0.01850.492633
410.0720740.66450.254087
42-0.048133-0.44380.329169
430.0036830.0340.486495
440.048970.45150.326395
45-0.035158-0.32410.373313
46-0.049389-0.45530.325012
470.1448181.33520.092695
48-0.143563-1.32360.094595
49-0.011301-0.10420.458633
500.1372841.26570.104539
51-0.10673-0.9840.163953
52000.5
530.083710.77180.221196
54-0.071154-0.6560.256797
55-0.008371-0.07720.469332
560.0334840.30870.37915
57000.5
58000.5
590.0150680.13890.444922
600.0359950.33190.370406


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.202411-1.86610.032736
2-0.264427-2.43790.008428
30.1532111.41250.080721
4-0.173576-1.60030.056622
5-0.137641-1.2690.103955
60.0755490.69650.244
7-0.063628-0.58660.279505
8-0.060715-0.55980.288558
9-0.244233-2.25170.013459
100.00640.0590.476544
11-0.125415-1.15630.125405
120.0350510.32320.373685
13-0.051607-0.47580.317722
14-0.075363-0.69480.244533
150.0819540.75560.225995
16-0.034551-0.31850.375428
17-0.036404-0.33560.368989
18-0.12313-1.13520.129741
190.0269990.24890.402013
20-0.004726-0.04360.482673
21-0.035678-0.32890.371506
22-0.066951-0.61730.269358
230.0314430.28990.386302
240.0028190.0260.489661
25-0.000456-0.00420.498328
26-0.075046-0.69190.245445
27-0.026059-0.24030.405355
28-0.001812-0.01670.493357
29-0.009066-0.08360.466793
30-0.172233-1.58790.05801
310.0701270.64650.259835
320.0782220.72120.236392
33-0.14189-1.30820.097172
34-0.010572-0.09750.461292
350.0558980.51540.303822
36-0.126953-1.17040.122546
37-0.048365-0.44590.328399
38-0.100896-0.93020.177447
390.0848950.78270.217992
40-0.096142-0.88640.188955
41-0.006006-0.05540.477987
42-0.02709-0.24980.401689
430.0023910.0220.491233
440.0076140.07020.472102
45-0.100207-0.92390.179087
46-0.040569-0.3740.354656
470.0435830.40180.344413
48-0.07732-0.71290.238944
49-0.038474-0.35470.361843
50-0.015685-0.14460.442682
510.0152490.14060.444263
52-0.001233-0.01140.495477
53-0.045186-0.41660.339012
54-0.045643-0.42080.337479
55-0.033255-0.30660.379952
56-0.001389-0.01280.494905
57-0.035734-0.32940.371314
58-0.028892-0.26640.395299
590.0172790.15930.436903
600.0511970.4720.319064
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/17/t12610892039oqsfc3f8akr8cd/1xhki1261089151.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/17/t12610892039oqsfc3f8akr8cd/1xhki1261089151.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/17/t12610892039oqsfc3f8akr8cd/2cmb21261089151.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/17/t12610892039oqsfc3f8akr8cd/2cmb21261089151.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 2 ; 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')
 




Copyright

Creative Commons License

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.


Privacy Policy

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