Home » date » 2010 » Dec » 15 »

Paper DMA ACF, PACF Olie

*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, 15 Dec 2010 19:15:31 +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/15/t12924406213ct7bnsufijuwaf.htm/, Retrieved Wed, 15 Dec 2010 20:17:02 +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/15/t12924406213ct7bnsufijuwaf.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 «

25,64 27,97 27,62 23,31 29,07 29,58 28,63 29,92 32,68 31,54 32,43 26,54 25,85 27,6 25,71 25,38 28,57 27,64 25,36 25,9 26,29 21,74 19,2 19,32 19,82 20,36 24,31 25,97 25,61 24,67 25,59 26,09 28,37 27,34 24,46 27,46 30,23 32,33 29,87 24,87 25,48 27,28 28,24 29,58 26,95 29,08 28,76 29,59 30,7 30,52 32,67 33,19 37,13 35,54 37,75 41,84 42,94 49,14 44,61 40,22 44,23 45,85 53,38 53,26 51,8 55,3 57,81 63,96 63,77 59,15 56,12 57,42 63,52 61,71 63,01 68,18 72,03 69,75 74,41 74,33 64,24 60,03 59,44 62,5 55,04 58,34 61,92 67,65 67,68 70,3 75,26 71,44 76,36 81,71 92,6 90,6 92,23 94,09 102,79 109,65 124,05 132,69 135,81 116,07 101,42 75,73 55,48 43,8 45,29

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	3 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.150842	1.5676	0.059951
2	-0.086445	-0.8984	0.185496
3	0.037758	0.3924	0.347769
4	-0.02056	-0.2137	0.415606
5	-0.020744	-0.2156	0.414862
6	-0.022369	-0.2325	0.408308
7	-0.072594	-0.7544	0.226119
8	-0.067451	-0.701	0.242414
9	-0.007935	-0.0825	0.467217
10	0.115231	1.1975	0.116863
11	0.090029	0.9356	0.17578
12	0.028274	0.2938	0.384724
13	-0.210385	-2.1864	0.015473
14	-0.142509	-1.481	0.070759
15	0.035851	0.3726	0.355097
16	-0.018899	-0.1964	0.42233
17	-0.072717	-0.7557	0.225737
18	-0.062022	-0.6445	0.260294
19	0.069397	0.7212	0.236175
20	0.020816	0.2163	0.414569
21	-0.036692	-0.3813	0.351861
22	0.122226	1.2702	0.10337
23	-0.057225	-0.5947	0.276645
24	-0.029739	-0.3091	0.378935
25	0.15725	1.6342	0.052565
26	0.061276	0.6368	0.262801
27	0.023313	0.2423	0.404512
28	0.005983	0.0622	0.47527
29	-0.063545	-0.6604	0.25521
30	0.002101	0.0218	0.49131
31	0.046114	0.4792	0.316373
32	-0.048158	-0.5005	0.308881
33	-0.066276	-0.6888	0.246227
34	-0.102685	-1.0671	0.144146
35	0.008951	0.093	0.463029
36	0.112955	1.1739	0.121517
37	0.068717	0.7141	0.238344
38	-0.016674	-0.1733	0.431376
39	-0.068657	-0.7135	0.238538
40	-0.054361	-0.5649	0.286645
41	0.032101	0.3336	0.369664
42	0.012934	0.1344	0.446661
43	-0.092763	-0.964	0.168594
44	-0.054615	-0.5676	0.285749
45	-0.063917	-0.6642	0.253974
46	0.016611	0.1726	0.431634
47	0.072409	0.7525	0.226696
48	0.057453	0.5971	0.275857
49	-0.057843	-0.6011	0.274509
50	-0.031438	-0.3267	0.37226
51	-0.058782	-0.6109	0.271282
52	-0.010503	-0.1092	0.456642
53	-0.016779	-0.1744	0.430951
54	-0.155265	-1.6136	0.05477
55	-0.077901	-0.8096	0.209982
56	0.010769	0.1119	0.455549
57	-0.032327	-0.336	0.368778
58	0.02624	0.2727	0.392804
59	0.050548	0.5253	0.300222
60	-0.014694	-0.1527	0.439457

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.150842	1.5676	0.059951
2	-0.11174	-1.1612	0.124052
3	0.071613	0.7442	0.229178
4	-0.050718	-0.5271	0.299612
5	0.002573	0.0267	0.489359
6	-0.030481	-0.3168	0.376015
7	-0.065038	-0.6759	0.250278
8	-0.051078	-0.5308	0.298316
9	-0.001242	-0.0129	0.494864
10	0.115517	1.2005	0.116288
11	0.055003	0.5716	0.284388
12	0.026041	0.2706	0.393599
13	-0.236975	-2.4627	0.007685
14	-0.082663	-0.8591	0.196104
15	0.023716	0.2465	0.402894
16	-0.014358	-0.1492	0.440832
17	-0.039318	-0.4086	0.34182
18	-0.049717	-0.5167	0.303222
19	0.091965	0.9557	0.170672
20	-0.054295	-0.5642	0.286878
21	-0.073443	-0.7632	0.223493
22	0.104914	1.0903	0.139005
23	-0.067628	-0.7028	0.241842
24	0.073119	0.7599	0.224492
25	0.151585	1.5753	0.059053
26	-0.00465	-0.0483	0.480774
27	0.005344	0.0555	0.477907
28	-0.000924	-0.0096	0.496177
29	-0.070704	-0.7348	0.232033
30	-0.001594	-0.0166	0.493408
31	0.024261	0.2521	0.40071
32	-0.023803	-0.2474	0.402545
33	-0.010092	-0.1049	0.458334
34	-0.1661	-1.7262	0.043589
35	0.060238	0.626	0.266312
36	0.077161	0.8019	0.212191
37	0.019629	0.204	0.419372
38	0.050634	0.5262	0.299911
39	-0.037495	-0.3897	0.348777
40	-0.033199	-0.345	0.365376
41	0.01712	0.1779	0.429561
42	-0.000573	-0.006	0.49763
43	-0.056228	-0.5843	0.280105
44	-0.010578	-0.1099	0.456334
45	-0.06396	-0.6647	0.253831
46	0.016915	0.1758	0.430397
47	-0.078785	-0.8188	0.207363
48	0.057799	0.6007	0.274661
49	-0.026227	-0.2726	0.392858
50	-0.038622	-0.4014	0.344468
51	-0.069654	-0.7239	0.235355
52	-0.020422	-0.2122	0.416163
53	-0.033421	-0.3473	0.364512
54	-0.116194	-1.2075	0.114934
55	-0.034765	-0.3613	0.359295
56	-0.008681	-0.0902	0.46414
57	-0.069559	-0.7229	0.235659
58	-0.01319	-0.1371	0.445615
59	0.075613	0.7858	0.216855
60	-0.065031	-0.6758	0.250299

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/15/t12924406213ct7bnsufijuwaf/1x2jl1292440526.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/15/t12924406213ct7bnsufijuwaf/1x2jl1292440526.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/15/t12924406213ct7bnsufijuwaf/28bio1292440526.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/15/t12924406213ct7bnsufijuwaf/28bio1292440526.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/15/t12924406213ct7bnsufijuwaf/3ikh91292440526.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/15/t12924406213ct7bnsufijuwaf/3ikh91292440526.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.5 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = -0.5 ; par3 = 1 ; par4 = 0 ; 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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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