Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 23 »

*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: Wed, 23 Dec 2009 04:43:23 -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/23/t1261568690o5p90ybwaf6v3z0.htm/, Retrieved Wed, 23 Dec 2009 12:44:52 +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/23/t1261568690o5p90ybwaf6v3z0.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:

paper,TRA,levensm1b

Dataseries X:

» Textbox « » Textfile « » CSV «

1.1 1.2 1.1 1.2 1.4 1.5 1.5 1.8 1.6 1.5 1.4 1.4 1.4 1.4 1.5 1.4 1.1 1.1 0.9 0.9 0.9 0.9 1.1 1.3 1 1.1 1.4 1.4 1.3 1.4 1 1.8 1.5 1.5 1.4 1.6 1.6 1.6 1.4 1.7 1.8 1.9 2.2 2.1 2.4 2.6 2.8 2.7 2.6 2.9 2.8 2.2 2.2 2.2 2 2 1.7 1.4 1.3 1.4 1.3 2.5 2.4 2.4 2.1 1.7 1.4 1.2 1.1 0.8 0.5 0.6 0.4 0.4 0.3 0.6 0.7 0.8 0.9 0.7 0.6 0.6 0.6 0.5 0.8 0.9 1 1 1.2 1.3 1.3 1.3 1.3 1.4 1.7 1.8 1.4 1.5 1.7 1.6 1.7 1.8 1.7 2.2 2.7 3 2.8 2.7 2.7 2.5 2 1.8 1.4 1.5 1.6 1.3 1.1 0.8 1.1 1.3 1.5 1.8

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	0.054177	0.5959	0.276161
2	0.105886	1.1647	0.123206
3	0.016813	0.1849	0.426793
4	-0.023258	-0.2558	0.399257
5	-0.049938	-0.5493	0.2919
6	0.005715	0.0629	0.474987
7	-0.175703	-1.9327	0.027803
8	-0.061358	-0.6749	0.250501
9	-0.059967	-0.6596	0.255369
10	-0.03107	-0.3418	0.366557
11	-0.102406	-1.1265	0.131098
12	-0.130724	-1.438	0.076512
13	0.029591	0.3255	0.372684
14	0.117582	1.2934	0.099167
15	0.056015	0.6162	0.269472
16	0.105844	1.1643	0.1233
17	0.068403	0.7524	0.226625
18	-0.02067	-0.2274	0.410258
19	0.071831	0.7901	0.215496
20	-0.078967	-0.8686	0.193382
21	-0.06075	-0.6682	0.252624
22	-0.022834	-0.2512	0.401052
23	-0.088346	-0.9718	0.166543
24	-0.053544	-0.589	0.278484
25	-0.172004	-1.892	0.030437
26	-0.019981	-0.2198	0.413201
27	0.026146	0.2876	0.38707
28	-0.033703	-0.3707	0.355741
29	-0.114485	-1.2593	0.105167
30	0.126607	1.3927	0.083135
31	-0.158827	-1.7471	0.041579
32	0.076764	0.8444	0.200055
33	-0.040381	-0.4442	0.328849
34	-0.084961	-0.9346	0.175936
35	-0.059685	-0.6565	0.256363
36	0.045053	0.4956	0.310545

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.054177	0.5959	0.276161
2	0.103254	1.1358	0.129143
3	0.006158	0.0677	0.473054
4	-0.035786	-0.3936	0.347269
5	-0.050253	-0.5528	0.290717
6	0.016846	0.1853	0.426651
7	-0.16818	-1.85	0.033378
8	-0.048715	-0.5359	0.296519
9	-0.023748	-0.2612	0.397182
10	-0.013997	-0.154	0.438945
11	-0.104529	-1.1498	0.126242
12	-0.143584	-1.5794	0.058425
13	0.061305	0.6744	0.250686
14	0.119693	1.3166	0.095227
15	0.016901	0.1859	0.426414
16	0.047754	0.5253	0.300171
17	0.045497	0.5005	0.308829
18	-0.061134	-0.6725	0.251281
19	0.016452	0.181	0.428347
20	-0.08613	-0.9474	0.172655
21	-0.027795	-0.3058	0.38016
22	0.006021	0.0662	0.473652
23	-0.08278	-0.9106	0.182165
24	-0.033304	-0.3663	0.357375
25	-0.152759	-1.6804	0.047734
26	0.054824	0.6031	0.273799
27	0.056048	0.6165	0.269353
28	-0.057034	-0.6274	0.265798
29	-0.169454	-1.864	0.032373
30	0.096701	1.0637	0.144789
31	-0.187723	-2.065	0.020532
32	-0.029129	-0.3204	0.374602
33	-0.08344	-0.9178	0.180264
34	-0.093305	-1.0264	0.153385
35	-0.086172	-0.9479	0.172538
36	-0.048176	-0.5299	0.298562

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/23/t1261568690o5p90ybwaf6v3z0/1afkd1261568600.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/23/t1261568690o5p90ybwaf6v3z0/1afkd1261568600.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/23/t1261568690o5p90ybwaf6v3z0/2u1k21261568600.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/23/t1261568690o5p90ybwaf6v3z0/2u1k21261568600.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