Home » date » 2010 » Dec » 28 »

Paper ACF

*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 22:21:13 +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/t1293574792nrv0alwn8k9n3j7.htm/, Retrieved Tue, 28 Dec 2010 23:19:55 +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/t1293574792nrv0alwn8k9n3j7.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 «
1203 1319 1328 1260 1286 1274 1389 1255 1244 1336 1214 1239 1174 1061 1116 1123 1086 1074 965 1035 1016 941 1003 998 891 828 833 887 842 793 778 699 686 727 641 619 627 593 535 536 504 487 477 435 433 393 389 377 339 370 350 341 367 396 408 405 391 396 368 356
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time9 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9625677.4560
20.923767.15540
30.8891126.8870
40.8495026.58020
50.8117176.28750
60.7664515.93690
70.7135435.52710
80.6667545.16471e-06
90.6111844.73427e-06
100.5549954.2993.2e-05
110.5031153.89710.000124
120.4434553.4350.00054
130.3955563.0640.001635
140.3469162.68720.004655
150.2914322.25740.013817
160.2414771.87050.033149
170.1910531.47990.072067
180.1426661.10510.136766
190.0972010.75290.227223
200.0482190.37350.355046
210.0046320.03590.485748
22-0.040265-0.31190.378101
23-0.08767-0.67910.249847
24-0.129341-1.00190.160216
25-0.167535-1.29770.099675
26-0.201164-1.55820.062222
27-0.230149-1.78270.039845
28-0.268918-2.0830.020759
29-0.303355-2.34980.011046
30-0.328499-2.54450.006767
31-0.353367-2.73720.004071
32-0.371241-2.87560.002787
33-0.386143-2.99110.002014
34-0.406894-3.15180.001266
35-0.422298-3.27110.000889
36-0.434927-3.36890.000662
37-0.439986-3.40810.000587
38-0.44145-3.41950.000567
39-0.445792-3.45310.000511
40-0.443031-3.43170.000546
41-0.438137-3.39380.000613
42-0.436353-3.380.00064
43-0.425457-3.29560.000826
44-0.412475-3.1950.001115
45-0.396188-3.06890.001612
46-0.378232-2.92980.002396
47-0.36331-2.81420.003302
48-0.340361-2.63640.005325


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9625677.4560
2-0.037767-0.29250.385442
30.0368380.28530.388182
4-0.088252-0.68360.24843
50.0097230.07530.470108
6-0.132814-1.02880.153858
7-0.119483-0.92550.179205
80.0411530.31880.375503
9-0.154356-1.19560.118271
10-0.021965-0.17010.432735
110.0028170.02180.491331
12-0.113138-0.87640.192164
130.1306281.01180.157838
14-0.069644-0.53950.295784
15-0.069992-0.54220.29486
16-0.003059-0.02370.490586
17-0.038131-0.29540.384367
180.002790.02160.491414
19-0.066384-0.51420.304498
20-0.028354-0.21960.413454
210.0034720.02690.489317
22-0.103169-0.79910.213679
23-0.023069-0.17870.429391
24-0.030965-0.23990.405632
250.0301280.23340.408135
260.0282390.21870.413797
27-0.022782-0.17650.43026
28-0.139714-1.08220.141742
29-0.003587-0.02780.488963
300.0541520.41950.338188
31-0.033939-0.26290.396769
320.022680.17570.43057
330.0244630.18950.425173
34-0.125352-0.9710.167731
35-0.018209-0.1410.444153
360.0081620.06320.4749
370.0834440.64640.260258
38-0.037759-0.29250.385465
39-0.033277-0.25780.398736
400.0311990.24170.404932
41-0.049472-0.38320.351459
42-0.009039-0.070.472207
430.0645660.50010.309409
44-0.009856-0.07630.469699
450.0529320.410.341629
46-0.076203-0.59030.278615
47-0.021888-0.16950.432968
480.0776350.60140.274934
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293574792nrv0alwn8k9n3j7/1oxxr1293574863.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293574792nrv0alwn8k9n3j7/1oxxr1293574863.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/28/t1293574792nrv0alwn8k9n3j7/2hoeu1293574863.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293574792nrv0alwn8k9n3j7/2hoeu1293574863.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/28/t1293574792nrv0alwn8k9n3j7/3hoeu1293574863.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/28/t1293574792nrv0alwn8k9n3j7/3hoeu1293574863.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 (par8 != '') par8 <- as.numeric(par8)
ox <- x
if (par8 == '') {
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
} else {
x <- log(x,base=par8)
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='picts.png')
op <- par(mfrow=c(2,1))
plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')
if (par8=='') {
mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
} else {
mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
}
plot(x,type='l', main=mytitle,xlab='time',ylab='value')
par(op)
dev.off()
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)
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