Home » date » 2009 » Dec » 07 »

acf na diff d=1

*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: Mon, 07 Dec 2009 06:41:12 -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/07/t12601933341szi95ag7e62qra.htm/, Retrieved Mon, 07 Dec 2009 14:42:16 +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/07/t12601933341szi95ag7e62qra.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 «

104.1 90.2 99.2 116.5 98.4 90.6 130.5 107.4 106 196.5 107.8 90.5 123.8 114.7 115.3 197 88.4 93.8 111.3 105.9 123.6 171 97 99.2 126.6 103.4 121.3 129.6 110.8 98.9 122.8 120.9 133.1 203.1 110.2 119.5 135.1 113.9 137.4 157.1 126.4 112.2 128.8 136.8 156.5 215.2 146.7 130.8 133.1 153.4 159.9 174.6 145 112.9 137.8 150.6 162.1 226.4 112.3 126.3

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.400133	-3.0735	0.001601
2	-0.206669	-1.5875	0.058877
3	0.25869	1.987	0.025784
4	-0.296928	-2.2808	0.013095
5	-0.129375	-0.9938	0.162201
6	0.592174	4.5486	1.4e-05
7	-0.208768	-1.6036	0.057074
8	-0.233635	-1.7946	0.038922
9	0.230021	1.7668	0.041215
10	-0.218382	-1.6774	0.049375
11	-0.150505	-1.1561	0.12616
12	0.583329	4.4806	1.7e-05
13	-0.240974	-1.851	0.034592
14	-0.163223	-1.2537	0.10744
15	0.180527	1.3867	0.085383
16	-0.177078	-1.3602	0.089477
17	-0.110755	-0.8507	0.199181
18	0.396633	3.0466	0.001729
19	-0.122359	-0.9399	0.175562
20	-0.190357	-1.4622	0.074502
21	0.196346	1.5082	0.068425
22	-0.161318	-1.2391	0.110107
23	-0.15993	-1.2284	0.112078
24	0.487496	3.7445	0.000206
25	-0.213931	-1.6432	0.052827
26	-0.086355	-0.6633	0.25486
27	0.122356	0.9398	0.175568
28	-0.150618	-1.1569	0.125984
29	-0.071541	-0.5495	0.292361
30	0.28315	2.1749	0.016828
31	-0.069887	-0.5368	0.296707
32	-0.128414	-0.9864	0.16399
33	0.094998	0.7297	0.234233
34	-0.087398	-0.6713	0.252319
35	-0.09962	-0.7652	0.223602
36	0.308647	2.3708	0.010519
37	-0.092134	-0.7077	0.240962
38	-0.106855	-0.8208	0.207542
39	0.061715	0.474	0.318609
40	-0.044407	-0.3411	0.367122
41	-0.092738	-0.7123	0.239533
42	0.258546	1.9859	0.025847
43	-0.111137	-0.8537	0.198373
44	-0.066448	-0.5104	0.305838
45	0.060811	0.4671	0.321075
46	-0.051769	-0.3976	0.346164
47	-0.04002	-0.3074	0.37981
48	0.177811	1.3658	0.088594
49	-0.118703	-0.9118	0.182799
50	-0.012372	-0.095	0.462305
51	0.05614	0.4312	0.333941
52	-0.04844	-0.3721	0.355585
53	0.002467	0.0189	0.492474
54	0.031046	0.2385	0.406171
55	-0.018567	-0.1426	0.443538
56	-0.017251	-0.1325	0.447517
57	0.018104	0.1391	0.444938
58	-0.00201	-0.0154	0.493867
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.400133	-3.0735	0.001601
2	-0.436693	-3.3543	0.000698
3	-0.051276	-0.3939	0.347553
4	-0.382459	-2.9377	0.002355
5	-0.616248	-4.7335	7e-06
6	0.028527	0.2191	0.413658
7	0.189334	1.4543	0.075581
8	-0.074107	-0.5692	0.28568
9	-0.126039	-0.9681	0.168467
10	-0.043037	-0.3306	0.37107
11	-0.282121	-2.167	0.017142
12	0.052019	0.3996	0.345458
13	0.0323	0.2481	0.40246
14	0.086971	0.668	0.253357
15	0.009787	0.0752	0.470164
16	0.133465	1.0252	0.154735
17	0.055825	0.4288	0.334815
18	-0.108802	-0.8357	0.203341
19	-0.067239	-0.5165	0.303728
20	-0.066725	-0.5125	0.305099
21	-0.017455	-0.1341	0.446901
22	-0.058247	-0.4474	0.328112
23	-0.255846	-1.9652	0.027053
24	0.043149	0.3314	0.370747
25	-0.027269	-0.2095	0.417407
26	0.081546	0.6264	0.266744
27	-0.041248	-0.3168	0.376244
28	0.008039	0.0617	0.475486
29	0.111612	0.8573	0.197371
30	-0.067806	-0.5208	0.302218
31	-0.028446	-0.2185	0.413897
32	-0.008896	-0.0683	0.472877
33	-0.092521	-0.7107	0.240045
34	-0.034041	-0.2615	0.397318
35	-0.05455	-0.419	0.338367
36	-0.022825	-0.1753	0.430713
37	-0.001972	-0.0152	0.493982
38	-0.051296	-0.394	0.347495
39	-0.044141	-0.3391	0.367887
40	-0.012184	-0.0936	0.462876
41	-0.025097	-0.1928	0.4239
42	0.157085	1.2066	0.116202
43	-0.073172	-0.562	0.288108
44	0.080284	0.6167	0.26991
45	0.059618	0.4579	0.32434
46	0.087866	0.6749	0.251185
47	0.162746	1.2501	0.108104
48	-0.039389	-0.3026	0.381648
49	-0.105646	-0.8115	0.210175
50	-0.118061	-0.9068	0.184089
51	0.001701	0.0131	0.49481
52	-0.011191	-0.086	0.465895
53	0.030824	0.2368	0.406829
54	-0.118833	-0.9128	0.182537
55	0.015165	0.1165	0.453832
56	-0.021711	-0.1668	0.434062
57	-0.055823	-0.4288	0.33482
58	-0.131956	-1.0136	0.157463
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/07/t12601933341szi95ag7e62qra/1hftu1260193270.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t12601933341szi95ag7e62qra/1hftu1260193270.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t12601933341szi95ag7e62qra/2n5jq1260193270.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t12601933341szi95ag7e62qra/2n5jq1260193270.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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