Home » date » 2009 » Jun » 05 »

Koers € t.o.v. £

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 05 Jun 2009 06:33:28 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/05/t1244205259f1xfmnquj1s1os1.htm/, Retrieved Fri, 05 Jun 2009 14:34:21 +0200

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/Jun/05/t1244205259f1xfmnquj1s1os1.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:

Wesley De Bondt

IsPrivate?

No (this computation is public)

User-defined keywords:

Wesley De Bondt

Dataseries X:

» Textbox « » Textfile « » CSV «

0.63709 0.64218 0.65711 0.66977 0.68255 0.68902 0.71322 0.70224 0.70045 0.69919 0.69693 0.69763 0.69278 0.70196 0.69215 0.6769 0.67124 0.66533 0.67157 0.66428 0.66576 0.66942 0.68130 0.69144 0.69862 0.695 0.69867 0.68968 0.69233 0.68293 0.68399 0.66895 0.68756 0.68527 0.6776 0.68137 0.67933 0.67922 0.68598 0.68297 0.68935 0.69463 0.6833 0.68666 0.68782 0.67669 0.67511 0.67254 0.67397 0.67286 0.66341 0.668 0.68021 0.67934 0.68136 0.67562 0.6744 0.67766 0.68887 0.69614 0.70896 0.72064 0.74725 0.75094 0.77494 0.79487 0.79209 0.79152 0.79308 0.79279 0.79924 0.78668

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	0.167516	1.4115	0.08123
2	0.290528	2.448	0.008419
3	0.2041	1.7198	0.044915
4	0.103359	0.8709	0.193367
5	0.048842	0.4115	0.340955
6	-0.042228	-0.3558	0.361516
7	-0.156483	-1.3186	0.095778
8	0.024032	0.2025	0.420053
9	-0.177859	-1.4987	0.069196
10	-0.065833	-0.5547	0.290415
11	-0.05168	-0.4355	0.332275
12	-0.036222	-0.3052	0.38055
13	-0.140603	-1.1847	0.120035
14	-0.028136	-0.2371	0.406639
15	-0.09294	-0.7831	0.218078
16	0.032434	0.2733	0.392711
17	-0.010849	-0.0914	0.463711
18	-0.012968	-0.1093	0.456647
19	0.053534	0.4511	0.326652
20	0.032567	0.2744	0.39228
21	0.018994	0.16	0.436648
22	0.036335	0.3062	0.380187
23	-0.148226	-1.249	0.107888
24	0.034289	0.2889	0.386739
25	-0.148586	-1.252	0.107338
26	0.068817	0.5799	0.281922
27	-0.035011	-0.295	0.384426
28	-0.069688	-0.5872	0.279465
29	-0.004926	-0.0415	0.483504
30	0.080135	0.6752	0.250861
31	-0.151324	-1.2751	0.103219
32	0.026054	0.2195	0.413431
33	-0.113759	-0.9585	0.170519
34	-0.037299	-0.3143	0.377113
35	0.015372	0.1295	0.448654
36	-0.024069	-0.2028	0.419933
37	-0.028436	-0.2396	0.405662
38	0.091021	0.767	0.222824
39	-0.036615	-0.3085	0.379294
40	0.074879	0.6309	0.265052
41	0.009939	0.0837	0.466746
42	0.026321	0.2218	0.412559
43	-0.097783	-0.8239	0.206369
44	-0.098426	-0.8294	0.204842
45	-0.163351	-1.3764	0.086509
46	-0.065964	-0.5558	0.290041
47	-0.130239	-1.0974	0.138085
48	-0.116916	-0.9852	0.163947

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.167516	1.4115	0.08123
2	0.270044	2.2754	0.01295
3	0.136881	1.1534	0.126312
4	-0.011962	-0.1008	0.46
5	-0.057151	-0.4816	0.3158
6	-0.105861	-0.892	0.187702
7	-0.179044	-1.5086	0.067913
8	0.103653	0.8734	0.192695
9	-0.084938	-0.7157	0.238263
10	-0.002347	-0.0198	0.492139
11	0.030143	0.254	0.400119
12	0.021827	0.1839	0.4273
13	-0.160709	-1.3542	0.089991
14	-0.012036	-0.1014	0.459751
15	-0.024516	-0.2066	0.418467
16	0.057301	0.4828	0.315352
17	0.055565	0.4682	0.320539
18	-0.020959	-0.1766	0.430161
19	0.017797	0.15	0.440612
20	-0.026228	-0.221	0.412864
21	0.003402	0.0287	0.488605
22	-0.033684	-0.2838	0.388685
23	-0.178697	-1.5057	0.068287
24	0.052239	0.4402	0.330574
25	-0.083216	-0.7012	0.242739
26	0.17883	1.5068	0.068143
27	0.005211	0.0439	0.482551
28	-0.100411	-0.8461	0.200176
29	-0.035898	-0.3025	0.381585
30	0.091479	0.7708	0.221687
31	-0.182926	-1.5414	0.063837
32	-0.026118	-0.2201	0.413222
33	-0.014756	-0.1243	0.4507
34	-0.018694	-0.1575	0.437642
35	0.125913	1.061	0.146152
36	0.005055	0.0426	0.483074
37	-0.082924	-0.6987	0.243502
38	-0.029324	-0.2471	0.402778
39	0.047216	0.3979	0.345966
40	-0.007716	-0.065	0.474173
41	-0.026643	-0.2245	0.411507
42	0.043655	0.3678	0.357041
43	-0.181583	-1.53	0.065225
44	-0.090879	-0.7658	0.22318
45	-0.10049	-0.8467	0.199991
46	-0.065993	-0.5561	0.289957
47	-0.004303	-0.0363	0.485589
48	-0.010397	-0.0876	0.465218

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205259f1xfmnquj1s1os1/1vmdx1244205207.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205259f1xfmnquj1s1os1/1vmdx1244205207.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205259f1xfmnquj1s1os1/2sh211244205207.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/05/t1244205259f1xfmnquj1s1os1/2sh211244205207.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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