ACF Goudprijs after

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 06 Jan 2008 06:12:06 -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/Jan/06/t1199625098wtwum7dsxc4p943.htm/, Retrieved Sun, 06 Jan 2008 14:11:40 +0100

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

10511 10812 10738 10171 9721 9897 9828 9924 10371 10846 10413 10709 10662 10570 10297 10635 10872 10296 10383 10431 10574 10653 10805 10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 7.6811 0 1 -0.078005 -0.5992 0.724323 2 -0.047082 -0.3616 0.640545 3 0.308654 2.3708 0.010517 4 0.006882 0.0529 0.479012 5 -0.285432 -2.1924 0.983848 6 0.055593 0.427 0.335461 7 0.159935 1.2285 0.112071 8 -0.199955 -1.5359 0.935043 9 0.045948 0.3529 0.362698 10 0.042286 0.3248 0.373238 11 0.008856 0.068 0.472997 12 -0.145629 -1.1186 0.866078 13 -0.040318 -0.3097 0.621055 14 0.013455 0.1034 0.459017 15 -0.136085 -1.0453 0.849923 16 -0.108486 -0.8333 0.795981 17 -0.024095 -0.1851 0.5731 18 0.018774 0.1442 0.442913 19 -0.006525 -0.0501 0.519903 20 0.003037 0.0233 0.490734 21 0.079862 0.6134 0.270973 22 0.076558 0.5881 0.279369 23 -0.033775 -0.2594 0.601898 24 -0.034602 -0.2658 0.604334 25 0.149409 1.1476 0.127877 26 -0.078859 -0.6057 0.72649 27 -0.033513 -0.2574 0.601125 28 0.108154 0.8307 0.204733 29 0.063482 0.4876 0.313815 30 -0.081209 -0.6238 0.73241 31 -0.050161 -0.3853 0.649296 32 0.096441 0.7408 0.230884 33 -0.185214 -1.4227 0.919949 34 -0.069348 -0.5327 0.70187 35 0.00956 0.0734 0.470855 36 -0.013425 -0.1031 0.54089 37 -0.131763 -1.0121 0.842186 38 0.052798 0.4056 0.343269 39 0.086767 0.6665 0.253855 40 -0.04834 -0.3713 0.64413 41 0.043956 0.3376 0.368418 42 0.062466 0.4798 0.316569 43 -0.008514 -0.0654 0.525959 44 -0.031992 -0.2457 0.596631 45 -0.023312 -0.1791 0.57075 46 -0.04162 -0.3197 0.624833 47 -0.043517 -0.3343 0.630317 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.078005 -0.5992 0.724323 1 -0.053492 -0.4109 0.658677 2 0.303321 2.3299 0.011628 3 0.055066 0.423 0.336926 4 -0.287333 -2.207 0.984393 5 -0.093783 -0.7204 0.762927 6 0.182175 1.3993 0.083477 7 0.002836 0.0218 0.491346 8 0.027976 0.2149 0.415298 9 -0.154888 -1.1897 0.880538 10 0.072712 0.5585 0.289306 11 -0.069976 -0.5375 0.703527 12 -0.117633 -0.9036 0.815047 13 -0.034919 -0.2682 0.605267 14 -0.044454 -0.3415 0.633014 15 -0.084356 -0.648 0.740235 16 -0.099096 -0.7612 0.775207 17 0.000224 0.0017 0.499316 18 0.156778 1.2042 0.116654 19 -0.018651 -0.1433 0.556714 20 -0.032078 -0.2464 0.596885 21 0.057404 0.4409 0.330439 22 0.036443 0.2799 0.390256 23 -0.064145 -0.4927 0.687976 24 0.064083 0.4922 0.312191 25 -0.03431 -0.2635 0.603475 26 0.03527 0.2709 0.393701 27 -0.036645 -0.2815 0.610334 28 0.051172 0.3931 0.347846 29 -0.002088 -0.016 0.50637 30 -0.155815 -1.1968 0.881922 31 -0.026931 -0.2069 0.581584 32 -0.096067 -0.7379 0.768251 33 0.013671 0.105 0.458361 34 -0.020951 -0.1609 0.563649 35 -0.025835 -0.1984 0.578308 36 -0.034661 -0.2662 0.604507 37 0.026928 0.2068 0.418424 38 0.047736 0.3667 0.35759 39 0.081559 0.6265 0.266712 40 0.021057 0.1617 0.436031 41 0.009225 0.0709 0.471876 42 -0.057626 -0.4426 0.670175 43 0.018599 0.1429 0.443442 44 -0.060824 -0.4672 0.678962 45 -0.106229 -0.816 0.791098 46 -0.111028 -0.8528 0.801397 47 0.026841 0.2062 0.418683

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199625098wtwum7dsxc4p943/1n4191199625124.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199625098wtwum7dsxc4p943/1n4191199625124.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199625098wtwum7dsxc4p943/2jsju1199625124.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t1199625098wtwum7dsxc4p943/2jsju1199625124.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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