Home » date » 2010 » Dec » 08 »

ws 9 : ACF d=0 D=1 lAG 48

*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, 08 Dec 2010 14:54:21 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/08/t12918199819x1dpqchq7x1wyp.htm/, Retrieved Wed, 08 Dec 2010 15:53:03 +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/2010/Dec/08/t12918199819x1dpqchq7x1wyp.htm/},
    year = {2010},
}
@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 = {2010},
    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 «
627 696 825 677 656 785 412 352 839 729 696 641 695 638 762 635 721 854 418 367 824 687 601 676 740 691 683 594 729 731 386 331 707 715 657 653 642 643 718 654 632 731 392 344 792 852 649 629 685 617 715 715 629 916 531 357 917 828 708 858 775 785 1006 789 734 906 532 387 991 841 892 782
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3111122.40990.009521
20.2220031.71960.045328
30.2834372.19550.016003
40.0592620.4590.32393
50.1879951.45620.075275
60.3122762.41890.009309
70.1330061.03030.153512
80.3961823.06880.001612
90.2195891.70090.047067
100.0850280.65860.256329
110.2102311.62840.054336
12-0.101466-0.7860.217494
13-0.123252-0.95470.171778
140.1796421.39150.084606
150.0381030.29510.384452
160.0305820.23690.406776
170.1186060.91870.18096
18-0.021431-0.1660.434355
19-0.042233-0.32710.372352
20-0.007883-0.06110.475756
21-0.087336-0.67650.250662
22-0.109369-0.84720.200134
23-0.104258-0.80760.211263
24-0.212366-1.6450.052602
25-0.059807-0.46330.322427
26-0.11374-0.8810.190909
27-0.182349-1.41250.081489
28-0.04714-0.36510.358145
29-0.078731-0.60990.272132
30-0.260622-2.01880.023993
31-0.134232-1.03980.151312
32-0.244332-1.89260.03162
33-0.211774-1.64040.053078
34-0.103558-0.80220.212814
35-0.079572-0.61640.269992
36-0.02813-0.21790.414125
37-0.035468-0.27470.392232
38-0.134093-1.03870.151561
39-0.081399-0.63050.265375
40-0.16173-1.25280.107578
41-0.154934-1.20010.117406
42-0.019535-0.15130.440117
43-0.025134-0.19470.423149
44-0.028821-0.22320.412052
450.0148580.11510.454379
46-0.057788-0.44760.328019
47-0.055297-0.42830.334973
48-0.131992-1.02240.155348


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3111122.40990.009521
20.138631.07380.1436
30.2041141.58110.059561
4-0.106967-0.82860.205318
50.153041.18540.120258
60.2202861.70630.046559
7-0.017695-0.13710.445718
80.3103342.40380.009665
9-0.056271-0.43590.332246
10-0.020809-0.16120.436243
110.0279550.21650.41465
12-0.297057-2.3010.012441
13-0.156322-1.21090.115348
140.1081520.83770.202751
150.0290730.22520.411296
16-0.133037-1.03050.153456
170.0264710.2050.419117
180.1010010.78230.218544
19-0.10433-0.80810.211102
200.0881340.68270.248717
210.0762720.59080.278437
22-0.242655-1.87960.032511
23-0.054805-0.42450.336352
24-0.178029-1.3790.086506
25-0.08098-0.62730.266433
26-0.070173-0.54360.294379
270.0540060.41830.3386
280.0651080.50430.30794
290.0202140.15660.438051
30-0.003069-0.02380.490555
31-0.013301-0.1030.459143
32-0.092538-0.71680.23814
330.0823060.63750.2631
34-0.064358-0.49850.309972
350.0401990.31140.378297
360.0448780.34760.364671
37-0.052953-0.41020.341569
380.0745280.57730.282952
39-0.010388-0.08050.468067
40-0.026737-0.20710.418314
410.0445380.3450.365654
420.0228350.17690.4301
43-0.061511-0.47650.317739
44-0.081015-0.62750.266343
450.0257260.19930.42136
46-0.110694-0.85740.19731
471.4e-051e-040.499958
48-0.057575-0.4460.32861
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/08/t12918199819x1dpqchq7x1wyp/1xpra1291820059.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/08/t12918199819x1dpqchq7x1wyp/1xpra1291820059.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/08/t12918199819x1dpqchq7x1wyp/2xpra1291820059.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/08/t12918199819x1dpqchq7x1wyp/2xpra1291820059.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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')
 




Copyright

Creative Commons License

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.


Privacy Policy

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