Home » date » 2008 » Dec » 16 »

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, 16 Dec 2008 04:38:28 -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/16/t1229427581pjv9bfy8ojfirnj.htm/, Retrieved Tue, 16 Dec 2008 12:39:44 +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/2008/Dec/16/t1229427581pjv9bfy8ojfirnj.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

493 481 462 457 442 439 488 521 501 485 464 460 467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.004147	0.0391	0.48444
2	-0.014095	-0.133	0.44726
3	-0.011739	-0.1107	0.456034
4	0.097867	0.9233	0.179179
5	0.078194	0.7377	0.231323
6	0.080192	0.7565	0.225664
7	0.03194	0.3013	0.381935
8	0.112562	1.0619	0.145576
9	0.133906	1.2633	0.104896
10	-0.059801	-0.5642	0.287031
11	-0.044333	-0.4182	0.338391
12	-0.213712	-2.0162	0.0234
13	-0.000486	-0.0046	0.498177
14	0.228655	2.1571	0.016845
15	-0.006144	-0.058	0.476953
16	-0.027319	-0.2577	0.398605
17	-0.075662	-0.7138	0.238612
18	0.065139	0.6145	0.270219
19	0.07433	0.7012	0.242494
20	-0.004501	-0.0425	0.483114
21	0.042994	0.4056	0.343003
22	0.054974	0.5186	0.302655
23	0.181846	1.7155	0.044864
24	-0.08873	-0.8371	0.202397
25	-0.127231	-1.2003	0.116606
26	-0.169071	-1.595	0.057127
27	0.088005	0.8302	0.204313
28	-0.017636	-0.1664	0.43412
29	0.106762	1.0072	0.158287
30	-0.096138	-0.907	0.183439
31	-0.094845	-0.8948	0.186662
32	0.015913	0.1501	0.440504
33	-0.103309	-0.9746	0.166197
34	-0.094294	-0.8896	0.188048
35	-0.045665	-0.4308	0.333825
36	0.027706	0.2614	0.397202

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.004147	0.0391	0.48444
2	-0.014112	-0.1331	0.447195
3	-0.011624	-0.1097	0.456464
4	0.097799	0.9226	0.179346
5	0.077734	0.7333	0.232638
6	0.083785	0.7904	0.215691
7	0.037975	0.3583	0.360499
8	0.110835	1.0456	0.149284
9	0.129669	1.2233	0.112223
10	-0.073034	-0.689	0.246309
11	-0.05829	-0.5499	0.291881
12	-0.262595	-2.4773	0.007563
13	-0.078031	-0.7361	0.231789
14	0.204666	1.9308	0.028345
15	-0.004995	-0.0471	0.481261
16	0.032011	0.302	0.38168
17	-0.053342	-0.5032	0.308025
18	0.077929	0.7352	0.232081
19	0.130801	1.234	0.11023
20	0.035904	0.3387	0.36781
21	0.116807	1.102	0.136726
22	-0.039374	-0.3715	0.355591
23	0.104647	0.9872	0.163101
24	-0.15207	-1.4346	0.077449
25	-0.205059	-1.9345	0.028113
26	-0.1626	-1.534	0.064293
27	-0.046388	-0.4376	0.331358
28	-0.109329	-1.0314	0.152573
29	0.120369	1.1356	0.129595
30	0.000458	0.0043	0.498281
31	0.042295	0.399	0.345421
32	0.108673	1.0252	0.154019
33	0.014784	0.1395	0.444697
34	0.009814	0.0926	0.463219
35	-0.00371	-0.035	0.486078
36	-0.060766	-0.5733	0.283956

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427581pjv9bfy8ojfirnj/1mfry1229427506.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427581pjv9bfy8ojfirnj/1mfry1229427506.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427581pjv9bfy8ojfirnj/2436i1229427506.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427581pjv9bfy8ojfirnj/2436i1229427506.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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')

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