Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Nov » 24 »

*Unverified author*

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 11:00:15 -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/t1259085655xroas71zoz9tqwb.htm/, Retrieved Tue, 24 Nov 2009 19:00:57 +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/t1259085655xroas71zoz9tqwb.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 «

90398 90269 90390 88219 87032 87175 92603 93571 94118 92159 89528 89955 89587 89488 88521 86587 85159 84915 91378 92729 92194 89664 86285 86858 87184 86629 85220 84816 84831 84957 90951 92134 91790 86625 83324 82719 83614 81640 78665 77828 75728 72187 79357 81329 77304 75576 72932 74291 74988 73302 70483 69848 66466 67610 75091 76207 73454 72008 71362 74250

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	-0.060889	-0.4174	0.33913
2	0.036479	0.2501	0.401804
3	0.237536	1.6285	0.055056
4	0.050319	0.345	0.365827
5	-0.011247	-0.0771	0.469435
6	0.083879	0.575	0.284002
7	-0.040398	-0.277	0.391514
8	0.182002	1.2477	0.109154
9	-0.158839	-1.0889	0.140866
10	-0.114617	-0.7858	0.217972
11	0.289487	1.9846	0.026521
12	-0.284174	-1.9482	0.028688
13	-0.095316	-0.6535	0.258324
14	-0.074928	-0.5137	0.304942
15	-0.098614	-0.6761	0.251156
16	-0.093558	-0.6414	0.26219
17	-0.040001	-0.2742	0.392554
18	-0.04514	-0.3095	0.379167
19	0.061385	0.4208	0.337896
20	-0.139783	-0.9583	0.171407
21	-0.016238	-0.1113	0.455916
22	-0.011585	-0.0794	0.468516
23	-0.07849	-0.5381	0.296523
24	0.042766	0.2932	0.385335
25	-0.054948	-0.3767	0.354044
26	0.002092	0.0143	0.494309
27	0.048287	0.331	0.371043
28	-0.038918	-0.2668	0.395392
29	0.038617	0.2647	0.396182
30	0.084108	0.5766	0.283476
31	-0.027304	-0.1872	0.426159
32	0.003555	0.0244	0.49033
33	-0.080418	-0.5513	0.292013
34	0.004653	0.0319	0.487344
35	0.060071	0.4118	0.341169
36	-0.04276	-0.2932	0.385349

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.060889	-0.4174	0.33913
2	0.032894	0.2255	0.411281
3	0.242849	1.6649	0.051294
4	0.084643	0.5803	0.282248
5	-0.022607	-0.155	0.438748
6	0.018085	0.124	0.450929
7	-0.067394	-0.462	0.323095
8	0.186334	1.2774	0.10386
9	-0.166802	-1.1435	0.129303
10	-0.151809	-1.0408	0.151658
11	0.247654	1.6978	0.048076
12	-0.246821	-1.6921	0.048622
13	-0.052328	-0.3587	0.360698
14	-0.228336	-1.5654	0.0621
15	0.002751	0.0189	0.492517
16	-0.009646	-0.0661	0.473776
17	-0.004346	-0.0298	0.488179
18	0.099412	0.6815	0.249439
19	-0.074082	-0.5079	0.306956
20	0.073893	0.5066	0.307408
21	-0.044214	-0.3031	0.38157
22	-0.15568	-1.0673	0.145647
23	0.069952	0.4796	0.316881
24	-0.008795	-0.0603	0.476089
25	0.009821	0.0673	0.473302
26	-0.078294	-0.5368	0.296983
27	0.019205	0.1317	0.447907
28	-0.037263	-0.2555	0.399741
29	-0.015832	-0.1085	0.457016
30	0.094942	0.6509	0.259144
31	-0.02738	-0.1877	0.425957
32	-0.035775	-0.2453	0.40366
33	-0.09978	-0.6841	0.248649
34	-0.052333	-0.3588	0.360685
35	0.033387	0.2289	0.409973
36	0.005762	0.0395	0.484328

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085655xroas71zoz9tqwb/1dpa21259085613.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085655xroas71zoz9tqwb/1dpa21259085613.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085655xroas71zoz9tqwb/277jx1259085613.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259085655xroas71zoz9tqwb/277jx1259085613.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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