Home » date » 2009 » Dec » 20 »

ACF (d=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: Sun, 20 Dec 2009 05:21:02 -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/20/t1261311758kg8zp4tho438a44.htm/, Retrieved Sun, 20 Dec 2009 13:22:40 +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/20/t1261311758kg8zp4tho438a44.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 «

921365 987921 1132614 1332224 1418133 1411549 1695920 1636173 1539653 1395314 1127575 1036076 989236 1008380 1207763 1368839 1469798 1498721 1761769 1653214 1599104 1421179 1163995 1037735 1015407 1039210 1258049 1469445 1552346 1549144 1785895 1662335 1629440 1467430 1202209 1076982 1039367 1063449 1335135 1491602 1591972 1641248 1898849 1798580 1762444 1622044 1368955 1262973 1195650 1269530 1479279 1607819 1712466 1721766 1949843 1821326 1757802 1590367 1260647 1149235

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	-0.132946	-0.9114	0.183359
2	0.126556	0.8676	0.195004
3	0.172838	1.1849	0.121004
4	0.017072	0.117	0.453664
5	0.056488	0.3873	0.350156
6	0.119523	0.8194	0.208345
7	-0.047874	-0.3282	0.372107
8	0.107307	0.7357	0.232796
9	-0.158913	-1.0895	0.140755
10	-0.01728	-0.1185	0.453101
11	0.066854	0.4583	0.324415
12	-0.224802	-1.5412	0.064992
13	-0.138311	-0.9482	0.173935
14	-0.016554	-0.1135	0.455064
15	-0.113916	-0.781	0.219368
16	0.027078	0.1856	0.426763
17	-0.10876	-0.7456	0.229805
18	0.035185	0.2412	0.405218
19	-0.029505	-0.2023	0.420287
20	-0.065018	-0.4457	0.328916
21	0.100752	0.6907	0.246569
22	-0.018597	-0.1275	0.449547
23	-0.076755	-0.5262	0.300609
24	0.053736	0.3684	0.357115
25	-0.037078	-0.2542	0.400227
26	-0.072968	-0.5002	0.309619
27	0.093323	0.6398	0.262707
28	-0.088298	-0.6053	0.273932
29	0.104267	0.7148	0.239128
30	-0.101771	-0.6977	0.2444
31	-0.087127	-0.5973	0.276583
32	0.037964	0.2603	0.397898
33	-0.029711	-0.2037	0.419739
34	-0.13969	-0.9577	0.171566
35	0.184129	1.2623	0.10653
36	-0.118439	-0.812	0.210449
37	0.033314	0.2284	0.410167
38	-0.010559	-0.0724	0.471301
39	0.012492	0.0856	0.466057
40	0.017667	0.1211	0.452056
41	-0.054441	-0.3732	0.355329
42	-0.018671	-0.128	0.449348
43	0.04246	0.2911	0.386131
44	-0.062828	-0.4307	0.334317
45	0.060465	0.4145	0.340188
46	0.00134	0.0092	0.496355
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.132946	-0.9114	0.183359
2	0.110841	0.7599	0.225559
3	0.208743	1.4311	0.079513
4	0.056147	0.3849	0.351015
5	0.018416	0.1263	0.450034
6	0.090896	0.6231	0.268099
7	-0.043117	-0.2956	0.384421
8	0.055437	0.3801	0.352808
9	-0.181602	-1.245	0.109652
10	-0.08766	-0.601	0.275374
11	0.065912	0.4519	0.326722
12	-0.168192	-1.1531	0.127357
13	-0.208975	-1.4327	0.079287
14	-0.049929	-0.3423	0.366826
15	0.031128	0.2134	0.415967
16	0.101428	0.6954	0.245128
17	-0.045538	-0.3122	0.378137
18	0.075165	0.5153	0.304377
19	0.03035	0.2081	0.418038
20	-0.00075	-0.0051	0.497961
21	0.062973	0.4317	0.333958
22	-0.069044	-0.4733	0.319081
23	-0.084265	-0.5777	0.283114
24	-0.049499	-0.3393	0.36793
25	-0.079875	-0.5476	0.29328
26	-0.171482	-1.1756	0.122834
27	0.032682	0.2241	0.411844
28	0.00495	0.0339	0.486536
29	0.118985	0.8157	0.209388
30	-0.044885	-0.3077	0.379829
31	-0.091243	-0.6255	0.267323
32	-0.008354	-0.0573	0.477287
33	0.071026	0.4869	0.314287
34	-0.113709	-0.7795	0.219782
35	0.074536	0.511	0.305874
36	-0.03208	-0.2199	0.413438
37	0.002406	0.0165	0.493455
38	-0.078082	-0.5353	0.297483
39	-0.027431	-0.1881	0.425821
40	0.003891	0.0267	0.489415
41	-0.042701	-0.2927	0.385504
42	-0.011443	-0.0785	0.468901
43	-0.104557	-0.7168	0.238519
44	-0.020133	-0.138	0.445406
45	0.049933	0.3423	0.366816
46	0.00826	0.0566	0.477542
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261311758kg8zp4tho438a44/13gn31261311660.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261311758kg8zp4tho438a44/13gn31261311660.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261311758kg8zp4tho438a44/20zy41261311660.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261311758kg8zp4tho438a44/20zy41261311660.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

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