Home » date » 2010 » Dec » 10 »

Verb

*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, 10 Dec 2010 12:08:59 +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/10/t1291982822q2s638k3v5t9wcp.htm/, Retrieved Fri, 10 Dec 2010 13:07:03 +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/10/t1291982822q2s638k3v5t9wcp.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 «

101.76 102.37 102.38 102.86 102.87 102.92 102.95 103.02 104.08 104.16 104.24 104.33 104.73 104.86 105.03 105.62 105.63 105.63 105.94 106.61 107.69 107.78 107.93 108.48 108.14 108.48 108.48 108.89 108.93 109.21 109.47 109.80 111.73 111.85 112.12 112.15 112.17 112.67 112.80 113.44 113.53 114.53 114.51 115.05 116.67 117.07 116.92 117.00 117.02 117.35 117.36 117.82 117.88 118.24 118.50 118.80 119.76 120.09

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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.947992	7.2197	0
2	0.897972	6.8388	0
3	0.850458	6.4769	0
4	0.804251	6.125	0
5	0.757289	5.7673	0
6	0.709171	5.4009	1e-06
7	0.65971	5.0242	3e-06
8	0.609283	4.6402	1e-05
9	0.562341	4.2827	3.5e-05
10	0.514704	3.9199	0.000118
11	0.465169	3.5426	0.000395
12	0.413588	3.1498	0.001291
13	0.35691	2.7181	0.004322
14	0.300266	2.2868	0.012939
15	0.251156	1.9127	0.030361
16	0.205953	1.5685	0.061103
17	0.159246	1.2128	0.115065
18	0.115249	0.8777	0.191861
19	0.071373	0.5436	0.294414
20	0.031558	0.2403	0.405457
21	-0.003828	-0.0292	0.48842
22	-0.038088	-0.2901	0.386399
23	-0.073714	-0.5614	0.288346
24	-0.10798	-0.8224	0.207122
25	-0.146665	-1.117	0.134307
26	-0.185009	-1.409	0.082089
27	-0.21434	-1.6324	0.05401
28	-0.240606	-1.8324	0.036013
29	-0.26617	-2.0271	0.023629
30	-0.291109	-2.217	0.015278
31	-0.315607	-2.4036	0.009726
32	-0.33824	-2.576	0.006283
33	-0.352516	-2.6847	0.004725
34	-0.365839	-2.7861	0.003598
35	-0.380669	-2.8991	0.002638
36	-0.393241	-2.9948	0.002016
37	-0.407207	-3.1012	0.001487
38	-0.419431	-3.1943	0.001134
39	-0.425951	-3.2439	0.000979
40	-0.426115	-3.2452	0.000975
41	-0.424854	-3.2356	0.001004
42	-0.419929	-3.1981	0.001121
43	-0.415693	-3.1658	0.001232
44	-0.406594	-3.0965	0.001507
45	-0.389325	-2.965	0.002194
46	-0.369753	-2.816	0.003317
47	-0.349041	-2.6582	0.005067
48	-0.327715	-2.4958	0.007716

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.947992	7.2197	0
2	-0.007077	-0.0539	0.478602
3	-0.001265	-0.0096	0.496174
4	-0.011893	-0.0906	0.46407
5	-0.032036	-0.244	0.404054
6	-0.037786	-0.2878	0.387275
7	-0.041985	-0.3197	0.375155
8	-0.040554	-0.3089	0.37927
9	0.001995	0.0152	0.493964
10	-0.036448	-0.2776	0.391161
11	-0.048973	-0.373	0.355265
12	-0.053883	-0.4104	0.341527
13	-0.089241	-0.6796	0.249719
14	-0.045585	-0.3472	0.364863
15	0.028485	0.2169	0.414511
16	0.001594	0.0121	0.495178
17	-0.045287	-0.3449	0.365709
18	-0.008443	-0.0643	0.474475
19	-0.037351	-0.2845	0.388537
20	-0.001057	-0.008	0.496803
21	0.003083	0.0235	0.490673
22	-0.023397	-0.1782	0.429598
23	-0.042429	-0.3231	0.37388
24	-0.022555	-0.1718	0.432107
25	-0.088217	-0.6718	0.252177
26	-0.048757	-0.3713	0.355874
27	0.031552	0.2403	0.405476
28	-0.012445	-0.0948	0.462407
29	-0.022503	-0.1714	0.43226
30	-0.030122	-0.2294	0.409682
31	-0.043047	-0.3278	0.372108
32	-0.028504	-0.2171	0.414453
33	0.035079	0.2672	0.395149
34	-0.023307	-0.1775	0.429868
35	-0.034911	-0.2659	0.39564
36	-0.011914	-0.0907	0.464008
37	-0.054821	-0.4175	0.338925
38	-0.0285	-0.2171	0.414465
39	0.002709	0.0206	0.491805
40	0.021626	0.1647	0.434877
41	0.00263	0.02	0.492045
42	0.01419	0.1081	0.457158
43	-0.039753	-0.3028	0.381581
44	0.016391	0.1248	0.450544
45	0.047746	0.3636	0.35873
46	0.011882	0.0905	0.464104
47	0.021966	0.1673	0.433863
48	0.00364	0.0277	0.488991

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291982822q2s638k3v5t9wcp/162s01291982934.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291982822q2s638k3v5t9wcp/162s01291982934.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291982822q2s638k3v5t9wcp/262s01291982934.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291982822q2s638k3v5t9wcp/262s01291982934.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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