Home » date » 2010 » Aug » 16 »

Aantal bezoekers

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 16 Aug 2010 09:18:19 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Aug/16/t1281950389ajsntv8dihojmzg.htm/, Retrieved Mon, 16 Aug 2010 11:19:51 +0200

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/2010/Aug/16/t1281950389ajsntv8dihojmzg.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

556 555 554 552 572 571 556 546 547 547 548 550 555 549 555 550 566 573 543 535 542 541 535 536 548 546 548 548 561 563 527 527 541 534 522 527 539 533 532 519 538 542 503 502 522 511 492 500 509 511 505 493 518 518 474 471 483 461 439 446 461 449 441 424 447 448 404 403 411 386 359 370 385 369 368 352 378 383 334 323 330 303 275 284 301 281 284 272 297 300 240 236 247 218 192 201 223 197 195 175 197 204 142 142 151 127 100 114 139 112 123 108 132 140 76 71 81 57 38 46

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	0.970508	10.6314	0
2	0.941071	10.3089	0
3	0.919919	10.0772	0
4	0.897956	9.8366	0
5	0.868973	9.5191	0
6	0.840663	9.209	0
7	0.824636	9.0334	0
8	0.808246	8.8539	0
9	0.784396	8.5926	0
10	0.7592	8.3166	0
11	0.738487	8.0897	0
12	0.721002	7.8982	0
13	0.688796	7.5454	0
14	0.656238	7.1887	0
15	0.632164	6.925	0
16	0.607501	6.6548	0
17	0.576299	6.313	0
18	0.545263	5.9731	0
19	0.526451	5.767	0
20	0.507066	5.5546	0
21	0.480571	5.2644	0
22	0.453915	4.9724	1e-06
23	0.432692	4.7399	3e-06
24	0.414396	4.5395	7e-06
25	0.383088	4.1965	2.6e-05
26	0.351676	3.8524	9.5e-05
27	0.328255	3.5958	0.000235
28	0.304686	3.3377	0.000563
29	0.275184	3.0145	0.001571
30	0.246942	2.7051	0.003911
31	0.230483	2.5248	0.00644
32	0.213359	2.3372	0.010542
33	0.189174	2.0723	0.02019
34	0.164939	1.8068	0.036648
35	0.14515	1.59	0.057228
36	0.127322	1.3947	0.082834
37	0.098785	1.0821	0.140681
38	0.07036	0.7708	0.221184
39	0.049521	0.5425	0.294248
40	0.029284	0.3208	0.374462
41	0.003798	0.0416	0.483441
42	-0.019535	-0.214	0.415459
43	-0.032629	-0.3574	0.360697
44	-0.046784	-0.5125	0.304624
45	-0.0676	-0.7405	0.230214
46	-0.087306	-0.9564	0.170398
47	-0.102403	-1.1218	0.132099
48	-0.116012	-1.2708	0.103121
49	-0.138289	-1.5149	0.066216
50	-0.16115	-1.7653	0.040028
51	-0.177138	-1.9404	0.027336
52	-0.19235	-2.1071	0.018596
53	-0.212547	-2.3283	0.010784
54	-0.231249	-2.5332	0.006296
55	-0.240558	-2.6352	0.00476
56	-0.250514	-2.7442	0.003498
57	-0.265664	-2.9102	0.002153
58	-0.278459	-3.0504	0.001407
59	-0.286435	-3.1377	0.001071
60	-0.293345	-3.2134	0.000842

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.970508	10.6314	0
2	-0.013999	-0.1533	0.439191
3	0.127404	1.3956	0.082699
4	-0.025451	-0.2788	0.39044
5	-0.114545	-1.2548	0.105998
6	-0.007022	-0.0769	0.469408
7	0.17255	1.8902	0.030572
8	-0.010985	-0.1203	0.452209
9	-0.085116	-0.9324	0.176502
10	-0.046288	-0.5071	0.306523
11	0.005957	0.0653	0.474037
12	0.04924	0.5394	0.295306
13	-0.213238	-2.3359	0.010578
14	-0.012962	-0.142	0.44366
15	0.047276	0.5179	0.302747
16	-0.037072	-0.4061	0.342696
17	-0.057711	-0.6322	0.264231
18	-0.002939	-0.0322	0.487187
19	0.099326	1.0881	0.139375
20	-0.027706	-0.3035	0.381014
21	-0.043166	-0.4729	0.318584
22	-0.020604	-0.2257	0.410906
23	0.00733	0.0803	0.468067
24	0.022573	0.2473	0.402557
25	-0.137017	-1.501	0.067997
26	-0.007112	-0.0779	0.469014
27	0.009852	0.1079	0.45712
28	-0.02867	-0.3141	0.377009
29	-0.034898	-0.3823	0.351463
30	0.023452	0.2569	0.398846
31	0.06123	0.6707	0.251836
32	-0.030137	-0.3301	0.370935
33	-0.03266	-0.3578	0.360569
34	-0.023869	-0.2615	0.397086
35	-0.019316	-0.2116	0.41639
36	-0.001012	-0.0111	0.495587
37	-0.078787	-0.8631	0.194912
38	-0.010762	-0.1179	0.453177
39	-0.006185	-0.0678	0.473045
40	-0.016421	-0.1799	0.428773
41	-0.0233	-0.2552	0.399488
42	0.037007	0.4054	0.342955
43	0.022366	0.245	0.403433
44	-0.033331	-0.3651	0.357832
45	-0.02486	-0.2723	0.392917
46	-0.005576	-0.0611	0.475696
47	-0.012833	-0.1406	0.444219
48	0.000294	0.0032	0.498719
49	-0.043001	-0.4711	0.319228
50	-0.035416	-0.388	0.349364
51	-0.01547	-0.1695	0.432858
52	-0.013368	-0.1464	0.441912
53	-0.01936	-0.2121	0.416203
54	0.013931	0.1526	0.439482
55	0.008994	0.0985	0.460838
56	-0.026752	-0.2931	0.384994
57	0.000235	0.0026	0.498975
58	0.016023	0.1755	0.430482
59	-0.002711	-0.0297	0.488178
60	0.005617	0.0615	0.475518

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281950389ajsntv8dihojmzg/1jtf11281950297.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281950389ajsntv8dihojmzg/1jtf11281950297.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281950389ajsntv8dihojmzg/2jtf11281950297.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Aug/16/t1281950389ajsntv8dihojmzg/2jtf11281950297.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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