Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 18 »

*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, 18 Dec 2009 03:54:28 -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/18/t1261133722i78fb90aaiwb8ds.htm/, Retrieved Fri, 18 Dec 2009 11:55:24 +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/18/t1261133722i78fb90aaiwb8ds.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:

shwpaper24

Dataseries X:

» Textbox « » Textfile « » CSV «

15912.8 13866.5 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 17304

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	-0.566145	-3.9224	0.000139
2	0.077016	0.5336	0.298046
3	0.369336	2.5588	0.006855
4	-0.351697	-2.4366	0.009292
5	0.155778	1.0793	0.142932
6	0.161626	1.1198	0.134191
7	-0.38018	-2.634	0.005662
8	0.295925	2.0502	0.022913
9	-0.12635	-0.8754	0.192865
10	-0.090464	-0.6268	0.266896
11	0.160386	1.1112	0.136012
12	-0.13069	-0.9054	0.184875
13	-0.000731	-0.0051	0.497989
14	0.059472	0.412	0.341075
15	0.028258	0.1958	0.422805
16	-0.169637	-1.1753	0.12284
17	0.177312	1.2285	0.112633
18	-0.097413	-0.6749	0.25149
19	-0.070805	-0.4905	0.31299
20	0.173634	1.203	0.117444
21	-0.094466	-0.6545	0.257963
22	-0.180851	-1.253	0.108142
23	0.378959	2.6255	0.005787
24	-0.335662	-2.3255	0.012158
25	0.140292	0.972	0.16797
26	0.066428	0.4602	0.323717
27	-0.156247	-1.0825	0.142217
28	0.105328	0.7297	0.23455
29	0.030561	0.2117	0.416607
30	-0.132376	-0.9171	0.18183
31	0.143949	0.9973	0.161808
32	-0.107403	-0.7441	0.23022
33	0.023987	0.1662	0.434353
34	0.079453	0.5505	0.292277
35	-0.139727	-0.9681	0.168934
36	0.051198	0.3547	0.362181
37	0.0151	0.1046	0.458557
38	-0.048526	-0.3362	0.369093
39	-0.006392	-0.0443	0.48243
40	0.030922	0.2142	0.415636
41	-0.075951	-0.5262	0.300584
42	0.049786	0.3449	0.365827
43	-0.014381	-0.0996	0.460525
44	-0.004095	-0.0284	0.488742
45	0.00227	0.0157	0.493758
46	-0.001876	-0.013	0.494842
47	0.005091	0.0353	0.486005
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.566145	-3.9224	0.000139
2	-0.358369	-2.4829	0.008291
3	0.38107	2.6401	0.005573
4	0.202815	1.4051	0.083209
5	0.002027	0.014	0.494426
6	0.104736	0.7256	0.235794
7	-0.244622	-1.6948	0.048297
8	-0.168536	-1.1677	0.124357
9	-0.153756	-1.0653	0.146046
10	0.044341	0.3072	0.380008
11	0.105317	0.7297	0.234573
12	0.100116	0.6936	0.24563
13	0.030528	0.2115	0.416696
14	-0.161833	-1.1212	0.133888
15	0.136537	0.946	0.174454
16	-0.186769	-1.294	0.100933
17	-0.087962	-0.6094	0.272561
18	-0.067381	-0.4668	0.321368
19	-0.053874	-0.3732	0.355303
20	0.130609	0.9049	0.185023
21	0.236508	1.6386	0.05392
22	-0.157886	-1.0939	0.139737
23	-0.047006	-0.3257	0.373045
24	-0.068587	-0.4752	0.318404
25	0.015986	0.1108	0.456135
26	-0.098909	-0.6853	0.248237
27	0.113891	0.7891	0.216979
28	0.02034	0.1409	0.444261
29	-0.039192	-0.2715	0.393574
30	0.047437	0.3287	0.371925
31	-0.007464	-0.0517	0.479486
32	-0.089444	-0.6197	0.269197
33	-0.028933	-0.2005	0.420986
34	0.059037	0.409	0.342172
35	-0.080301	-0.5563	0.29028
36	-0.10093	-0.6993	0.243881
37	-0.021601	-0.1497	0.440831
38	-0.075055	-0.52	0.302729
39	0.051637	0.3578	0.361048
40	0.004014	0.0278	0.488965
41	-0.004049	-0.0281	0.488868
42	0.017977	0.1245	0.4507
43	-0.041177	-0.2853	0.388327
44	-0.110791	-0.7676	0.223247
45	0.061046	0.4229	0.337114
46	-0.056751	-0.3932	0.347962
47	-0.000273	-0.0019	0.499251
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261133722i78fb90aaiwb8ds/1yppy1261133666.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261133722i78fb90aaiwb8ds/1yppy1261133666.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261133722i78fb90aaiwb8ds/2d2ba1261133666.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/18/t1261133722i78fb90aaiwb8ds/2d2ba1261133666.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ;

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 (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='lags',ylab='ACF')

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