Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 03 »

*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: Thu, 03 Dec 2009 03:03:52 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/03/t1259834687nng6ycmak2yza64.htm/, Retrieved Thu, 03 Dec 2009 11:04:49 +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/2009/Dec/03/t1259834687nng6ycmak2yza64.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

21790 13253 37702 30364 32609 30212 29965 28352 25814 22414 20506 28806 22228 13971 36845 35338 35022 34777 26887 23970 22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509 25447 24090 27786 26195 20516 22759 19028 16971 20036 22485 18730

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	0.2266	2.3658	0.00988
2	0.017003	0.1775	0.429715
3	-0.010589	-0.1106	0.456086
4	-0.077449	-0.8086	0.210255
5	-0.156139	-1.6301	0.052979
6	-0.316535	-3.3047	0.000644
7	-0.177953	-1.8579	0.032942
8	-0.060659	-0.6333	0.263931
9	-0.025432	-0.2655	0.395554
10	-0.059867	-0.625	0.266629
11	0.18297	1.9103	0.029363
12	0.797253	8.3236	0
13	0.144755	1.5113	0.066805
14	-0.021453	-0.224	0.411598
15	-0.05291	-0.5524	0.290905
16	-0.130334	-1.3607	0.088203
17	-0.162343	-1.6949	0.046474
18	-0.330731	-3.4529	0.000395
19	-0.182089	-1.9011	0.029967
20	-0.065111	-0.6798	0.249042
21	-0.076834	-0.8022	0.212099
22	-0.068353	-0.7136	0.238491
23	0.17434	1.8202	0.035739
24	0.684187	7.1431	0
25	0.155605	1.6246	0.053572
26	0.008538	0.0891	0.464567
27	-0.041799	-0.4364	0.331706
28	-0.087848	-0.9172	0.180541
29	-0.115791	-1.2089	0.11466
30	-0.282084	-2.945	0.001974
31	-0.128633	-1.343	0.091036
32	-0.059253	-0.6186	0.268729
33	-0.067721	-0.707	0.240528
34	-0.044201	-0.4615	0.322692
35	0.152015	1.5871	0.057695
36	0.546385	5.7044	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.2266	2.3658	0.00988
2	-0.036203	-0.378	0.353094
3	-0.006732	-0.0703	0.472048
4	-0.076899	-0.8028	0.211905
5	-0.128667	-1.3433	0.090978
6	-0.274561	-2.8665	0.002491
7	-0.07285	-0.7606	0.224277
8	-0.036471	-0.3808	0.352057
9	-0.039951	-0.4171	0.338713
10	-0.121759	-1.2712	0.103181
11	0.152074	1.5877	0.057626
12	0.762193	7.9575	0
13	-0.301994	-3.1529	0.001044
14	-0.187328	-1.9558	0.026526
15	-0.023412	-0.2444	0.403681
16	-0.086704	-0.9052	0.183675
17	-0.035909	-0.3749	0.354231
18	-0.022593	-0.2359	0.406984
19	0.015966	0.1667	0.433959
20	-0.112098	-1.1703	0.12221
21	-0.136639	-1.4266	0.078284
22	0.174151	1.8182	0.035891
23	0.014675	0.1532	0.439258
24	0.031671	0.3307	0.370771
25	0.118368	1.2358	0.109595
26	0.006103	0.0637	0.474656
27	-0.062639	-0.654	0.257255
28	0.126051	1.316	0.095466
29	0.065746	0.6864	0.246956
30	-0.004297	-0.0449	0.482151
31	0.009555	0.0998	0.46036
32	-0.049837	-0.5203	0.301949
33	0.06028	0.6293	0.265221
34	0.005455	0.057	0.477343
35	-0.056988	-0.595	0.276548
36	-0.132888	-1.3874	0.084077

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259834687nng6ycmak2yza64/1p5kj1259834630.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259834687nng6ycmak2yza64/1p5kj1259834630.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259834687nng6ycmak2yza64/29yxy1259834630.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259834687nng6ycmak2yza64/29yxy1259834630.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.5 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = -0.5 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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