Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Dec » 21 »

*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, 21 Dec 2010 10:32:09 +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/21/t1292927514kvh9ofj8r4oobit.htm/, Retrieved Tue, 21 Dec 2010 11:31:56 +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/21/t1292927514kvh9ofj8r4oobit.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 «

11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509 25447 24090 27786 26195 20516 22759 19028 16971 20036 22485 18730 14538 27561 25985 34670 32066 27186 29586 21359 21553 19573 24256 22380

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.345963	3.3897	0.000508
2	0.154115	1.51	0.067162
3	-0.050831	-0.498	0.309799
4	-0.21735	-2.1296	0.017882
5	-0.266864	-2.6147	0.005185
6	-0.464787	-4.554	8e-06
7	-0.278496	-2.7287	0.003782
8	-0.208378	-2.0417	0.021963
9	-0.081268	-0.7963	0.213922
10	0.01331	0.1304	0.448256
11	0.237992	2.3318	0.0109
12	0.739408	7.2447	0
13	0.248541	2.4352	0.008365
14	0.096831	0.9487	0.172565
15	-0.076282	-0.7474	0.228322
16	-0.227116	-2.2253	0.014202
17	-0.254225	-2.4909	0.00723
18	-0.455775	-4.4657	1.1e-05
19	-0.257857	-2.5265	0.006578
20	-0.193699	-1.8979	0.03036
21	-0.076239	-0.747	0.228448
22	0.042655	0.4179	0.338465
23	0.25166	2.4658	0.007724
24	0.686267	6.724	0
25	0.270999	2.6552	0.00464
26	0.149277	1.4626	0.07342
27	-0.00324	-0.0317	0.487371
28	-0.132881	-1.302	0.098022
29	-0.176253	-1.7269	0.0437
30	-0.3781	-3.7046	0.000177
31	-0.198182	-1.9418	0.027548
32	-0.17498	-1.7144	0.044837
33	-0.097682	-0.9571	0.170465
34	0.029227	0.2864	0.387609
35	0.162923	1.5963	0.056853
36	0.550162	5.3905	0
37	0.206289	2.0212	0.023021
38	0.101938	0.9988	0.160204
39	-0.0199	-0.195	0.422912
40	-0.117538	-1.1516	0.126166
41	-0.17243	-1.6895	0.047188
42	-0.293993	-2.8805	0.002448
43	-0.158868	-1.5566	0.06143
44	-0.150853	-1.4781	0.071333
45	-0.074832	-0.7332	0.232612
46	0.013547	0.1327	0.447342
47	0.129698	1.2708	0.10344
48	0.444098	4.3513	1.7e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.345963	3.3897	0.000508
2	0.039106	0.3832	0.351225
3	-0.13151	-1.2885	0.100329
4	-0.19387	-1.8995	0.030248
5	-0.140447	-1.3761	0.085996
6	-0.368432	-3.6099	0.000245
7	-0.070318	-0.689	0.246252
8	-0.152337	-1.4926	0.069412
9	-0.134516	-1.318	0.095322
10	-0.169645	-1.6622	0.04987
11	0.095669	0.9374	0.175462
12	0.641255	6.283	0
13	-0.361122	-3.5383	0.000311
14	-0.284206	-2.7846	0.003228
15	0.02001	0.1961	0.422489
16	-0.065997	-0.6466	0.259707
17	-0.126664	-1.2411	0.108806
18	-0.139807	-1.3698	0.086969
19	-0.052419	-0.5136	0.304358
20	-0.190973	-1.8711	0.032185
21	-0.116191	-1.1384	0.128885
22	0.183756	1.8004	0.037466
23	-0.066042	-0.6471	0.259563
24	-0.032897	-0.3223	0.373953
25	-0.051922	-0.5087	0.306056
26	-0.017108	-0.1676	0.433615
27	0.022959	0.225	0.411246
28	0.067028	0.6567	0.256462
29	0.000914	0.009	0.496436
30	-0.057577	-0.5641	0.28699
31	0.013985	0.137	0.44565
32	0.005188	0.0508	0.479784
33	-0.084031	-0.8233	0.206181
34	0.08745	0.8568	0.196835
35	-0.170984	-1.6753	0.048565
36	-0.119864	-1.1744	0.121565
37	0.055419	0.543	0.294196
38	-0.025273	-0.2476	0.402476
39	-0.132224	-1.2955	0.099122
40	0.028407	0.2783	0.390679
41	-0.023749	-0.2327	0.408249
42	0.102981	1.009	0.157756
43	-0.028141	-0.2757	0.391677
44	0.036875	0.3613	0.359334
45	0.012591	0.1234	0.451038
46	-0.087564	-0.858	0.196528
47	0.045386	0.4447	0.328772
48	-0.051837	-0.5079	0.306345

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292927514kvh9ofj8r4oobit/1gilo1292927527.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292927514kvh9ofj8r4oobit/1gilo1292927527.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292927514kvh9ofj8r4oobit/2992q1292927527.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292927514kvh9ofj8r4oobit/2992q1292927527.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