Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Dec » 28 »

*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, 28 Dec 2010 00:09:09 +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/28/t12934948144c9u5g9vxz43p3m.htm/, Retrieved Tue, 28 Dec 2010 01:06:54 +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/28/t12934948144c9u5g9vxz43p3m.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 «

364 351 380 319 322 386 221 187 343 342 365 313 356 337 389 326 343 357 220 218 391 425 332 298 360 336 325 393 301 426 265 210 429 440 357 431 442 422 544 420 396 482 261 211 448 468 464 425 415 433 531 457 380 481 302 216 509 417 370

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	0.296524	2.2776	0.013193
2	-0.022035	-0.1693	0.433089
3	0.264295	2.0301	0.023432
4	0.086385	0.6635	0.254785
5	0.075887	0.5829	0.281091
6	0.193487	1.4862	0.071275
7	0.019231	0.1477	0.441537
8	0.062676	0.4814	0.315997
9	0.132347	1.0166	0.156752
10	-0.08496	-0.6526	0.258277
11	0.197239	1.515	0.067553
12	0.596419	4.5812	1.2e-05
13	0.122914	0.9441	0.174479
14	-0.142528	-1.0948	0.139032
15	0.091988	0.7066	0.241305
16	-0.004692	-0.036	0.485686
17	-0.012593	-0.0967	0.461634
18	0.031066	0.2386	0.406113
19	-0.084912	-0.6522	0.258395
20	-0.075389	-0.5791	0.282372
21	-0.020285	-0.1558	0.438357
22	-0.207105	-1.5908	0.058499
23	-0.03783	-0.2906	0.386196
24	0.288983	2.2197	0.015147
25	-0.030068	-0.231	0.409075
26	-0.217195	-1.6683	0.050277
27	-0.079135	-0.6078	0.272811
28	-0.138835	-1.0664	0.145292
29	-0.113166	-0.8692	0.194119
30	-0.113357	-0.8707	0.193719
31	-0.190228	-1.4612	0.074637
32	-0.156721	-1.2038	0.116738
33	-0.1184	-0.9095	0.183406
34	-0.198326	-1.5234	0.066504
35	-0.065133	-0.5003	0.309364
36	0.170895	1.3127	0.097189
37	-0.034713	-0.2666	0.395341
38	-0.187421	-1.4396	0.077632
39	-0.076385	-0.5867	0.279813
40	-0.081837	-0.6286	0.266019
41	-0.09986	-0.767	0.223058
42	-0.071921	-0.5524	0.291369
43	-0.11272	-0.8658	0.195049
44	-0.103998	-0.7988	0.213797
45	-0.068477	-0.526	0.300436
46	-0.072603	-0.5577	0.289588
47	-0.041526	-0.319	0.375439
48	0.074246	0.5703	0.285323

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.296524	2.2776	0.013193
2	-0.120562	-0.9261	0.179095
3	0.341968	2.6267	0.005484
4	-0.149793	-1.1506	0.127273
5	0.210786	1.6191	0.055382
6	0.001917	0.0147	0.494149
7	-0.019272	-0.148	0.441412
8	0.080153	0.6157	0.270241
9	-0.009464	-0.0727	0.471147
10	-0.118588	-0.9109	0.183031
11	0.339783	2.6099	0.00573
12	0.446143	3.4269	0.000559
13	-0.174136	-1.3376	0.093086
14	-0.228418	-1.7545	0.042267
15	-0.105324	-0.809	0.21088
16	-0.036788	-0.2826	0.389246
17	4.1e-05	3e-04	0.499875
18	-0.12162	-0.9342	0.177009
19	0.026717	0.2052	0.419055
20	-0.131595	-1.0108	0.158119
21	0.059289	0.4554	0.325245
22	-0.180619	-1.3874	0.085275
23	-0.103907	-0.7981	0.213999
24	0.011305	0.0868	0.465547
25	0.032117	0.2467	0.403001
26	0.073737	0.5664	0.286641
27	-0.17825	-1.3692	0.088069
28	-0.068714	-0.5278	0.299807
29	-0.041839	-0.3214	0.374534
30	-0.06692	-0.514	0.304578
31	0.019911	0.1529	0.439485
32	-0.106172	-0.8155	0.209027
33	0.093816	0.7206	0.236996
34	0.076261	0.5858	0.280131
35	0.114652	0.8807	0.191037
36	-0.032675	-0.251	0.401349
37	-0.071559	-0.5497	0.292316
38	0.011652	0.0895	0.464492
39	0.067477	0.5183	0.303093
40	0.07652	0.5878	0.279468
41	-0.116507	-0.8949	0.187237
42	0.06766	0.5197	0.302605
43	0.023782	0.1827	0.427839
44	0.041546	0.3191	0.37538
45	-0.097549	-0.7493	0.228331
46	-0.001542	-0.0118	0.495294
47	-0.091863	-0.7056	0.241603
48	-0.104154	-0.8	0.213454

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/28/t12934948144c9u5g9vxz43p3m/138dy1293494945.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t12934948144c9u5g9vxz43p3m/138dy1293494945.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t12934948144c9u5g9vxz43p3m/2wicj1293494945.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/28/t12934948144c9u5g9vxz43p3m/2wicj1293494945.ps (open in new window)

Parameters (Session):

par1 = 12 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = 1 ; par7 = 0 ; par8 = 1 ; par9 = 1 ; par10 = TRUE ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par9 = 1 ; par10 = TRUE ;

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