Home » date » 2009 » Dec » 20 »

ACF 2

*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 06:49:50 -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/t1261317169t0o7v92zxk768im.htm/, Retrieved Sun, 20 Dec 2009 14:52:51 +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/t1261317169t0o7v92zxk768im.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 «

210 220 212 191 180 195 136 196 182 166 147 125 164 170 171 140 155 156 141 167 171 206 187 124 163 154 226 125 162 145 98 128 159 209 150 125 214 193 140 205 192 192 186 150 246 282 264 336 301 376 416 344 326 351 249 258 311 343 278

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	-0.318822	-2.4281	0.009151
2	-0.170349	-1.2973	0.099826
3	0.152941	1.1648	0.124441
4	-0.054022	-0.4114	0.341139
5	0.077995	0.594	0.277413
6	-0.104744	-0.7977	0.214148
7	0.00216	0.0164	0.493466
8	0.166315	1.2666	0.105178
9	-0.165462	-1.2601	0.106336
10	-0.131707	-1.0031	0.160001
11	0.090631	0.6902	0.246404
12	0.067981	0.5177	0.303309
13	0.038661	0.2944	0.384738
14	0.01676	0.1276	0.449437
15	-0.178541	-1.3597	0.08959
16	0.085739	0.653	0.258179
17	0.044096	0.3358	0.369108
18	-0.116362	-0.8862	0.189588
19	0.046133	0.3513	0.363304
20	0.013352	0.1017	0.459679
21	0.117635	0.8959	0.187011
22	-0.307712	-2.3435	0.011278
23	0.038717	0.2949	0.384576
24	0.198842	1.5143	0.067686
25	0.021648	0.1649	0.434812
26	-0.103568	-0.7888	0.216735
27	-0.023444	-0.1785	0.429459
28	0.056607	0.4311	0.333996
29	0.029299	0.2231	0.412107
30	-0.14116	-1.075	0.143404
31	0.129235	0.9842	0.164546
32	0.054963	0.4186	0.338532
33	-0.084932	-0.6468	0.260148
34	-0.061908	-0.4715	0.319535
35	0.019503	0.1485	0.441219
36	-0.004839	-0.0369	0.485364
37	0.080443	0.6126	0.271255
38	-0.058039	-0.442	0.330063
39	-0.051349	-0.3911	0.348592
40	0.058489	0.4454	0.328831
41	-0.08432	-0.6422	0.26165
42	0.004249	0.0324	0.48715
43	0.030235	0.2303	0.40935
44	-0.020773	-0.1582	0.437425
45	0.033334	0.2539	0.400248
46	-0.021444	-0.1633	0.43542
47	-0.077591	-0.5909	0.278436
48	0.080546	0.6134	0.270998
49	0.026081	0.1986	0.421623
50	0.000568	0.0043	0.498283
51	-0.028346	-0.2159	0.414922
52	0.041819	0.3185	0.375631
53	-0.030062	-0.2289	0.409859
54	-0.002498	-0.019	0.492444
55	0.014425	0.1099	0.456452
56	0.007723	0.0588	0.476651
57	-0.005132	-0.0391	0.48448
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	-0.318822	-2.4281	0.009151
2	-0.302772	-2.3058	0.012357
3	-0.017578	-0.1339	0.446984
4	-0.058975	-0.4491	0.327502
5	0.097686	0.744	0.229954
6	-0.074674	-0.5687	0.285878
7	-0.027337	-0.2082	0.417904
8	0.124733	0.9499	0.173042
9	-0.053584	-0.4081	0.342356
10	-0.200246	-1.525	0.066344
11	-0.118785	-0.9046	0.1847
12	0.019299	0.147	0.441829
13	0.118981	0.9061	0.184308
14	0.177221	1.3497	0.091182
15	-0.13055	-0.9942	0.162118
16	-0.094023	-0.7161	0.238414
17	-0.010607	-0.0808	0.467948
18	-0.044323	-0.3376	0.36846
19	-0.066744	-0.5083	0.306584
20	-0.065034	-0.4953	0.311135
21	0.159347	1.2135	0.114919
22	-0.222241	-1.6925	0.047955
23	-0.043009	-0.3275	0.372216
24	0.018198	0.1386	0.445125
25	0.139102	1.0594	0.146911
26	-0.018056	-0.1375	0.445552
27	-0.017728	-0.135	0.446536
28	-0.067474	-0.5139	0.304649
29	0.034688	0.2642	0.396291
30	-0.05627	-0.4285	0.334924
31	0.064709	0.4928	0.312003
32	-0.012605	-0.096	0.461928
33	-0.032708	-0.2491	0.402084
34	-0.021811	-0.1661	0.434325
35	0.020308	0.1547	0.438812
36	-0.039607	-0.3016	0.382004
37	-0.055338	-0.4214	0.337496
38	-0.058133	-0.4427	0.329806
39	-0.037238	-0.2836	0.388864
40	-0.003742	-0.0285	0.488681
41	-0.074563	-0.5679	0.286163
42	-0.075333	-0.5737	0.284187
43	0.027312	0.208	0.417977
44	-0.102378	-0.7797	0.219373
45	-0.082103	-0.6253	0.267121
46	0.051388	0.3914	0.348483
47	0.046904	0.3572	0.361114
48	-0.061876	-0.4712	0.319622
49	-0.022067	-0.1681	0.433562
50	0.018806	0.1432	0.443307
51	0.001481	0.0113	0.49552
52	0.00389	0.0296	0.488235
53	0.004281	0.0326	0.487051
54	-0.019866	-0.1513	0.440134
55	0.012152	0.0925	0.463291
56	-0.062967	-0.4795	0.316679
57	-0.039345	-0.2996	0.38276
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/t1261317169t0o7v92zxk768im/1b84k1261316988.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261317169t0o7v92zxk768im/1b84k1261316988.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261317169t0o7v92zxk768im/23ody1261316988.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/20/t1261317169t0o7v92zxk768im/23ody1261316988.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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