Home » date » 2009 » Nov » 24 »

ws4

*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: Tue, 24 Nov 2009 04:08:53 -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/Nov/24/t1259061114osavpc53tk5b0ne.htm/, Retrieved Tue, 24 Nov 2009 12:11:59 +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/Nov/24/t1259061114osavpc53tk5b0ne.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 «

395.3 395.1 403.5 403.3 405.7 406.7 407.2 412.4 415.9 414 411.8 409.9 412.4 415.9 416.3 417.2 421.8 421.4 415.1 412.4 411.8 408.8 404.5 402.5 409.4 410.7 413.4 415.2 417.7 417.8 417.9 418.4 418.2 416.6 418.9 421 423.5 432.3 432.3 428.6 426.7 427.3 428.5 437 442 444.9 441.4 440.3 447.1 455.3 478.6 486.5 487.8 485.9 483.8 488.4 494 493.6 487.3 482.1 484.2 496.8 501.1 499.8 495.5 498.1 503.8 516.2 526.1 527.1 525.1 528.9 540.1 549 556 568.9 589.1 590.3 603.3 638.8 643 656.7 656.1 654.1 659.9 662.1 669.2 673.1 678.3 677.4 678.5 672.4 665.3 667.9 672.1 662.5 682.3 692.1 702.7 721.4 733.2 747.7 737.6 729.3 706.1 674.3 659 645.7

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	0.411898	4.0147	5.9e-05
2	0.288485	2.8118	0.002992
3	0.20192	1.9681	0.025988
4	0.057754	0.5629	0.287408
5	-0.04283	-0.4175	0.338644
6	-0.129788	-1.265	0.104479
7	-0.022205	-0.2164	0.414558
8	-0.156375	-1.5242	0.065396
9	-0.209663	-2.0435	0.021884
10	-0.15739	-1.534	0.064171
11	-0.046587	-0.4541	0.325405
12	-0.271754	-2.6487	0.004731
13	-0.04469	-0.4356	0.332064
14	0.051873	0.5056	0.307157
15	0.037588	0.3664	0.357456
16	-0.095175	-0.9276	0.17797
17	-0.011676	-0.1138	0.454816
18	0.099782	0.9726	0.166621
19	-0.065387	-0.6373	0.262728
20	0.078488	0.765	0.223081
21	0.060291	0.5876	0.279082
22	0.093518	0.9115	0.18217
23	-0.021262	-0.2072	0.418135
24	0.002743	0.0267	0.489365
25	0.04039	0.3937	0.347351
26	-0.019459	-0.1897	0.424989
27	-0.020094	-0.1958	0.422573
28	0.075274	0.7337	0.232476
29	0.059794	0.5828	0.280704
30	-0.075727	-0.7381	0.231137
31	0.057407	0.5595	0.288558
32	-0.011312	-0.1103	0.45622
33	-0.005325	-0.0519	0.479356
34	-0.045723	-0.4457	0.328431
35	-0.032428	-0.3161	0.37632
36	-0.055503	-0.541	0.294894
37	-0.095513	-0.9309	0.177121
38	-0.076849	-0.749	0.227846
39	-0.114948	-1.1204	0.13269
40	-0.104707	-1.0206	0.155028
41	-0.078728	-0.7673	0.22239
42	0.058559	0.5708	0.284756
43	0.031912	0.311	0.378227
44	0.094253	0.9187	0.180298
45	0.075413	0.735	0.232064
46	0.062036	0.6047	0.273426
47	0.004337	0.0423	0.483184
48	0.029018	0.2828	0.388961
49	0.066017	0.6435	0.260738
50	0.021589	0.2104	0.416895
51	0.060503	0.5897	0.278392
52	0.014403	0.1404	0.444326
53	-0.040126	-0.3911	0.3483
54	-0.141414	-1.3783	0.08567
55	-0.090988	-0.8868	0.188701
56	-0.095521	-0.931	0.177101
57	-0.092943	-0.9059	0.18364
58	-0.05864	-0.5716	0.284487
59	-0.015669	-0.1527	0.43947
60	-0.074131	-0.7225	0.235868

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.411898	4.0147	5.9e-05
2	0.143104	1.3948	0.083163
3	0.050598	0.4932	0.311515
4	-0.085084	-0.8293	0.204507
5	-0.097498	-0.9503	0.172187
6	-0.109591	-1.0682	0.144077
7	0.114537	1.1164	0.13354
8	-0.143877	-1.4023	0.082037
9	-0.130441	-1.2714	0.103348
10	-0.027176	-0.2649	0.395838
11	0.118621	1.1562	0.125254
12	-0.308057	-3.0026	0.001711
13	0.201547	1.9644	0.026201
14	0.056654	0.5522	0.291057
15	0.010328	0.1007	0.460014
16	-0.27226	-2.6537	0.004667
17	0.117938	1.1495	0.126614
18	0.034828	0.3395	0.367507
19	-0.030756	-0.2998	0.382505
20	0.0508	0.4951	0.310823
21	-0.038849	-0.3787	0.352896
22	0.024957	0.2432	0.404168
23	0.028422	0.277	0.391181
24	-0.130014	-1.2672	0.104088
25	0.04512	0.4398	0.330549
26	0.084861	0.8271	0.20512
27	0.007733	0.0754	0.470039
28	-0.061274	-0.5972	0.275888
29	0.055504	0.541	0.294891
30	-0.028481	-0.2776	0.390962
31	0.075413	0.735	0.232064
32	-0.068095	-0.6637	0.254242
33	-0.015413	-0.1502	0.440451
34	0.026142	0.2548	0.399714
35	-0.050186	-0.4892	0.312931
36	-0.116228	-1.1329	0.130064
37	0.072448	0.7061	0.240917
38	-0.024243	-0.2363	0.406857
39	-0.106594	-1.039	0.150732
40	-0.070341	-0.6856	0.247316
41	0.132018	1.2868	0.100653
42	0.034424	0.3355	0.368984
43	0.009423	0.0918	0.463508
44	0.03139	0.306	0.380156
45	-0.033	-0.3216	0.374213
46	-0.040848	-0.3981	0.34571
47	-0.04873	-0.475	0.317952
48	0.01148	0.1119	0.455571
49	0.065294	0.6364	0.26302
50	0.074673	0.7278	0.234257
51	-0.085148	-0.8299	0.204333
52	-0.03749	-0.3654	0.357811
53	-0.022604	-0.2203	0.413049
54	-0.07467	-0.7278	0.234267
55	-0.030924	-0.3014	0.38188
56	0.008575	0.0836	0.466782
57	-0.018598	-0.1813	0.428271
58	0.036993	0.3606	0.359613
59	-0.047415	-0.4621	0.322516
60	-0.108856	-1.061	0.145691

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259061114osavpc53tk5b0ne/1ixu81259060931.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259061114osavpc53tk5b0ne/1ixu81259060931.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259061114osavpc53tk5b0ne/2t1dk1259060931.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259061114osavpc53tk5b0ne/2t1dk1259060931.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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