shwws8vr1

*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 12:33:36 -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/t12593504857766fzt94v01w7o.htm/, Retrieved Fri, 27 Nov 2009 20:34:47 +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/t12593504857766fzt94v01w7o.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 «

102,1 102,86 102,99 103,73 105,02 104,43 104,63 104,93 105,87 105,66 106,76 106 107,22 107,33 107,11 108,86 107,72 107,88 108,38 107,72 108,41 109,9 111,45 112,18 113,34 113,46 114,06 115,54 116,39 115,94 116,97 115,94 115,91 116,43 116,26 116,35 117,9 117,7 117,53 117,86 117,65 116,51 115,93 115,31 115

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 -0.000256 -0.0014 0.499426 2 0.235227 1.3306 0.096356 3 0.19873 1.1242 0.134649 4 0.015415 0.0872 0.465527 5 0.095926 0.5426 0.29557 6 0.059621 0.3373 0.369059 7 0.071918 0.4068 0.343421 8 0.091499 0.5176 0.304149 9 -0.07396 -0.4184 0.339232 10 -0.139137 -0.7871 0.218513 11 -0.118562 -0.6707 0.253616 12 -0.382139 -2.1617 0.019113 13 0.028454 0.161 0.436567 14 -0.244405 -1.3826 0.088186 15 0.044601 0.2523 0.401212 16 -0.140424 -0.7944 0.21642 17 -0.138794 -0.7851 0.219074 18 -0.023433 -0.1326 0.447686 19 -0.124385 -0.7036 0.243376 20 -0.056379 -0.3189 0.375928 21 -0.033101 -0.1872 0.426324 22 0.048945 0.2769 0.391828 23 0.034314 0.1941 0.423658 24 -0.022012 -0.1245 0.450841 25 -0.015473 -0.0875 0.465399 26 0.122014 0.6902 0.247518 27 -0.087622 -0.4957 0.31176 28 0.045788 0.259 0.39864 29 0.014883 0.0842 0.466715 30 -0.008651 -0.0489 0.480636 31 0.001399 0.0079 0.496868 32 NA NA NA 33 NA NA NA 34 NA NA NA 35 NA NA NA 36 NA NA NA 37 NA NA NA 38 NA NA NA 39 NA NA NA 40 NA NA NA 41 NA NA NA 42 NA NA NA 43 NA NA NA 44 NA NA NA 45 NA NA NA 46 NA NA NA 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.000256 -0.0014 0.499426 2 0.235227 1.3306 0.096356 3 0.210482 1.1907 0.121271 4 -0.033222 -0.1879 0.426058 5 -0.000948 -0.0054 0.497877 6 0.029106 0.1646 0.435129 7 0.061995 0.3507 0.364056 8 0.063216 0.3576 0.361494 9 -0.125883 -0.7121 0.240781 10 -0.234884 -1.3287 0.096672 11 -0.145129 -0.821 0.208867 12 -0.341002 -1.929 0.03132 13 0.099159 0.5609 0.289377 14 -0.056937 -0.3221 0.374742 15 0.196817 1.1134 0.136922 16 -0.075453 -0.4268 0.336181 17 -0.0575 -0.3253 0.373547 18 0.04756 0.269 0.394813 19 0.050531 0.2858 0.388419 20 0.010021 0.0567 0.477574 21 -0.132223 -0.748 0.22997 22 -0.05179 -0.293 0.385719 23 -0.040265 -0.2278 0.410637 24 -0.154382 -0.8733 0.194499 25 0.012315 0.0697 0.472446 26 0.072222 0.4085 0.342797 27 0.046504 0.2631 0.397094 28 -0.132525 -0.7497 0.229464 29 -0.043631 -0.2468 0.403314 30 -0.018853 -0.1066 0.457867 31 -0.021298 -0.1205 0.452429 32 NA NA NA 33 NA NA NA 34 NA NA NA 35 NA NA NA 36 NA NA NA 37 NA NA NA 38 NA NA NA 39 NA NA NA 40 NA NA NA 41 NA NA NA 42 NA NA NA 43 NA NA NA 44 NA NA NA 45 NA NA NA 46 NA NA NA 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA 60 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593504857766fzt94v01w7o/11xtf1259350415.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t12593504857766fzt94v01w7o/11xtf1259350415.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t12593504857766fzt94v01w7o/2279r1259350415.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t12593504857766fzt94v01w7o/2279r1259350415.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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')

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