Home » date » 2010 » Dec » 13 »

*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: Mon, 13 Dec 2010 09:51:46 +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/13/t1292233843mavy3n3zw4n3jsq.htm/, Retrieved Mon, 13 Dec 2010 10:50:45 +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/13/t1292233843mavy3n3zw4n3jsq.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 «
31293 30236 30160 32436 30695 27525 26434 25739 25204 24977 24320 22680 22052 21467 21383 21777 21928 21814 22937 23595 20830 19650 19195 19644 18483 18079 19178 18391 18441 18584 20108 20148 19394 17745 17696 17032 16438 15683 15594 15713 15937 16171 15928 16348 15579 15305 15648 14954 15137 15839 16050 15168 17064 16005 14886 14931 14544 13812
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.089990.67940.249815
2-0.239598-1.80890.037869
30.0247080.18650.426343
40.0872990.65910.256245
5-0.113996-0.86060.196519
6-0.041514-0.31340.377552
70.0112730.08510.466237
8-0.094539-0.71380.239147
90.041210.31110.378418
10-0.096764-0.73060.234022
110.0425040.32090.374731
120.1224490.92450.17957
130.0377130.28470.388443
14-0.078789-0.59480.277152
150.1550051.17030.123383
160.1665941.25780.106805
17-0.158071-1.19340.118827
18-0.140661-1.0620.146365
19-0.080057-0.60440.273982
200.0854220.64490.260783
21-0.09287-0.70120.243031
220.0635640.47990.316568
230.0735750.55550.290371
24-0.024083-0.18180.428183
25-0.133155-1.00530.159502
260.0272090.20540.418987
270.1310520.98940.163319
28-0.011624-0.08780.465187
29-0.038676-0.2920.385674
30-0.059-0.44540.328845
310.0445050.3360.369052
32-0.062714-0.47350.318839
330.0672650.50780.306762
340.0330670.24960.401879
35-0.094506-0.71350.239223
36-0.017078-0.12890.448931
370.027370.20660.418515
38-0.062309-0.47040.319923
39-0.051738-0.39060.348771
400.0331810.25050.401547
41-0.107357-0.81050.210504
42-0.024441-0.18450.427127
430.0324550.2450.403657
44-0.102558-0.77430.220978
45-0.047219-0.35650.361392
460.0641910.48460.314896
47-0.06468-0.48830.313597
48-0.051629-0.38980.349072


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.089990.67940.249815
2-0.249719-1.88530.032243
30.0797010.60170.274871
40.0160980.12150.451847
5-0.110416-0.83360.203987
60.0122090.09220.463442
7-0.048519-0.36630.357744
8-0.101034-0.76280.224367
90.0817590.61730.269758
10-0.19107-1.44250.07731
110.1308710.98810.16365
120.046020.34740.36477
130.0183070.13820.44528
14-0.010767-0.08130.467748
150.1581181.19380.118757
160.0938730.70870.240692
17-0.091715-0.69240.245739
18-0.084706-0.63950.262524
19-0.129519-0.97780.166142
200.0990520.74780.228819
21-0.125176-0.94510.17431
220.158771.19870.117804
230.0193830.14630.442084
24-0.044963-0.33950.367755
25-0.109513-0.82680.205898
260.0328860.24830.402405
27-0.003361-0.02540.489922
280.0144570.10910.456734
29-0.04066-0.3070.379989
300.002750.02080.491753
31-0.015378-0.11610.453991
32-0.058263-0.43990.330845
330.1788061.350.091183
340.0176480.13320.447236
35-0.151222-1.14170.129176
360.0221670.16740.433842
37-0.026578-0.20070.42084
38-0.161859-1.2220.113367
390.0530690.40070.345083
40-0.032292-0.24380.404132
41-0.001499-0.01130.495505
42-0.111139-0.83910.202464
43-0.041887-0.31620.376488
44-0.128768-0.97220.167536
450.0129840.0980.461127
46-0.073867-0.55770.289622
47-0.018494-0.13960.444723
48-0.039337-0.2970.383778
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/13/t1292233843mavy3n3zw4n3jsq/1lup11292233904.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/13/t1292233843mavy3n3zw4n3jsq/1lup11292233904.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/13/t1292233843mavy3n3zw4n3jsq/2lup11292233904.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/13/t1292233843mavy3n3zw4n3jsq/2lup11292233904.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 = 1 ; 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')
 





Copyright

Creative Commons License

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