Home » date » 2008 » Dec » 08 »

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: Sun, 07 Dec 2008 16:16:53 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/08/t1228691858y5rycn0lmkmu9ns.htm/, Retrieved Sun, 07 Dec 2008 23:17:40 +0000
 
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/2008/Dec/08/t1228691858y5rycn0lmkmu9ns.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
 
Feedback Forum:
2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
3595 3914 4159 3676 3794 3446 3504 3958 3353 3480 3098 2944 3389 3497 4404 3849 3734 3060 3507 3287 3215 3764 2734 2837 2766 3851 3289 3848 3348 3682 4058 3655 3811 3341 3032 3475 3353 3186 3902 4164 3499 4145 3796 3711 3949 3740 3243 4407 4814 3908 5250 3937 4004 5560 3922 3759 4138 4634 3996 4308 4142 4429 5219 4929 5754 5592 4163 4962 5208 4755 4491 5732 5730 5024 6056 4901 5353 5578 4618 4724 5011 5298 4143 4617 4736 4214 5112 4197 4119 5104 4194 4583 3790 5557 4304 3838 4277 4951 4479 4677 4274 4782
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3459243.28170.000735
20.3002152.84810.002725
30.3420833.24530.000824
40.3629993.44370.000437
50.2701532.56290.00602
60.2563362.43180.008502
70.2276272.15950.016737
80.1073271.01820.155658
90.2649752.51380.006861
100.1122581.0650.144869
110.0882820.83750.202262
12-0.127132-1.20610.115474
13-0.000562-0.00530.49788
140.1125571.06780.144231
150.0280510.26610.395378
16-0.022839-0.21670.414479
17-0.015104-0.14330.44319
180.076630.7270.234564
19-0.030163-0.28610.387712
20-0.064469-0.61160.271168
21-0.130208-1.23530.109973
22-0.097459-0.92460.17883
230.0148440.14080.444161
24-0.139545-1.32380.094454
25-0.067211-0.63760.262671
26-0.110706-1.05030.148207
27-0.120123-1.13960.128742
28-0.115858-1.09910.137321
29-0.106312-1.00860.157944
30-0.194151-1.84190.034393
31-0.23677-2.24620.013569
32-0.020224-0.19190.424142
33-0.049447-0.46910.320069
34-0.165246-1.56770.060235
35-0.208971-1.98250.025238
36-0.072314-0.6860.247229


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3459243.28170.000735
20.2050941.94570.027406
30.2236242.12150.018315
40.2049031.94390.027517
50.0529490.50230.308336
60.0475760.45130.326415
70.0056430.05350.478713
8-0.129797-1.23140.110697
90.1541921.46280.073504
10-0.093048-0.88270.189868
11-0.031251-0.29650.383777
12-0.303639-2.88060.002481
13-0.035211-0.3340.369562
140.1838581.74420.042267
150.0644740.61170.271154
160.0284040.26950.394094
170.0145780.13830.445157
180.0658610.62480.266836
19-0.030303-0.28750.387202
20-0.167805-1.59190.057453
21-0.094361-0.89520.186538
22-0.062021-0.58840.278874
230.104270.98920.162611
24-0.22031-2.090.019717
250.0396780.37640.353747
260.0796860.7560.225822
27-0.011299-0.10720.457436
280.0010380.00990.496081
29-0.030259-0.28710.387364
30-0.008864-0.08410.466586
31-0.127537-1.20990.114739
320.0184510.1750.430722
330.1129021.07110.143499
34-0.134805-1.27890.102115
35-0.053044-0.50320.308019
36-0.02639-0.25040.401442
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228691858y5rycn0lmkmu9ns/1yi8t1228691811.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228691858y5rycn0lmkmu9ns/1yi8t1228691811.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228691858y5rycn0lmkmu9ns/2ymou1228691811.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228691858y5rycn0lmkmu9ns/2ymou1228691811.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = -0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 36 ; par2 = -0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
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 (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='lags',ylab='ACF')
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')
 




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