Home » date » 2008 » Dec » 20 »

PaperACF2Geoffrey

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 20 Dec 2008 07:59:43 -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/20/t1229785394bqgmc322b9bdukv.htm/, Retrieved Sat, 20 Dec 2008 16:03:14 +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/20/t1229785394bqgmc322b9bdukv.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 «

127.84 132.43 134.13 134.78 133.13 129.08 134.48 132.86 134.08 134.54 134.51 135.97 136.09 139.14 135.63 136.55 138.83 138.84 135.37 132.22 134.75 135.98 136.06 138.05 139.59 140.58 139.81 140.77 140.96 143.59 142.7 145.11 146.7 148.53 148.99 149.65 151.11 154.82 156.56 157.6 155.24 160.68 163.22 164.55 166.76 159.05 159.82 164.95 162.89 163.55 158.68 157.97 156.59 161.56 162.31 166.26 168.45 163.63 153.2 133.52 123.28

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.420807	3.2596	0.00092
2	0.160449	1.2428	0.109383
3	-0.062848	-0.4868	0.31408
4	-0.137973	-1.0687	0.144736
5	0.004294	0.0333	0.486787
6	-0.070888	-0.5491	0.292488
7	0.029306	0.227	0.410597
8	0.037314	0.289	0.386777
9	0.126803	0.9822	0.164969
10	0.073924	0.5726	0.284522
11	-0.024161	-0.1872	0.426087
12	0.005293	0.041	0.483715
13	-0.024695	-0.1913	0.424473
14	0.176555	1.3676	0.088271
15	0.037096	0.2873	0.387421
16	-0.085224	-0.6601	0.255844
17	-0.10959	-0.8489	0.199662
18	-0.086856	-0.6728	0.251834
19	-0.020624	-0.1598	0.436805
20	-0.011351	-0.0879	0.465116
21	-0.057303	-0.4439	0.329367
22	-0.08036	-0.6225	0.267997
23	-0.067307	-0.5214	0.302018
24	-0.032165	-0.2491	0.40205
25	-0.049883	-0.3864	0.350288
26	-0.003587	-0.0278	0.488964
27	-0.056589	-0.4383	0.331359
28	-0.062126	-0.4812	0.316054
29	-0.057946	-0.4488	0.327579
30	-0.02848	-0.2206	0.413074
31	0.052353	0.4055	0.343266
32	-0.009502	-0.0736	0.470785
33	0.006074	0.047	0.481315
34	-0.05678	-0.4398	0.330824
35	-0.03161	-0.2448	0.403704
36	-0.035738	-0.2768	0.391432
37	-0.089107	-0.6902	0.246358
38	-0.013447	-0.1042	0.458696
39	-0.080816	-0.626	0.266845
40	0.139054	1.0771	0.142873
41	0.128029	0.9917	0.162661
42	-0.018763	-0.1453	0.442466
43	-0.023895	-0.1851	0.426893
44	-0.069062	-0.535	0.297331
45	0.061475	0.4762	0.317837
46	-0.015607	-0.1209	0.452091
47	-0.023712	-0.1837	0.427444
48	-0.056265	-0.4358	0.332262
49	-0.044419	-0.3441	0.365999
50	-0.023097	-0.1789	0.429306
51	-0.051652	-0.4001	0.345255
52	0.003545	0.0275	0.489091
53	-0.029784	-0.2307	0.409164
54	0.056747	0.4396	0.330918
55	0.064555	0.5	0.309438
56	-0.037979	-0.2942	0.384815
57	-0.088688	-0.687	0.247373
58	-0.107322	-0.8313	0.204547
59	-0.046472	-0.36	0.360067
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.420807	3.2596	0.00092
2	-0.020208	-0.1565	0.438069
3	-0.149804	-1.1604	0.125246
4	-0.06867	-0.5319	0.298374
5	0.141052	1.0926	0.139472
6	-0.141232	-1.094	0.139169
7	0.078554	0.6085	0.272585
8	0.025592	0.1982	0.421765
9	0.123621	0.9576	0.171062
10	-0.074608	-0.5779	0.282744
11	-0.032266	-0.2499	0.401747
12	0.059432	0.4604	0.323462
13	0.003431	0.0266	0.489444
14	0.196279	1.5204	0.066835
15	-0.145246	-1.1251	0.13252
16	-0.116556	-0.9028	0.185111
17	-0.001821	-0.0141	0.494395
18	0.058876	0.4561	0.324999
19	-0.095355	-0.7386	0.231509
20	0.043228	0.3348	0.369456
21	-0.104507	-0.8095	0.21071
22	-0.041406	-0.3207	0.374765
23	-0.067599	-0.5236	0.301235
24	0.041689	0.3229	0.373939
25	-0.033997	-0.2633	0.396596
26	0.042375	0.3282	0.371938
27	-0.092494	-0.7165	0.238246
28	-0.087658	-0.679	0.249875
29	0.002705	0.021	0.491675
30	0.114498	0.8869	0.189337
31	0.068712	0.5322	0.298263
32	-0.135718	-1.0513	0.148677
33	0.039497	0.3059	0.380354
34	-0.092953	-0.72	0.237157
35	0.083161	0.6442	0.260962
36	-0.040902	-0.3168	0.376238
37	-0.019509	-0.1511	0.440195
38	-0.029556	-0.2289	0.409846
39	-0.077949	-0.6038	0.27413
40	0.194103	1.5035	0.068976
41	0.027523	0.2132	0.415949
42	-0.14964	-1.1591	0.125502
43	0.028547	0.2211	0.412872
44	0.013144	0.1018	0.459622
45	-0.009471	-0.0734	0.470882
46	-0.032548	-0.2521	0.400908
47	0.020405	0.1581	0.437472
48	-0.034165	-0.2646	0.396095
49	-0.073071	-0.566	0.286751
50	-0.095506	-0.7398	0.231158
51	0.07022	0.5439	0.294256
52	0.024131	0.1869	0.426177
53	0.003118	0.0242	0.490406
54	-0.044861	-0.3475	0.364719
55	-0.072658	-0.5628	0.287832
56	0.008216	0.0636	0.474734
57	-0.023361	-0.181	0.428507
58	-0.009415	-0.0729	0.471053
59	-0.03806	-0.2948	0.384578
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229785394bqgmc322b9bdukv/15qd41229785178.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229785394bqgmc322b9bdukv/15qd41229785178.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229785394bqgmc322b9bdukv/22bpb1229785178.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229785394bqgmc322b9bdukv/22bpb1229785178.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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