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 09:11:42 -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/t12601159922rbrwa4im9v5fzk.htm/, Retrieved Sun, 06 Dec 2009 17:13:14 +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/t12601159922rbrwa4im9v5fzk.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 «

9051 8823 8776 8255 7969 8758 8693 8271 7790 7769 8170 8209 9395 9260 9018 8501 8500 9649 9319 8830 8436 8169 8269 7945 9144 8770 8834 7837 7792 8616 8518 7940 7545 7531 7665 7599 8444 8549 7986 7335 7287 7870 7839 7327 7259 6964 7271 6956 7608 7692 7255 6804 6655 7341 7602 7086 6625 6272 6576 6491 7649 7400 6913 6532 6486 7295 7556 7088 6952 6773 6917 7371 8221 7953 8027 7287 8076 8933 9433 9479 9199 9469 10015 10999 13009 13699 13895 13248 13973 15095 15201 14823 14538 14547 14407

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	0.177324	1.7192	0.044433
2	-0.141039	-1.3674	0.087377
3	-0.329315	-3.1928	0.000958
4	-0.005857	-0.0568	0.477419
5	0.331817	3.2171	0.000888
6	0.201175	1.9505	0.02705
7	0.291944	2.8305	0.002842
8	-0.054494	-0.5283	0.299256
9	-0.361485	-3.5047	0.000351
10	-0.229508	-2.2252	0.014231
11	0.088583	0.8588	0.196306
12	0.642819	6.2324	0
13	0.075089	0.728	0.234209
14	-0.170906	-1.657	0.050427
15	-0.343036	-3.3259	0.000629
16	-0.046407	-0.4499	0.326899
17	0.164989	1.5996	0.056519
18	0.156014	1.5126	0.066867
19	0.196203	1.9023	0.030099
20	-0.048756	-0.4727	0.318758
21	-0.318645	-3.0894	0.001319
22	-0.222984	-2.1619	0.016582
23	0.086256	0.8363	0.202559
24	0.497005	4.8186	3e-06
25	0.077608	0.7524	0.226834
26	-0.199329	-1.9326	0.02815
27	-0.282398	-2.738	0.003697
28	-0.055558	-0.5387	0.295701
29	0.104048	1.0088	0.157835
30	0.12496	1.2115	0.114363
31	0.130925	1.2694	0.103722
32	-0.046001	-0.446	0.328313
33	-0.312178	-3.0267	0.001595
34	-0.161215	-1.563	0.060703
35	0.067907	0.6584	0.255952
36	0.370154	3.5888	0.000265

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.177324	1.7192	0.044433
2	-0.178082	-1.7266	0.043765
3	-0.286054	-2.7734	0.003345
4	0.093134	0.903	0.184426
5	0.279543	2.7103	0.003996
6	0.019751	0.1915	0.424276
7	0.402852	3.9058	8.8e-05
8	0.063457	0.6152	0.269942
9	-0.406772	-3.9438	7.7e-05
10	-0.105081	-1.0188	0.155456
11	0.008078	0.0783	0.46887
12	0.405471	3.9312	8.1e-05
13	-0.152659	-1.4801	0.071097
14	0.049407	0.479	0.31652
15	-0.004926	-0.0478	0.481005
16	0.012887	0.1249	0.450418
17	-0.147138	-1.4266	0.07851
18	0.027582	0.2674	0.394867
19	-0.089817	-0.8708	0.193039
20	0.052195	0.506	0.307004
21	-0.016853	-0.1634	0.435278
22	0.035934	0.3484	0.364162
23	0.041725	0.4045	0.343368
24	0.130278	1.2631	0.10484
25	-0.027406	-0.2657	0.395524
26	-0.135453	-1.3133	0.096145
27	0.042589	0.4129	0.340304
28	-0.084389	-0.8182	0.207661
29	-0.079294	-0.7688	0.221976
30	-0.01526	-0.148	0.441349
31	0.016786	0.1627	0.435533
32	-0.040727	-0.3949	0.34692
33	0.031417	0.3046	0.380674
34	0.138011	1.3381	0.092052
35	-0.055762	-0.5406	0.295018
36	-0.03257	-0.3158	0.376435

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/06/t12601159922rbrwa4im9v5fzk/16qkc1260115901.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t12601159922rbrwa4im9v5fzk/16qkc1260115901.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t12601159922rbrwa4im9v5fzk/2nbiv1260115901.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/06/t12601159922rbrwa4im9v5fzk/2nbiv1260115901.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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