Home » date » 2009 » Nov » 27 »

WS8 Identifying Integration Processes

*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: Fri, 27 Nov 2009 09:37:04 -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/27/t12593398705fmpszzsbbbh603.htm/, Retrieved Fri, 27 Nov 2009 17:37:52 +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/27/t12593398705fmpszzsbbbh603.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 «
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 8.0 8.0 7.9 8.0 7.7 7.2 7.5 7.3 7.0 7.0 7.0 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8.0 8.0 7.7 7.3 7.4 8.1 8.3 8.2
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.93550612.12550
20.81127610.51530
30.6960659.0220
40.6334858.21090
50.6205728.04350
60.6212418.05220
70.5972047.74060
80.5307636.87950
90.4328385.61020
100.3278264.24911.8e-05
110.2371943.07440.001231
120.1728722.24070.013179
130.1377761.78580.037969
140.1097971.42310.078277
150.0697810.90450.183523
160.0151560.19640.422248
17-0.044398-0.57550.282874
18-0.100645-1.30450.096923
19-0.152019-1.97040.025218
20-0.188451-2.44260.007809
21-0.21916-2.84060.00253
22-0.247713-3.21070.000793
23-0.273612-3.54640.000253
24-0.293598-3.80559.9e-05
25-0.302511-3.9216.4e-05
26-0.309664-4.01374.5e-05
27-0.318716-4.1312.8e-05
28-0.326413-4.23081.9e-05
29-0.322131-4.17532.4e-05
30-0.298402-3.86777.8e-05
31-0.251473-3.25950.000676
32-0.212314-2.75190.003288
33-0.202372-2.6230.004758
34-0.2244-2.90860.002061
35-0.255496-3.31160.000568
36-0.260936-3.38210.000447


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.93550612.12550
2-0.511874-6.63460
30.2983493.86717.9e-05
40.2525443.27330.000645
50.0535580.69420.24426
6-0.071613-0.92820.177316
7-0.108804-1.41030.080155
8-0.129832-1.68280.047134
9-0.100703-1.30530.096795
10-0.111025-1.4390.075999
11-0.092383-1.19740.116414
12-0.009886-0.12810.449098
130.0860231.1150.133224
14-0.103632-1.34320.090505
15-0.017162-0.22240.412119
160.0546630.70850.239805
170.0133840.17350.431242
18-0.081291-1.05370.146777
19-0.107386-1.39190.082898
200.0837261.08520.139691
21-0.14796-1.91780.028418
22-0.018992-0.24620.402928
230.0087830.11380.454751
240.0256460.33240.369999
250.0816471.05830.145728
26-0.116228-1.50650.066909
270.0096320.12480.450396
280.0751410.97390.165743
290.1012391.31220.095621
300.0321590.41680.338669
310.1065191.38060.084611
32-0.194301-2.51840.006362
33-0.117392-1.52160.064998
34-0.120205-1.5580.060554
35-0.036147-0.46850.320009
360.1014931.31550.095067
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593398705fmpszzsbbbh603/14u491259339823.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593398705fmpszzsbbbh603/14u491259339823.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t12593398705fmpszzsbbbh603/2h7za1259339823.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t12593398705fmpszzsbbbh603/2h7za1259339823.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

Creative Commons License

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