Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Dec » 25 »

*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: Sat, 25 Dec 2010 05:30:33 +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/25/t12932548832flul1ucjewsb9k.htm/, Retrieved Sat, 25 Dec 2010 06:28:04 +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/25/t12932548832flul1ucjewsb9k.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 «

19437.50 18885.1 16579 17203.6 19165.7 17107.6 17690.5 18664.9 15878.6 16014.6 16842.6 15986.9 16773.3 16263.1 13597.3 14285.6 15496.8 13916.8 14345.5 15761.3 14531.6 15076.6 15816.8 17180.4 20432.3 21289.5 18203.6 20159.5 21053.2 19673.6 21473.3 20244.7 19049.6 20194.3 18021.9 19537.3 20286.6 17967.7 16409.9 17802.7 18509.9 18161.3 16721.3 19106.9 16772.1 17463.6 16162.3 17862.9 17664.9 17180.8 15672.7 15189.8 17699.4 17444.6 15930.7 19691.6 16698 16896.2 17972.4 17637.4 15214

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

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.201278	-1.3945	0.084795
2	0.012445	0.0862	0.465826
3	0.43927	3.0434	0.001894
4	-0.244241	-1.6922	0.04855
5	0.1661	1.1508	0.127763
6	0.207999	1.4411	0.07803
7	-0.379454	-2.6289	0.005736
8	0.07466	0.5173	0.303676
9	0.027653	0.1916	0.424437
10	-0.230419	-1.5964	0.058483
11	0.029206	0.2023	0.420251
12	-0.188381	-1.3051	0.099033
13	-0.20387	-1.4124	0.082134
14	0.021846	0.1514	0.440165
15	-0.009919	-0.0687	0.472749
16	-0.149356	-1.0348	0.152981
17	0.009142	0.0633	0.47488
18	-0.094676	-0.6559	0.257498
19	-0.023469	-0.1626	0.43576
20	0.185488	1.2851	0.102463
21	-0.191562	-1.3272	0.095364
22	0.018583	0.1287	0.449049
23	0.184293	1.2768	0.103904
24	-0.073389	-0.5085	0.306733
25	0.114152	0.7909	0.216456
26	0.115521	0.8004	0.213724
27	-0.133843	-0.9273	0.179207
28	0.109625	0.7595	0.225633
29	0.074674	0.5174	0.303641
30	-0.023808	-0.1649	0.434838
31	0.025702	0.1781	0.42971
32	0.0102	0.0707	0.471978
33	-0.016241	-0.1125	0.455439
34	0.024313	0.1684	0.43347
35	0.005652	0.0392	0.484464
36	-0.110477	-0.7654	0.223888
37	-0.039621	-0.2745	0.392439
38	0.026578	0.1841	0.427341
39	-0.038621	-0.2676	0.395086
40	-0.039336	-0.2725	0.393194
41	0.002783	0.0193	0.492348
42	-0.01936	-0.1341	0.446931
43	0.007067	0.049	0.480578
44	0.006153	0.0426	0.483088
45	0.006332	0.0439	0.482595
46	0.006645	0.046	0.481735
47	-0.000761	-0.0053	0.497907
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.201278	-1.3945	0.084795
2	-0.029253	-0.2027	0.420124
3	0.454757	3.1506	0.001402
4	-0.089897	-0.6228	0.268174
5	0.098242	0.6806	0.249685
6	0.09424	0.6529	0.258463
7	-0.278942	-1.9326	0.029601
8	-0.22121	-1.5326	0.065971
9	-0.057772	-0.4003	0.345371
10	0.036298	0.2515	0.401259
11	-0.083143	-0.576	0.283641
12	-0.184071	-1.2753	0.104174
13	-0.120249	-0.8331	0.204454
14	-0.098195	-0.6803	0.249788
15	0.149311	1.0345	0.153053
16	0.003292	0.0228	0.490948
17	-0.003438	-0.0238	0.490547
18	-0.171385	-1.1874	0.120459
19	-0.095911	-0.6645	0.254779
20	0.12112	0.8391	0.202774
21	-0.174876	-1.2116	0.115803
22	-0.037186	-0.2576	0.398895
23	0.084633	0.5864	0.280192
24	0.0777	0.5383	0.296421
25	-0.096299	-0.6672	0.253927
26	-0.008702	-0.0603	0.476089
27	0.058804	0.4074	0.342761
28	-0.133129	-0.9223	0.180481
29	-0.087207	-0.6042	0.274281
30	0.102701	0.7115	0.240099
31	-0.020611	-0.1428	0.443525
32	-0.015779	-0.1093	0.456702
33	0.020267	0.1404	0.44446
34	0.015216	0.1054	0.45824
35	-0.114204	-0.7912	0.216352
36	-0.063789	-0.4419	0.330258
37	0.015941	0.1104	0.45626
38	-0.013579	-0.0941	0.462721
39	-0.009435	-0.0654	0.474077
40	-0.021758	-0.1507	0.440406
41	0.064052	0.4438	0.329603
42	0.017732	0.1229	0.451368
43	-0.020305	-0.1407	0.444358
44	0.014534	0.1007	0.460105
45	-0.010757	-0.0745	0.470451
46	-0.015707	-0.1088	0.456899
47	-0.022878	-0.1585	0.437363
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/25/t12932548832flul1ucjewsb9k/1yxgw1293255030.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/25/t12932548832flul1ucjewsb9k/1yxgw1293255030.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/25/t12932548832flul1ucjewsb9k/2yxgw1293255030.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/25/t12932548832flul1ucjewsb9k/2yxgw1293255030.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ;

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