Home » date » 2009 » Nov » 29 »

ws 8 rev

*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, 29 Nov 2009 14:03:11 -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/Nov/29/t125952862362pag1o7wtz3o07.htm/, Retrieved Sun, 29 Nov 2009 22:03:46 +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/Nov/29/t125952862362pag1o7wtz3o07.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 «

4.2 4 4.9 4.6 4.3 4.3 4.6 5.1 4.8 4.5 4.9 5.1 5.1 5.2 4.5 4.6 4.9 4.6 4.4 3.7 4 4.2 3.9 3.6 3.6 3.2 3.2 3.5 3.6 3.7 3.8 3.8 3.8 3.3 3.3 3.4 3.1 3.5 4.2 4.9 5.1 5.5 5.6 6.4 6.2 7.2 7.8 7.9 7.4 7.5 6.7 5.1 4.6 4.3 3.9 2.6 2.6 1.6 0.9 0.3

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	0.307906	2.3651	0.010667
2	0.246226	1.8913	0.031749
3	0.263513	2.0241	0.023749
4	0.325047	2.4967	0.007673
5	0.108692	0.8349	0.203576
6	0.058682	0.4507	0.326913
7	0.084961	0.6526	0.258276
8	0.045689	0.3509	0.36344
9	-0.077232	-0.5932	0.277646
10	-0.139624	-1.0725	0.143938
11	-0.024466	-0.1879	0.42579
12	-0.424496	-3.2606	0.000924
13	-0.244976	-1.8817	0.032407
14	-0.123878	-0.9515	0.17261
15	-0.083821	-0.6438	0.261087
16	-0.174596	-1.3411	0.092514
17	-0.112573	-0.8647	0.195357
18	-0.0437	-0.3357	0.369155
19	-0.024084	-0.185	0.426934
20	-0.199825	-1.5349	0.065079
21	-0.098388	-0.7557	0.226409
22	0.00807	0.062	0.475392
23	-0.095762	-0.7356	0.232456
24	-0.085766	-0.6588	0.256299
25	0.052733	0.405	0.343454
26	-0.024532	-0.1884	0.425592
27	-0.029421	-0.226	0.410996
28	0.003496	0.0269	0.489333
29	0.013049	0.1002	0.460249
30	0.009092	0.0698	0.47228
31	-0.056945	-0.4374	0.331709
32	0.129901	0.9978	0.161228
33	0.118827	0.9127	0.18255
34	0.028506	0.219	0.413718
35	0.020635	0.1585	0.437301
36	0.146765	1.1273	0.132085

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.307906	2.3651	0.010667
2	0.167278	1.2849	0.101926
3	0.169201	1.2997	0.099386
4	0.21334	1.6387	0.0533
5	-0.091653	-0.704	0.242102
6	-0.077069	-0.592	0.278063
7	-0.008546	-0.0656	0.473943
8	-0.039556	-0.3038	0.381162
9	-0.098529	-0.7568	0.226086
10	-0.125746	-0.9659	0.169024
11	0.050208	0.3857	0.35057
12	-0.457321	-3.5127	0.000429
13	0.012493	0.096	0.461938
14	0.137839	1.0588	0.147012
15	0.088591	0.6805	0.249431
16	0.123957	0.9521	0.172458
17	-0.00829	-0.0637	0.474721
18	-0.031028	-0.2383	0.406224
19	-0.003361	-0.0258	0.489745
20	-0.214893	-1.6506	0.052064
21	-0.056721	-0.4357	0.33233
22	-0.064798	-0.4977	0.310265
23	-0.040151	-0.3084	0.379431
24	-0.192847	-1.4813	0.071925
25	0.093064	0.7148	0.238764
26	-0.000423	-0.0032	0.498711
27	0.121634	0.9343	0.176982
28	0.174684	1.3418	0.092405
29	-0.020837	-0.16	0.436695
30	-0.019323	-0.1484	0.441258
31	-0.057005	-0.4379	0.331543
32	-0.017357	-0.1333	0.447196
33	-0.040816	-0.3135	0.377498
34	-0.078273	-0.6012	0.274996
35	-0.05719	-0.4393	0.33103
36	-0.07928	-0.609	0.272445

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/29/t125952862362pag1o7wtz3o07/1il8q1259528589.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t125952862362pag1o7wtz3o07/1il8q1259528589.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t125952862362pag1o7wtz3o07/2kkmr1259528589.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/29/t125952862362pag1o7wtz3o07/2kkmr1259528589.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