Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Dec » 22 »

*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, 22 Dec 2010 12:58:05 +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/22/t1293022832bz0dx63urzrjhbr.htm/, Retrieved Wed, 22 Dec 2010 14:00:33 +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/22/t1293022832bz0dx63urzrjhbr.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 «

377 370 358 357 349 348 369 381 368 361 351 351 358 354 347 345 343 340 362 370 373 371 354 357 363 364 363 358 357 357 380 378 376 380 379 384 392 394 392 396 392 396 419 421 420 418 410 418 426 428 430 424 423 427 441 449 452 462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412 406 398 397 385 390 413 413 401 397 397 409 419 424 428 430 424 433 456 459 446 441 439 454 460 457 451 444 437 443 471 469 454 444 436

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.168716	1.8327	0.034683
2	0.13251	1.4394	0.076339
3	0.139695	1.5175	0.06591
4	0.091131	0.9899	0.162116
5	0.179421	1.949	0.026834
6	0.103546	1.1248	0.131479
7	0.041907	0.4552	0.324892
8	0.150009	1.6295	0.052935
9	0.098817	1.0734	0.142634
10	-0.121807	-1.3232	0.09417
11	-0.010324	-0.1121	0.45545
12	-0.238406	-2.5897	0.005407
13	-0.014541	-0.158	0.43738
14	0.167842	1.8232	0.0354
15	-0.016704	-0.1815	0.428163
16	0.025699	0.2792	0.390303
17	-0.10322	-1.1213	0.132227
18	0.035429	0.3849	0.350516
19	0.045741	0.4969	0.310102
20	-0.071196	-0.7734	0.220422
21	-0.112154	-1.2183	0.11277
22	-0.03838	-0.4169	0.338751
23	0.063957	0.6948	0.244287
24	-0.176771	-1.9202	0.028621
25	-0.165546	-1.7983	0.037344
26	-0.27971	-3.0384	0.001464
27	-0.067179	-0.7297	0.233495
28	-0.182789	-1.9856	0.024699
29	-0.030875	-0.3354	0.368965
30	-0.118338	-1.2855	0.100571
31	-0.109596	-1.1905	0.118116
32	-0.043172	-0.469	0.319978
33	-0.05348	-0.5809	0.281193
34	-0.050314	-0.5465	0.292861
35	-0.002808	-0.0305	0.487857
36	0.052781	0.5733	0.283751
37	0.076653	0.8327	0.203359
38	0.103172	1.1207	0.132337
39	-0.105015	-1.1408	0.12814
40	-0.051127	-0.5554	0.289842
41	0.028647	0.3112	0.378103
42	-0.031476	-0.3419	0.366509
43	0.024512	0.2663	0.395248
44	-0.057726	-0.6271	0.265916
45	-0.082105	-0.8919	0.187135
46	-0.020771	-0.2256	0.41094
47	-0.117331	-1.2745	0.102488
48	-0.088188	-0.958	0.170019

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.168716	1.8327	0.034683
2	0.107093	1.1633	0.123522
3	0.105857	1.1499	0.126254
4	0.043946	0.4774	0.31699
5	0.141746	1.5398	0.063149
6	0.037076	0.4027	0.343932
7	-0.020432	-0.2219	0.41237
8	0.106319	1.1549	0.125228
9	0.039466	0.4287	0.334457
10	-0.207523	-2.2543	0.013012
11	-0.026746	-0.2905	0.385957
12	-0.263042	-2.8574	0.002525
13	0.037939	0.4121	0.340499
14	0.224388	2.4375	0.008141
15	0.031374	0.3408	0.366928
16	0.041236	0.4479	0.32751
17	-0.107358	-1.1662	0.122942
18	0.111586	1.2121	0.113942
19	0.030271	0.3288	0.371436
20	-0.079929	-0.8683	0.193508
21	-0.114562	-1.2445	0.107898
22	-0.181229	-1.9687	0.025669
23	0.087308	0.9484	0.17243
24	-0.234597	-2.5484	0.006053
25	-0.090012	-0.9778	0.165091
26	-0.124699	-1.3546	0.089071
27	0.020606	0.2238	0.411633
28	-0.090704	-0.9853	0.163247
29	0.150748	1.6375	0.052091
30	0.050949	0.5534	0.290503
31	0.049267	0.5352	0.296766
32	-0.017072	-0.1855	0.426597
33	0.049951	0.5426	0.294211
34	-0.081979	-0.8905	0.187498
35	0.142939	1.5527	0.061585
36	-0.072554	-0.7881	0.216098
37	-0.052721	-0.5727	0.283969
38	-0.023746	-0.258	0.398446
39	-0.116175	-1.262	0.104723
40	-0.035413	-0.3847	0.350582
41	0.011318	0.1229	0.45118
42	-0.001601	-0.0174	0.493075
43	0.000127	0.0014	0.499449
44	0.002011	0.0218	0.491304
45	-0.050007	-0.5432	0.294003
46	-0.059382	-0.6451	0.260073
47	-0.025383	-0.2757	0.391619
48	-0.057184	-0.6212	0.267839

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293022832bz0dx63urzrjhbr/1aj021293022681.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293022832bz0dx63urzrjhbr/1aj021293022681.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293022832bz0dx63urzrjhbr/2aj021293022681.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/22/t1293022832bz0dx63urzrjhbr/2aj021293022681.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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')

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