Home » date » 2009 » Dec » 19 »

d=1,D=0

*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: Sat, 19 Dec 2009 09:12:58 -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/19/t12612393680wx1rk20oqn7e8d.htm/, Retrieved Sat, 19 Dec 2009 17:16:11 +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/19/t12612393680wx1rk20oqn7e8d.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 «

12.6 15.7 13.2 20.3 12.8 8 0.9 3.6 14.1 21.7 24.5 18.9 13.9 11 5.8 15.5 22.4 31.7 30.3 31.4 20.2 19.7 10.8 13.2 15.1 15.6 15.5 12.7 10.9 10 9.1 10.3 16.9 22 27.6 28.9 31 32.9 38.1 28.8 29 21.8 28.8 25.6 28.2 20.2 17.9 16.3 13.2 8.1 4.5 -0.1 0 2.3 2.8 2.9 0.1 3.5 8.6 13.8

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	0.168483	1.2941	0.100329
2	0.248186	1.9064	0.030739
3	-0.444058	-3.4109	0.000587
4	-0.168099	-1.2912	0.100837
5	-0.228368	-1.7541	0.042301
6	0.114352	0.8784	0.191657
7	0.095727	0.7353	0.232536
8	0.22485	1.7271	0.044691
9	0.076731	0.5894	0.278929
10	-0.055495	-0.4263	0.335733
11	-0.258438	-1.9851	0.025894
12	-0.282461	-2.1696	0.017038
13	-0.259991	-1.997	0.025221
14	-0.078997	-0.6068	0.273161
15	0.04636	0.3561	0.361519
16	0.128689	0.9885	0.163477
17	0.079629	0.6116	0.271563
18	-0.031325	-0.2406	0.405346
19	0.006231	0.0479	0.480993
20	-0.088165	-0.6772	0.25046
21	0.112227	0.862	0.19608
22	-0.098118	-0.7537	0.227026
23	0.135463	1.0405	0.151174
24	-0.039335	-0.3021	0.381804
25	0.205193	1.5761	0.060173
26	0.033102	0.2543	0.400089
27	0.121852	0.936	0.176554
28	-0.025975	-0.1995	0.421272
29	0.054708	0.4202	0.337925
30	-0.089463	-0.6872	0.247331
31	-0.086599	-0.6652	0.254265
32	-0.11943	-0.9174	0.181345
33	-0.034673	-0.2663	0.395459
34	0.037398	0.2873	0.387459
35	0.081501	0.626	0.266858
36	-0.071301	-0.5477	0.29299

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.168483	1.2941	0.100329
2	0.226221	1.7376	0.043746
3	-0.558123	-4.287	3.4e-05
4	-0.054055	-0.4152	0.339748
5	0.148254	1.1388	0.129702
6	-0.050439	-0.3874	0.349916
7	-0.013258	-0.1018	0.459617
8	0.144778	1.1121	0.135311
9	0.04456	0.3423	0.366681
10	-0.19545	-1.5013	0.069308
11	-0.181451	-1.3938	0.08431
12	-0.072745	-0.5588	0.289219
13	-0.202359	-1.5543	0.062725
14	-0.185479	-1.4247	0.079758
15	-0.026771	-0.2056	0.418893
16	-0.068146	-0.5234	0.301314
17	-0.134838	-1.0357	0.152282
18	-0.107613	-0.8266	0.2059
19	0.206927	1.5894	0.058653
20	-0.047012	-0.3611	0.359655
21	0.042014	0.3227	0.374024
22	-0.119288	-0.9163	0.181628
23	0.011952	0.0918	0.463583
24	-0.027243	-0.2093	0.417483
25	-0.055134	-0.4235	0.336739
26	0.01075	0.0826	0.467236
27	-0.039223	-0.3013	0.38213
28	0.023552	0.1809	0.42853
29	0.08155	0.6264	0.266736
30	-0.102262	-0.7855	0.217655
31	-0.157551	-1.2102	0.11552
32	0.068017	0.5224	0.301658
33	-0.006452	-0.0496	0.480321
34	-0.090081	-0.6919	0.245849
35	0.003632	0.0279	0.48892
36	-0.179336	-1.3775	0.08678

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612393680wx1rk20oqn7e8d/1m1n41261239177.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612393680wx1rk20oqn7e8d/1m1n41261239177.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612393680wx1rk20oqn7e8d/28e521261239177.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t12612393680wx1rk20oqn7e8d/28e521261239177.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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