Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 06 »

*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: Sun, 06 Dec 2009 07:27:36 -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/06/t1260109751cxc0m2ge3l5g90p.htm/, Retrieved Sun, 06 Dec 2009 15:29:14 +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/2009/Dec/06/t1260109751cxc0m2ge3l5g90p.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 «

114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107

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	-0.010928	-0.0749	0.4703
2	0.05251	0.36	0.360232
3	0.127216	0.8721	0.193781
4	0.150286	1.0303	0.154069
5	0.000901	0.0062	0.497548
6	0.18354	1.2583	0.107252
7	0.080809	0.554	0.291103
8	0.052626	0.3608	0.359938
9	0.064527	0.4424	0.330125
10	-0.158353	-1.0856	0.141594
11	0.368337	2.5252	0.007498
12	-0.148408	-1.0174	0.157079
13	-0.074253	-0.5091	0.306548
14	0.021599	0.1481	0.441458
15	0.13923	0.9545	0.172354
16	-0.094237	-0.6461	0.260693
17	0.118667	0.8135	0.210005
18	-0.092254	-0.6325	0.265074
19	-0.08313	-0.5699	0.285726
20	0.019792	0.1357	0.446324
21	-0.165439	-1.1342	0.131232
22	-0.031439	-0.2155	0.415141
23	-0.137388	-0.9419	0.175534
24	-0.096441	-0.6612	0.255866
25	-0.088967	-0.6099	0.272424
26	0.032316	0.2215	0.412812
27	-0.103282	-0.7081	0.2412
28	-0.113414	-0.7775	0.220373
29	-0.116551	-0.799	0.214144
30	-0.080835	-0.5542	0.291043
31	-0.027818	-0.1907	0.424786
32	-0.047965	-0.3288	0.371872
33	0.014201	0.0974	0.461428
34	-0.012935	-0.0887	0.464859
35	-0.005216	-0.0358	0.485814
36	-0.054892	-0.3763	0.354185
37	-0.028195	-0.1933	0.423781
38	-0.032318	-0.2216	0.412808
39	-0.038357	-0.263	0.396864
40	-0.009145	-0.0627	0.475139
41	-0.008184	-0.0561	0.477747
42	-0.012466	-0.0855	0.466129
43	-0.016137	-0.1106	0.456192
44	-0.015636	-0.1072	0.457545
45	-0.018429	-0.1263	0.449999
46	-0.003547	-0.0243	0.490352
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.010928	-0.0749	0.4703
2	0.052397	0.3592	0.360521
3	0.128701	0.8823	0.191045
4	0.154032	1.056	0.148186
5	-0.004748	-0.0326	0.487085
6	0.158546	1.0869	0.141303
7	0.057534	0.3944	0.347522
8	0.025078	0.1719	0.432117
9	0.0257	0.1762	0.430451
10	-0.238296	-1.6337	0.054505
11	0.367839	2.5218	0.007562
12	-0.250385	-1.7166	0.046323
13	-0.066142	-0.4534	0.326156
14	0.002709	0.0186	0.492632
15	0.051471	0.3529	0.362884
16	0.077921	0.5342	0.297861
17	-0.012207	-0.0837	0.46683
18	-0.108409	-0.7432	0.230526
19	-0.055893	-0.3832	0.351656
20	-0.022721	-0.1558	0.438442
21	-0.067482	-0.4626	0.322881
22	-0.22942	-1.5728	0.061234
23	-0.051482	-0.3529	0.362854
24	-0.019978	-0.137	0.445824
25	0.015387	0.1055	0.45822
26	-0.005148	-0.0353	0.485999
27	0.080372	0.551	0.29212
28	-0.170371	-1.168	0.124348
29	0.05794	0.3972	0.346504
30	-0.030896	-0.2118	0.416584
31	-0.074676	-0.5119	0.305542
32	0.056153	0.385	0.351
33	0.059193	0.4058	0.343362
34	0.084728	0.5809	0.282052
35	0.03658	0.2508	0.401538
36	-0.025022	-0.1715	0.432266
37	-0.03306	-0.2266	0.41084
38	-0.058519	-0.4012	0.345049
39	0.082193	0.5635	0.28789
40	-0.081762	-0.5605	0.28889
41	-0.069237	-0.4747	0.318611
42	-0.021575	-0.1479	0.441524
43	0.007992	0.0548	0.478269
44	-0.066125	-0.4533	0.326198
45	0.02275	0.156	0.438363
46	-0.069092	-0.4737	0.318964
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260109751cxc0m2ge3l5g90p/1ilyu1260109654.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260109751cxc0m2ge3l5g90p/1ilyu1260109654.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260109751cxc0m2ge3l5g90p/26ihj1260109654.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t1260109751cxc0m2ge3l5g90p/26ihj1260109654.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = -0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = -0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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