workshop 8

*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 11:35:24 -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/t1259260583yg4w2p45i6nxqp3.htm/, Retrieved Thu, 26 Nov 2009 19:36:25 +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/t1259260583yg4w2p45i6nxqp3.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 «

6.9 6.8 6.7 6.6 6.5 6.5 7.0 7.5 7.6 7.6 7.6 7.8 8.0 8.0 8.0 7.9 7.9 8.0 8.5 9.2 9.4 9.5 9.5 9.6 9.7 9.7 9.6 9.5 9.4 9.3 9.6 10.2 10.2 10.1 9.9 9.8 9.8 9.7 9.5 9.3 9.1 9.0 9.5 10.0 10.2 10.1 10.0 9.9 10.0 9.9 9.7 9.5 9.2 9.0 9.3 9.8 9.8 9.6 9.4 9.3 9.2 9.2 9.0 8.8 8.7 8.7 9.1 9.7 9.8 9.6 9.4 9.4 9.5 9.4 9.3 9.2 9.0 8.9 9.2 9.8 9.9 9.6 9.2 9.1 9.1 9.0 8.9 8.7 8.5 8.3 8.5 8.7 8.4 8.1 7.8 7.7 7.5 7.2 6.8 6.7 6.4 6.3 6.8 7.3 7.1 7.0 6.8 6.6 6.3 6.1 6.1 6.3 6.3 6.0 6.2 6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8.0 8.1 8.2 8.3 8.2 8.0 7.9 7.6 7.6 8.3 8.4 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.0 8.2 8.1 8.1 8.0 7.9 7.9

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 0.960308 12.447 0 2 0.886796 11.4942 0 3 0.812638 10.533 0 4 0.763422 9.8951 0 5 0.734056 9.5145 0 6 0.708211 9.1795 0 7 0.671771 8.7072 0 8 0.615111 7.9727 0 9 0.54394 7.0503 0 10 0.461941 5.9874 0 11 0.384533 4.9841 1e-06 12 0.320973 4.1603 2.5e-05 13 0.27745 3.5962 0.000212 14 0.240178 3.1131 0.001088 15 0.197435 2.559 0.005689 16 0.143034 1.8539 0.032751 17 0.082632 1.071 0.142846 18 0.02608 0.338 0.367877 19 -0.019855 -0.2574 0.398609 20 -0.053091 -0.6881 0.246157 21 -0.080257 -1.0403 0.149858 22 -0.103846 -1.346 0.090058 23 -0.127511 -1.6527 0.050127 24 -0.151359 -1.9618 0.025717 25 -0.17212 -2.2309 0.013505 26 -0.190428 -2.4682 0.00729 27 -0.202855 -2.6293 0.004675 28 -0.209099 -2.7102 0.003711 29 -0.20686 -2.6812 0.004034 30 -0.196812 -2.551 0.005817 31 -0.182739 -2.3686 0.009497 32 -0.171552 -2.2236 0.013755 33 -0.174401 -2.2605 0.012537 34 -0.187712 -2.433 0.008011 35 -0.204323 -2.6483 0.00443 36 -0.209063 -2.7098 0.003716 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.960308 12.447 0 2 -0.4549 -5.8962 0 3 0.17004 2.204 0.014443 4 0.266598 3.4555 0.000348 5 -0.045011 -0.5834 0.2802 6 -0.084786 -1.099 0.13668 7 -0.058223 -0.7547 0.225755 8 -0.177814 -2.3047 0.011203 9 -0.075649 -0.9805 0.164118 10 -0.186444 -2.4166 0.008369 11 0.016127 0.209 0.41734 12 0.032022 0.4151 0.339314 13 0.085007 1.1018 0.13606 14 -0.099088 -1.2843 0.100398 15 -0.010732 -0.1391 0.444767 16 -0.01851 -0.2399 0.405343 17 0.005923 0.0768 0.469448 18 -0.022451 -0.291 0.385707 19 0.000724 0.0094 0.496263 20 -0.006495 -0.0842 0.466507 21 -0.038202 -0.4951 0.310571 22 0.016511 0.214 0.415398 23 0.017865 0.2316 0.408581 24 -0.005393 -0.0699 0.472177 25 0.058974 0.7644 0.222854 26 -0.078787 -1.0212 0.154316 27 0.023618 0.3061 0.379943 28 0.011571 0.15 0.440481 29 0.049293 0.6389 0.261875 30 0.061213 0.7934 0.214328 31 0.010064 0.1304 0.448186 32 -0.060497 -0.7841 0.217033 33 -0.190848 -2.4737 0.007184 34 -0.034788 -0.4509 0.326321 35 -0.04439 -0.5754 0.282911 36 0.067384 0.8734 0.191848

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260583yg4w2p45i6nxqp3/1j3xa1259260523.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260583yg4w2p45i6nxqp3/1j3xa1259260523.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260583yg4w2p45i6nxqp3/2f1zl1259260523.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/26/t1259260583yg4w2p45i6nxqp3/2f1zl1259260523.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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

Copyright

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.

Privacy Policy

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