Home » date » 2009 » Dec » 15 »

deel2 acf D=d=0

*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: Tue, 15 Dec 2009 13:37:16 -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/15/t1260909480cx09jfl1ek0tn6o.htm/, Retrieved Tue, 15 Dec 2009 21:38:02 +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/15/t1260909480cx09jfl1ek0tn6o.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 «

2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45 1862.83 1905.41 1810.99 1670.07 1864.44 2052.02 2029.6 2070.83 2293.41 2443.27 2513.17

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	0.966487	8.0862	0
2	0.921544	7.7102	0
3	0.869605	7.2756	0
4	0.806137	6.7446	0
5	0.731056	6.1165	0
6	0.646604	5.4099	0
7	0.559775	4.6834	7e-06
8	0.472027	3.9493	9.2e-05
9	0.382865	3.2033	0.001023
10	0.295364	2.4712	0.007951
11	0.21417	1.7919	0.038737
12	0.131052	1.0965	0.138318
13	0.051303	0.4292	0.334537
14	-0.014056	-0.1176	0.453361
15	-0.081015	-0.6778	0.250061
16	-0.146977	-1.2297	0.111463
17	-0.209651	-1.7541	0.041898
18	-0.26297	-2.2002	0.015549
19	-0.307532	-2.573	0.006102
20	-0.353595	-2.9584	0.002108
21	-0.394601	-3.3015	0.000758
22	-0.426826	-3.5711	0.000324
23	-0.447742	-3.7461	0.000183
24	-0.461781	-3.8635	0.000123
25	-0.464159	-3.8834	0.000115
26	-0.46501	-3.8906	0.000113
27	-0.461356	-3.86	0.000125
28	-0.451988	-3.7816	0.000162
29	-0.445936	-3.731	0.000192
30	-0.442144	-3.6992	0.000213
31	-0.436751	-3.6541	0.000247
32	-0.429753	-3.5956	0.000299
33	-0.417774	-3.4953	0.000413
34	-0.401319	-3.3577	0.000637
35	-0.382554	-3.2007	0.001031
36	-0.357859	-2.9941	0.001901
37	-0.329619	-2.7578	0.003709
38	-0.30189	-2.5258	0.006905
39	-0.275694	-2.3066	0.01202
40	-0.245248	-2.0519	0.021961
41	-0.211802	-1.7721	0.040368
42	-0.175904	-1.4717	0.07279
43	-0.139717	-1.169	0.123194
44	-0.109004	-0.912	0.182451
45	-0.07711	-0.6451	0.260471
46	-0.042123	-0.3524	0.36279
47	-0.013396	-0.1121	0.455541
48	0.016653	0.1393	0.444794
49	0.043251	0.3619	0.359272
50	0.070273	0.588	0.279229
51	0.096503	0.8074	0.211086
52	0.125512	1.0501	0.148639
53	0.153447	1.2838	0.101717
54	0.175445	1.4679	0.073308
55	0.189821	1.5882	0.058379
56	0.202437	1.6937	0.047383
57	0.213321	1.7848	0.039316
58	0.208329	1.743	0.042862
59	0.198262	1.6588	0.050817
60	0.183368	1.5342	0.064748

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.966487	8.0862	0
2	-0.19049	-1.5938	0.057748
3	-0.104094	-0.8709	0.19339
4	-0.181529	-1.5188	0.066661
5	-0.171004	-1.4307	0.078479
6	-0.1414	-1.183	0.120398
7	-0.030768	-0.2574	0.398805
8	-0.02254	-0.1886	0.425482
9	-0.038604	-0.323	0.373833
10	-0.009736	-0.0815	0.467657
11	0.03804	0.3183	0.375615
12	-0.129883	-1.0867	0.140453
13	-0.031709	-0.2653	0.395779
14	0.129091	1.0801	0.141912
15	-0.169302	-1.4165	0.080535
16	-0.083318	-0.6971	0.244027
17	-0.066447	-0.5559	0.290015
18	0.028535	0.2387	0.406003
19	0.016932	0.1417	0.443878
20	-0.119089	-0.9964	0.16125
21	-0.010186	-0.0852	0.466165
22	-0.00811	-0.0679	0.473048
23	0.078602	0.6576	0.256466
24	0.021791	0.1823	0.427931
25	0.051201	0.4284	0.334844
26	-0.123543	-1.0336	0.152433
27	-0.020086	-0.168	0.433514
28	-0.059383	-0.4968	0.310433
29	-0.181992	-1.5227	0.066175
30	-0.144066	-1.2053	0.116066
31	0.028092	0.235	0.407434
32	0.001111	0.0093	0.496305
33	0.022062	0.1846	0.427046
34	0.084232	0.7047	0.241656
35	0.036544	0.3058	0.380351
36	0.066375	0.5553	0.290219
37	-0.026683	-0.2232	0.411998
38	-0.096199	-0.8049	0.211813
39	-0.203272	-1.7007	0.046719
40	0.034173	0.2859	0.387894
41	0.036692	0.307	0.379882
42	-0.012532	-0.1048	0.458398
43	0.007754	0.0649	0.474229
44	-0.081221	-0.6795	0.249517
45	0.085204	0.7129	0.239149
46	0.099445	0.832	0.204114
47	-0.118723	-0.9933	0.16199
48	0.043765	0.3662	0.357674
49	-0.022177	-0.1855	0.42667
50	0.003851	0.0322	0.487194
51	-0.062158	-0.52	0.302336
52	0.002861	0.0239	0.490486
53	-0.014817	-0.124	0.450848
54	-0.081989	-0.686	0.247498
55	-0.086205	-0.7212	0.236581
56	-0.017644	-0.1476	0.441532
57	0.014429	0.1207	0.45213
58	-0.072179	-0.6039	0.273933
59	0.038579	0.3228	0.373915
60	-0.105525	-0.8829	0.19016

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260909480cx09jfl1ek0tn6o/176sd1260909434.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260909480cx09jfl1ek0tn6o/176sd1260909434.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260909480cx09jfl1ek0tn6o/2g8dr1260909434.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260909480cx09jfl1ek0tn6o/2g8dr1260909434.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = -0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par8 = 2 ; par9 = 1 ;

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