Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Nov » 26 »

*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: Thu, 26 Nov 2009 02:48:27 -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/26/t1259229111hwjnidqfxqcsnfl.htm/, Retrieved Thu, 26 Nov 2009 10:51:53 +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/26/t1259229111hwjnidqfxqcsnfl.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 «

392 394 392 396 392 396 419 421 420 418 410 418 426 428 430 424 423 427 441 449 452 462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412

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	0.915179	7.1478	0
2	0.814369	6.3604	0
3	0.721599	5.6359	0
4	0.655347	5.1184	2e-06
5	0.606297	4.7353	7e-06
6	0.549476	4.2915	3.2e-05
7	0.489165	3.8205	0.000157
8	0.394023	3.0774	0.001563
9	0.316037	2.4683	0.008197
10	0.262062	2.0468	0.022498
11	0.21025	1.6421	0.052857
12	0.161316	1.2599	0.106249
13	0.078871	0.616	0.270092
14	-0.01296	-0.1012	0.459855
15	-0.091972	-0.7183	0.23765
16	-0.154916	-1.2099	0.115486
17	-0.192291	-1.5018	0.069148
18	-0.232032	-1.8122	0.037437
19	-0.271863	-2.1233	0.018896
20	-0.32547	-2.542	0.006789
21	-0.35811	-2.7969	0.003446
22	-0.36511	-2.8516	0.002964
23	-0.372501	-2.9093	0.002524
24	-0.377357	-2.9473	0.002268
25	-0.410577	-3.2067	0.00107
26	-0.445087	-3.4762	0.000471
27	-0.465575	-3.6363	0.000285
28	-0.466078	-3.6402	0.000281
29	-0.450358	-3.5174	0.000415
30	-0.441005	-3.4444	0.00052
31	-0.421298	-3.2904	0.000833
32	-0.414189	-3.2349	0.000983
33	-0.387741	-3.0284	0.001801
34	-0.357017	-2.7884	0.003527
35	-0.326396	-2.5492	0.006663
36	-0.288575	-2.2538	0.013905

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.915179	7.1478	0
2	-0.142711	-1.1146	0.134695
3	0.003457	0.027	0.489274
4	0.102767	0.8026	0.212651
5	0.039948	0.312	0.378052
6	-0.087615	-0.6843	0.248191
7	-0.023	-0.1796	0.429017
8	-0.240455	-1.878	0.032581
9	0.082385	0.6434	0.261173
10	0.05576	0.4355	0.332368
11	-0.10487	-0.8191	0.20797
12	-0.018277	-0.1428	0.443478
13	-0.211977	-1.6556	0.05147
14	-0.102191	-0.7981	0.213944
15	0.051702	0.4038	0.343884
16	-0.082725	-0.6461	0.260318
17	0.021395	0.1671	0.433923
18	-0.034227	-0.2673	0.395062
19	-0.057655	-0.4503	0.327045
20	-0.053198	-0.4155	0.339622
21	0.090648	0.708	0.240827
22	-0.008491	-0.0663	0.47367
23	-0.064927	-0.5071	0.306959
24	-0.025083	-0.1959	0.422667
25	-0.173164	-1.3525	0.090612
26	-0.004981	-0.0389	0.484548
27	0.019249	0.1503	0.440498
28	-0.05699	-0.4451	0.328908
29	-0.019914	-0.1555	0.438456
30	-0.034745	-0.2714	0.393514
31	0.044604	0.3484	0.364381
32	-0.039694	-0.31	0.3788
33	0.073924	0.5774	0.28291
34	-0.131738	-1.0289	0.153794
35	0.002708	0.0211	0.491598
36	0.047936	0.3744	0.354705

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229111hwjnidqfxqcsnfl/1fqpa1259228906.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229111hwjnidqfxqcsnfl/1fqpa1259228906.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229111hwjnidqfxqcsnfl/2axav1259228906.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259229111hwjnidqfxqcsnfl/2axav1259228906.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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