Home » date » 2010 » Dec » 20 »

ACFKoffie

*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, 20 Dec 2010 13:05:39 +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/20/t1292850268n4hq579p170lp50.htm/, Retrieved Mon, 20 Dec 2010 14:04:28 +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/20/t1292850268n4hq579p170lp50.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 «

1,64 1,65 1,65 1,65 1,66 1,66 1,67 1,67 1,68 1,68 1,68 1,68 1,69 1,69 1,7 1,7 1,71 1,71 1,71 1,71 1,72 1,72 1,72 1,73 1,73 1,73 1,74 1,75 1,75 1,76 1,76 1,77 1,77 1,78 1,79 1,8 1,8 1,81 1,81 1,81 1,81 1,82 1,82 1,82 1,83 1,83 1,83 1,84 1,84 1,85 1,85 1,86 1,86 1,86 1,86 1,86

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.95017	7.1104	0
2	0.903542	6.7615	0
3	0.852769	6.3815	0
4	0.798983	5.979	0
5	0.745384	5.5779	0
6	0.694235	5.1952	1e-06
7	0.643651	4.8166	6e-06
8	0.594009	4.4452	2.1e-05
9	0.544932	4.0779	7.3e-05
10	0.498304	3.729	0.000225
11	0.448286	3.3547	0.000716
12	0.395629	2.9606	0.002248
13	0.348625	2.6089	0.005814
14	0.299359	2.2402	0.014532
15	0.251413	1.8814	0.03256
16	0.204032	1.5268	0.066216
17	0.159476	1.1934	0.11887
18	0.112283	0.8403	0.20217
19	0.062453	0.4674	0.32103
20	0.014318	0.1071	0.457528
21	-0.031368	-0.2347	0.407635
22	-0.076112	-0.5696	0.285625
23	-0.118783	-0.8889	0.188932
24	-0.155426	-1.1631	0.124861
25	-0.193199	-1.4458	0.076908
26	-0.229653	-1.7186	0.045609
27	-0.262905	-1.9674	0.027049
28	-0.289751	-2.1683	0.0172
29	-0.318105	-2.3805	0.010359
30	-0.340053	-2.5447	0.00686
31	-0.359175	-2.6878	0.004727
32	-0.375471	-2.8098	0.003408
33	-0.392521	-2.9374	0.002399
34	-0.403165	-3.017	0.001918
35	-0.409853	-3.0671	0.001663
36	-0.413715	-3.096	0.001531
37	-0.414375	-3.1009	0.001509
38	-0.411831	-3.0819	0.001594
39	-0.409665	-3.0656	0.00167
40	-0.408252	-3.0551	0.001721
41	-0.403636	-3.0205	0.001899
42	-0.395441	-2.9592	0.002257
43	-0.383289	-2.8683	0.002905
44	-0.372645	-2.7886	0.003609
45	-0.353711	-2.6469	0.005264
46	-0.335531	-2.5109	0.007478
47	-0.317728	-2.3777	0.010431
48	-0.295968	-2.2148	0.015429

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.95017	7.1104	0
2	0.007405	0.0554	0.478002
3	-0.066143	-0.495	0.31128
4	-0.061176	-0.4578	0.324434
5	-0.028453	-0.2129	0.416082
6	-0.002663	-0.0199	0.492085
7	-0.021688	-0.1623	0.435828
8	-0.022735	-0.1701	0.432759
9	-0.026944	-0.2016	0.420469
10	-0.007092	-0.0531	0.478931
11	-0.065162	-0.4876	0.313858
12	-0.066383	-0.4968	0.310651
13	0.021124	0.1581	0.437482
14	-0.049763	-0.3724	0.355502
15	-0.026914	-0.2014	0.420555
16	-0.035121	-0.2628	0.396825
17	-0.010469	-0.0783	0.468916
18	-0.063763	-0.4772	0.317554
19	-0.075461	-0.5647	0.287266
20	-0.031211	-0.2336	0.408087
21	-0.015673	-0.1173	0.453526
22	-0.028954	-0.2167	0.414625
23	-0.033925	-0.2539	0.400262
24	0.011126	0.0833	0.466973
25	-0.051952	-0.3888	0.349458
26	-0.043093	-0.3225	0.374145
27	-0.019449	-0.1455	0.442401
28	0.022288	0.1668	0.434069
29	-0.048893	-0.3659	0.357916
30	0.010651	0.0797	0.468378
31	-0.014739	-0.1103	0.456283
32	-0.011987	-0.0897	0.464423
33	-0.048785	-0.3651	0.358215
34	0.014077	0.1053	0.458241
35	0.009346	0.0699	0.472247
36	0.004075	0.0305	0.487891
37	-0.004734	-0.0354	0.485934
38	-0.006087	-0.0455	0.481916
39	-0.032235	-0.2412	0.405132
40	-0.037549	-0.281	0.389877
41	-0.009292	-0.0695	0.472406
42	0.016333	0.1222	0.451578
43	0.024648	0.1844	0.427164
44	-0.037685	-0.282	0.389487
45	0.045707	0.342	0.366802
46	-0.016802	-0.1257	0.450197
47	-0.024477	-0.1832	0.427664
48	0.016807	0.1258	0.450181

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292850268n4hq579p170lp50/1xzgj1292850336.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292850268n4hq579p170lp50/1xzgj1292850336.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292850268n4hq579p170lp50/2xzgj1292850336.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292850268n4hq579p170lp50/2xzgj1292850336.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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