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 03:05:01 -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/t12592299548ifmqsvzigsdefr.htm/, Retrieved Thu, 26 Nov 2009 11:05:57 +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/26/t12592299548ifmqsvzigsdefr.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	0.007111	0.0493	0.480455
2	0.050642	0.3509	0.363616
3	0.073255	0.5075	0.307055
4	-0.027333	-0.1894	0.425302
5	-0.042028	-0.2912	0.386084
6	-0.029947	-0.2075	0.418256
7	-0.032256	-0.2235	0.412057
8	-0.025738	-0.1783	0.429612
9	0.005925	0.041	0.483715
10	-0.250575	-1.736	0.044487
11	-0.024208	-0.1677	0.433754
12	-0.199266	-1.3806	0.086906
13	-0.086235	-0.5975	0.276506
14	0.035325	0.2447	0.403851
15	0.092058	0.6378	0.263319
16	0.007566	0.0524	0.479207
17	-0.034722	-0.2406	0.405459
18	0.143506	0.9942	0.162546
19	0.110564	0.766	0.22371
20	0.10425	0.7223	0.236818
21	0.008113	0.0562	0.477705
22	-0.037216	-0.2578	0.398816
23	0.0816	0.5653	0.287238
24	-0.184171	-1.276	0.104052
25	-0.098659	-0.6835	0.248779
26	-0.17032	-1.18	0.121906
27	0.018145	0.1257	0.450244
28	-0.096981	-0.6719	0.252433
29	0.004701	0.0326	0.487077
30	-0.018747	-0.1299	0.4486
31	-0.155606	-1.0781	0.143196
32	0.021065	0.1459	0.442289
33	-0.059273	-0.4107	0.341575
34	0.050271	0.3483	0.364574
35	0.026452	0.1833	0.427681
36	-0.020731	-0.1436	0.443197

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.007111	0.0493	0.480455
2	0.050594	0.3505	0.36374
3	0.072743	0.504	0.30829
4	-0.030856	-0.2138	0.415814
5	-0.049574	-0.3435	0.366378
6	-0.032263	-0.2235	0.412038
7	-0.023224	-0.1609	0.436425
8	-0.016481	-0.1142	0.454785
9	0.011234	0.0778	0.469143
10	-0.251216	-1.7405	0.044092
11	-0.026887	-0.1863	0.426505
12	-0.194622	-1.3484	0.091932
13	-0.058552	-0.4057	0.343398
14	0.035301	0.2446	0.403916
15	0.107956	0.7479	0.229073
16	-0.01506	-0.1043	0.458668
17	-0.09069	-0.6283	0.266386
18	0.111235	0.7707	0.222342
19	0.13695	0.9488	0.173732
20	0.067349	0.4666	0.321447
21	-0.016639	-0.1153	0.454354
22	-0.171892	-1.1909	0.119775
23	0.041897	0.2903	0.386429
24	-0.218079	-1.5109	0.068685
25	-0.066676	-0.4619	0.323105
26	-0.206473	-1.4305	0.079528
27	0.05645	0.3911	0.348728
28	-0.051825	-0.3591	0.360564
29	0.04465	0.3093	0.379199
30	0.043639	0.3023	0.381849
31	-0.097041	-0.6723	0.252302
32	0.036064	0.2499	0.401881
33	-0.064475	-0.4467	0.328552
34	-0.092586	-0.6415	0.262139
35	-0.01241	-0.086	0.465919
36	-0.262054	-1.8156	0.037843

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592299548ifmqsvzigsdefr/1l8kj1259229899.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592299548ifmqsvzigsdefr/1l8kj1259229899.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592299548ifmqsvzigsdefr/2mpeb1259229899.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592299548ifmqsvzigsdefr/2mpeb1259229899.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