Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Dec » 14 »

*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: Tue, 14 Dec 2010 16:11:46 +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/14/t1292342978wm4rd4nywt56a77.htm/, Retrieved Tue, 14 Dec 2010 17:09:38 +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/14/t1292342978wm4rd4nywt56a77.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 «

-820.8 993.3 741.7 603.6 -145.8 -35.1 395.1 523.1 462.3 183.4 791.5 344.8 -217.0 406.7 228.6 -580.1 -1550.4 -1447.5 -40.1 -1033.5 -925.6 -347.8 -447.7 -102.6 -2062.2 -929.7 -720.7 -1541.8 -1432.3 -1216.2 -212.8 -378.2 76.9 -101.3 220.4 495.6 -1035.2 61.8 -734.8 -6.9 -1061.1 -854.6 -186.5 244.0 -992.6 -335.2 316.8 477.6 -572.1 1115.2

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.367181	-2.5703	0.006626
2	-0.08768	-0.6138	0.271106
3	-0.06156	-0.4309	0.334209
4	0.22364	1.5655	0.061953
5	0.050127	0.3509	0.363588
6	-0.353059	-2.4714	0.008491
7	0.092225	0.6456	0.260783
8	0.182594	1.2782	0.103608
9	-0.046196	-0.3234	0.373895
10	-0.102428	-0.717	0.238391
11	-0.151373	-1.0596	0.147258
12	0.425372	2.9776	0.002253
13	-0.153081	-1.0716	0.144582
14	-0.103081	-0.7216	0.236994
15	-0.124886	-0.8742	0.193136
16	0.086529	0.6057	0.273753
17	0.187327	1.3113	0.097936
18	-0.286135	-2.0029	0.025366
19	0.010524	0.0737	0.470788
20	0.189411	1.3259	0.095515
21	0.036949	0.2586	0.398496
22	-0.076617	-0.5363	0.297083
23	-0.224911	-1.5744	0.060918
24	0.304033	2.1282	0.019186
25	-0.020829	-0.1458	0.442338
26	-0.161187	-1.1283	0.132342
27	-0.038297	-0.2681	0.394883
28	0.065346	0.4574	0.324695
29	0.163014	1.1411	0.129687
30	-0.20213	-1.4149	0.081709
31	0.041951	0.2937	0.38513
32	0.093054	0.6514	0.258922
33	-0.005368	-0.0376	0.485089
34	-0.054953	-0.3847	0.351074
35	-0.133257	-0.9328	0.177749
36	0.162476	1.1373	0.130465
37	-0.071177	-0.4982	0.310272
38	-0.030021	-0.2101	0.417212
39	-0.030383	-0.2127	0.416229
40	0.030252	0.2118	0.416586
41	0.018562	0.1299	0.448575
42	0.006553	0.0459	0.481799
43	-0.067802	-0.4746	0.318584
44	0.060984	0.4269	0.335665
45	-0.001787	-0.0125	0.495035
46	0.007802	0.0546	0.478334
47	-0.078543	-0.5498	0.292478
48	0.095197	0.6664	0.254148

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.367181	-2.5703	0.006626
2	-0.257175	-1.8002	0.038991
3	-0.243162	-1.7021	0.047534
4	0.091686	0.6418	0.261996
5	0.209956	1.4697	0.074019
6	-0.241977	-1.6938	0.048322
7	-0.148255	-1.0378	0.152232
8	0.077574	0.543	0.294789
9	-0.004055	-0.0284	0.488734
10	0.031863	0.223	0.412214
11	-0.182493	-1.2775	0.103731
12	0.196095	1.3727	0.088053
13	0.081443	0.5701	0.285606
14	0.011193	0.0784	0.468934
15	-0.171812	-1.2027	0.117439
16	-0.281834	-1.9728	0.027085
17	0.043361	0.3035	0.381385
18	0.023409	0.1639	0.435258
19	-0.048259	-0.3378	0.368472
20	0.081459	0.5702	0.285569
21	0.040656	0.2846	0.388579
22	0.049827	0.3488	0.364371
23	-0.098448	-0.6891	0.246994
24	-0.065114	-0.4558	0.325274
25	-0.016221	-0.1135	0.45503
26	-0.063549	-0.4448	0.329196
27	0.069526	0.4867	0.314328
28	0.007413	0.0519	0.479412
29	-0.059854	-0.419	0.338533
30	-0.021654	-0.1516	0.44007
31	0.062296	0.4361	0.33235
32	0.00782	0.0547	0.478285
33	-0.070471	-0.4933	0.312002
34	-0.094593	-0.6622	0.255488
35	0.007822	0.0548	0.478279
36	0.042371	0.2966	0.384015
37	-0.137055	-0.9594	0.171038
38	-0.089383	-0.6257	0.267214
39	-0.06897	-0.4828	0.315698
40	0.021774	0.1524	0.439742
41	-0.169889	-1.1892	0.120042
42	-0.008491	-0.0594	0.476422
43	-0.053853	-0.377	0.353912
44	-0.023857	-0.167	0.434028
45	0.046649	0.3265	0.372702
46	-0.009779	-0.0685	0.472852
47	-0.033713	-0.236	0.407213
48	0.032507	0.2275	0.410473

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292342978wm4rd4nywt56a77/1ozsb1292343103.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292342978wm4rd4nywt56a77/1ozsb1292343103.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292342978wm4rd4nywt56a77/2ozsb1292343103.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/14/t1292342978wm4rd4nywt56a77/2ozsb1292343103.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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')

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