Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2008 » Dec » 21 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 21 Dec 2008 09:53:44 -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/21/t122987846210ivn1jhodlqxu4.htm/, Retrieved Sun, 21 Dec 2008 17:54:24 +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/21/t122987846210ivn1jhodlqxu4.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 «

87.0 96.3 107.1 115.2 106.1 89.5 91.3 97.6 100.7 104.6 94.7 101.8 102.5 105.3 110.3 109.8 117.3 118.8 131.3 125.9 133.1 147.0 145.8 164.4 149.8 137.7 151.7 156.8 180.0 180.4 170.4 191.6 199.5 218.2 217.5 205.0 194.0 199.3 219.3 211.1 215.2 240.2 242.2 240.7 255.4 253.0 218.2 203.7 205.6 215.6 188.5 202.9 214.0 230.3 230.0 241.0 259.6 247.8 270.3 289.7

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.920842	7.1328	0
2	0.853924	6.6145	0
3	0.810497	6.2781	0
4	0.758939	5.8787	0
5	0.710942	5.5069	0
6	0.65769	5.0944	2e-06
7	0.611007	4.7328	7e-06
8	0.57089	4.4221	2.1e-05
9	0.544455	4.2173	4.2e-05
10	0.53826	4.1693	5e-05
11	0.49958	3.8697	0.000136
12	0.45893	3.5549	0.000372
13	0.420011	3.2534	0.000937
14	0.379949	2.9431	0.002308
15	0.318245	2.4651	0.008288
16	0.245284	1.9	0.031124
17	0.187571	1.4529	0.075728
18	0.128357	0.9943	0.162046
19	0.07341	0.5686	0.285865
20	0.036606	0.2836	0.388865
21	-0.00363	-0.0281	0.48883
22	-0.049841	-0.3861	0.350406
23	-0.086151	-0.6673	0.253561
24	-0.107716	-0.8344	0.203692
25	-0.1411	-1.093	0.139391
26	-0.196572	-1.5226	0.066551
27	-0.250272	-1.9386	0.028629
28	-0.292786	-2.2679	0.013474
29	-0.319989	-2.4786	0.008009
30	-0.330872	-2.5629	0.006453
31	-0.359782	-2.7869	0.003558
32	-0.383851	-2.9733	0.002119
33	-0.392478	-3.0401	0.001751
34	-0.390873	-3.0277	0.001814
35	-0.375598	-2.9094	0.002537
36	-0.377645	-2.9252	0.002426
37	-0.394611	-3.0566	0.00167
38	-0.399774	-3.0966	0.001487
39	-0.401433	-3.1095	0.001433
40	-0.396505	-3.0713	0.0016
41	-0.389317	-3.0156	0.001878
42	-0.378574	-2.9324	0.002378
43	-0.364845	-2.8261	0.003196
44	-0.35003	-2.7113	0.004364
45	-0.322218	-2.4959	0.007665
46	-0.296859	-2.2995	0.012487
47	-0.283468	-2.1957	0.015995
48	-0.274834	-2.1289	0.01869
49	-0.262586	-2.034	0.023191
50	-0.240885	-1.8659	0.033474
51	-0.238635	-1.8485	0.034733
52	-0.227965	-1.7658	0.041258
53	-0.212747	-1.6479	0.052297
54	-0.186763	-1.4467	0.076598
55	-0.158189	-1.2253	0.11262
56	-0.13504	-1.046	0.149875
57	-0.110693	-0.8574	0.197312
58	-0.088802	-0.6879	0.247097
59	-0.051458	-0.3986	0.345803
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.920842	7.1328	0
2	0.039297	0.3044	0.380939
3	0.124376	0.9634	0.169604
4	-0.05513	-0.427	0.335441
5	0.011267	0.0873	0.465373
6	-0.070721	-0.5478	0.292931
7	0.017484	0.1354	0.446362
8	0.007264	0.0563	0.477658
9	0.08942	0.6926	0.245601
10	0.138913	1.076	0.143114
11	-0.177517	-1.375	0.087116
12	-0.033405	-0.2588	0.398356
13	-0.085487	-0.6622	0.255195
14	-0.019168	-0.1485	0.441232
15	-0.198329	-1.5363	0.064867
16	-0.110476	-0.8557	0.197771
17	0.003141	0.0243	0.490336
18	-0.047772	-0.37	0.356328
19	-0.017977	-0.1392	0.44486
20	0.022687	0.1757	0.430549
21	-0.011459	-0.0888	0.464785
22	-0.097365	-0.7542	0.226843
23	-0.012477	-0.0966	0.461666
24	0.01558	0.1207	0.452174
25	-0.046	-0.3563	0.361426
26	-0.14123	-1.094	0.139172
27	-0.087094	-0.6746	0.251251
28	0.018358	0.1422	0.4437
29	0.104959	0.813	0.209713
30	0.118634	0.9189	0.180905
31	-0.125152	-0.9694	0.168113
32	0.018001	0.1394	0.444787
33	0.015927	0.1234	0.451113
34	-0.00715	-0.0554	0.478008
35	0.068086	0.5274	0.299934
36	-0.025181	-0.1951	0.423005
37	-0.08048	-0.6234	0.267694
38	-0.00309	-0.0239	0.490493
39	0.007272	0.0563	0.477634
40	0.04185	0.3242	0.37347
41	0.081055	0.6278	0.266243
42	0.016499	0.1278	0.449367
43	-0.030707	-0.2379	0.406401
44	-0.072704	-0.5632	0.28771
45	0.021792	0.1688	0.43326
46	0.006858	0.0531	0.478906
47	-0.066608	-0.5159	0.303895
48	-0.085385	-0.6614	0.255448
49	-0.026272	-0.2035	0.419716
50	0.061704	0.478	0.31721
51	-0.073781	-0.5715	0.284896
52	0.072878	0.5645	0.287256
53	-0.052841	-0.4093	0.341886
54	0.058177	0.4506	0.326937
55	-0.074928	-0.5804	0.281913
56	-0.017812	-0.138	0.445361
57	0.03687	0.2856	0.388085
58	0.014339	0.1111	0.455967
59	0.084251	0.6526	0.258253
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122987846210ivn1jhodlqxu4/1bgc31229878423.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122987846210ivn1jhodlqxu4/1bgc31229878423.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122987846210ivn1jhodlqxu4/2r2js1229878423.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t122987846210ivn1jhodlqxu4/2r2js1229878423.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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