Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Nov » 27 »

*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 13:13:13 -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/t12593528323bjrnjbd8bnfs6b.htm/, Retrieved Fri, 27 Nov 2009 21:13:54 +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/t12593528323bjrnjbd8bnfs6b.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 «

100,6 104,3 120,4 107,5 102,9 125,6 107,5 108,8 128,4 121,1 119,5 128,7 108,7 105,5 119,8 111,3 110,6 120,1 97,5 107,7 127,3 117,2 119,8 116,2 111 112,4 130,6 109,1 118,8 123,9 101,6 112,8 128 129,6 125,8 119,5 115,7 113,6 129,7 112 116,8 127 112,1 114,2 121,1 131,6 125 120,4 117,7 117,5 120,6 127,5 112,3 124,5 115,2 104,7 130,9 129,2 113,5 125,6 107,6

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	-0.127157	-0.8901	0.188881
2	0.073764	0.5163	0.303967
3	0.216166	1.5132	0.068331
4	-0.099882	-0.6992	0.243874
5	0.220374	1.5426	0.064679
6	0.005185	0.0363	0.485599
7	-0.187678	-1.3137	0.097525
8	0.056593	0.3961	0.346858
9	0.007313	0.0512	0.479692
10	-0.047209	-0.3305	0.371229
11	-0.164321	-1.1502	0.127812
12	-0.055426	-0.388	0.349855
13	-0.091129	-0.6379	0.263254
14	0.096374	0.6746	0.251544
15	-0.072134	-0.5049	0.307932
16	-0.086544	-0.6058	0.27372
17	0.077257	0.5408	0.295547
18	-0.005615	-0.0393	0.484404
19	-0.173403	-1.2138	0.115317
20	0.045421	0.3179	0.375938
21	0.047047	0.3293	0.371656
22	-0.088768	-0.6214	0.268617
23	0.147985	1.0359	0.152668
24	-0.227465	-1.5923	0.058879
25	-0.057211	-0.4005	0.345274
26	0.06898	0.4829	0.315674
27	-0.042467	-0.2973	0.383758
28	-0.111628	-0.7814	0.219165
29	-0.049038	-0.3433	0.366433
30	-0.008711	-0.061	0.475812
31	-0.00264	-0.0185	0.492664
32	-0.018942	-0.1326	0.447529
33	-0.085709	-0.6	0.275648
34	-0.057204	-0.4004	0.345291
35	0.118051	0.8264	0.206304
36	-0.005256	-0.0368	0.485401

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.127157	-0.8901	0.188881
2	0.058541	0.4098	0.341873
3	0.237073	1.6595	0.0517
4	-0.051083	-0.3576	0.361095
5	0.178789	1.2515	0.108343
6	0.01524	0.1067	0.457738
7	-0.203828	-1.4268	0.07999
8	-0.087869	-0.6151	0.270673
9	0.061537	0.4308	0.334266
10	0.004018	0.0281	0.488839
11	-0.224432	-1.571	0.061307
12	-0.038226	-0.2676	0.395071
13	-0.050806	-0.3556	0.361817
14	0.12992	0.9094	0.183785
15	-0.029456	-0.2062	0.418748
16	0.00394	0.0276	0.489054
17	0.04425	0.3097	0.379033
18	0.004412	0.0309	0.487745
19	-0.284662	-1.9926	0.025944
20	-0.034307	-0.2402	0.405607
21	0.216262	1.5138	0.068246
22	-0.087681	-0.6138	0.271105
23	0.011295	0.0791	0.468651
24	-0.188589	-1.3201	0.096464
25	-0.029718	-0.208	0.418035
26	-0.127006	-0.889	0.189161
27	0.143204	1.0024	0.160531
28	-0.12234	-0.8564	0.197978
29	-0.033877	-0.2371	0.406768
30	-0.06125	-0.4288	0.334992
31	-0.07492	-0.5244	0.301169
32	-0.036699	-0.2569	0.399167
33	0.014068	0.0985	0.460977
34	0.014557	0.1019	0.459627
35	-0.078533	-0.5497	0.2925
36	0.074631	0.5224	0.301866

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593528323bjrnjbd8bnfs6b/1pimd1259352791.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593528323bjrnjbd8bnfs6b/1pimd1259352791.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593528323bjrnjbd8bnfs6b/23v5f1259352791.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593528323bjrnjbd8bnfs6b/23v5f1259352791.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')

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