Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Dec » 04 »

*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: Sat, 04 Dec 2010 16:11:21 +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/Dec/04/t1291479035n6o87du3ly9hk25.htm/, Retrieved Sat, 04 Dec 2010 17:10:37 +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/2010/Dec/04/t1291479035n6o87du3ly9hk25.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 «

0.4754 0.4531 0.469 0.4716 0.4824 0.527 0.5172 0.515 0.5245 0.53 0.4836 0.4663 0.4592 0.4553 0.4217 0.4366 0.4532 0.4743 0.4776 0.4949 0.5069 0.498 0.5213 0.5394 0.6075 0.5919 0.5758 0.5916 0.6474 0.6704 0.7553 0.7891 0.784 0.7007 0.668 0.6102 0.5238 0.4237 0.3983 0.3879 0.3733 0.394 0.3945 0.4324 0.4233 0.455 0.4344 0.4388 0.4561 0.4512 0.4756 0.4704 0.5107 0.5472 0.5537 0.5539 0.5313 0.5371 0.5459 0.5461

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	0.493508	3.3833	0.000726
2	0.476686	3.268	0.001014
3	0.262565	1.8001	0.039136
4	0.312589	2.143	0.01866
5	-0.004291	-0.0294	0.488328
6	-0.01306	-0.0895	0.464518
7	-0.074287	-0.5093	0.306468
8	-0.193518	-1.3267	0.09551
9	-0.284217	-1.9485	0.02867
10	-0.373624	-2.5614	0.006846
11	-0.32216	-2.2086	0.016057
12	-0.546388	-3.7458	0.000245
13	-0.359333	-2.4635	0.008738
14	-0.352127	-2.4141	0.009862
15	-0.100736	-0.6906	0.246603
16	-0.238622	-1.6359	0.05427
17	-0.02647	-0.1815	0.428391
18	-0.04274	-0.293	0.385402
19	0.143593	0.9844	0.164974
20	0.059633	0.4088	0.342264
21	0.153658	1.0534	0.148766
22	0.147154	1.0088	0.15911
23	0.140759	0.965	0.169744
24	0.065365	0.4481	0.328062
25	0.091763	0.6291	0.266167
26	0.125575	0.8609	0.196832
27	0.017185	0.1178	0.453357
28	0.073124	0.5013	0.309245
29	0.005638	0.0387	0.484665
30	0.062288	0.427	0.335655
31	-0.076332	-0.5233	0.30161
32	-0.010704	-0.0734	0.470906
33	-0.060763	-0.4166	0.339445
34	-0.014472	-0.0992	0.460693
35	-0.040139	-0.2752	0.392194
36	0.002029	0.0139	0.494481
37	-0.004141	-0.0284	0.488736
38	-0.0157	-0.1076	0.457373
39	0.004778	0.0328	0.487005
40	0.003877	0.0266	0.489454
41	0.008801	0.0603	0.476072
42	0.001485	0.0102	0.49596
43	0.011369	0.0779	0.469101
44	-0.014785	-0.1014	0.459849
45	0.006019	0.0413	0.483631
46	-0.000833	-0.0057	0.497734
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.493508	3.3833	0.000726
2	0.308198	2.1129	0.019974
3	-0.076364	-0.5235	0.301534
4	0.139746	0.9581	0.171469
5	-0.307891	-2.1108	0.020069
6	-0.080282	-0.5504	0.292331
7	0.071975	0.4934	0.312
8	-0.257883	-1.768	0.04178
9	-0.062153	-0.4261	0.33599
10	-0.197578	-1.3545	0.091023
11	-0.051724	-0.3546	0.362237
12	-0.322819	-2.2131	0.01589
13	0.070658	0.4844	0.315175
14	0.03944	0.2704	0.394024
15	0.141023	0.9668	0.169294
16	-0.111456	-0.7641	0.224312
17	-0.075519	-0.5177	0.303537
18	-0.037677	-0.2583	0.398653
19	0.099051	0.6791	0.250216
20	-0.077429	-0.5308	0.29902
21	-0.111126	-0.7618	0.22498
22	-0.098885	-0.6779	0.250572
23	-0.099569	-0.6826	0.249103
24	-0.239134	-1.6394	0.053902
25	0.066918	0.4588	0.324258
26	0.025385	0.174	0.431295
27	0.027824	0.1908	0.424771
28	0.020501	0.1405	0.444413
29	-0.092013	-0.6308	0.265611
30	-0.028311	-0.1941	0.423471
31	0.062195	0.4264	0.335887
32	-0.088752	-0.6085	0.272909
33	-0.017787	-0.1219	0.451734
34	-0.130002	-0.8912	0.188668
35	0.01917	0.1314	0.448
36	-0.168208	-1.1532	0.127335
37	0.011288	0.0774	0.469323
38	-0.015824	-0.1085	0.457037
39	0.054152	0.3712	0.35606
40	0.001842	0.0126	0.49499
41	-0.091585	-0.6279	0.266562
42	0.033865	0.2322	0.408707
43	-0.018551	-0.1272	0.44967
44	-0.059313	-0.4066	0.343063
45	-0.026687	-0.183	0.42781
46	-0.041826	-0.2867	0.387785
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291479035n6o87du3ly9hk25/1azdf1291479079.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291479035n6o87du3ly9hk25/1azdf1291479079.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291479035n6o87du3ly9hk25/2azdf1291479079.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/04/t1291479035n6o87du3ly9hk25/2azdf1291479079.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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