Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » May » 01 »

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 01 May 2010 12:19:02 +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/May/01/t1272716368kixl4frg6amq73y.htm/, Retrieved Sat, 01 May 2010 14:19:28 +0200

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/May/01/t1272716368kixl4frg6amq73y.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

7089 77102 35123 23109 11115 48105 7896 79102 2494 76101 9484 8183 9092 49109 27127 31116 77120 80115 67117 18110 3099 3105 5786 7387 5089 288 65108 44100 68102 8798 8183 288 3680 9374 2271 4671 3466 8068 2780 9883 6479 3373 6468 460 5553 6157 2345 3744 6144 9948 2049 9549 6049 745 9643 9938 5535 6932 1827 9726 7624 9529 7631 6132 7534 2137 8738 8836 3230 633 9126 123

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.351625	2.9836	0.001944
2	0.438807	3.7234	0.000194
3	0.045181	0.3834	0.351285
4	0.204671	1.7367	0.04336
5	-0.005291	-0.0449	0.482158
6	0.128273	1.0884	0.140017
7	0.050503	0.4285	0.334772
8	0.279624	2.3727	0.010166
9	0.30439	2.5828	0.005916
10	0.349761	2.9678	0.002035
11	0.336314	2.8537	0.002819
12	0.245423	2.0825	0.020426
13	0.138202	1.1727	0.122395
14	0.073572	0.6243	0.267208
15	0.126615	1.0744	0.143124
16	0.041364	0.351	0.363311
17	0.096972	0.8228	0.206659
18	-0.05201	-0.4413	0.330152
19	0.108236	0.9184	0.180736
20	-0.047394	-0.4022	0.344382
21	0.095356	0.8091	0.210556
22	-0.056964	-0.4834	0.315155
23	-0.003174	-0.0269	0.489294
24	-0.056779	-0.4818	0.315709
25	0.031892	0.2706	0.393731
26	-0.003788	-0.0321	0.487225
27	-0.008146	-0.0691	0.472542
28	-0.091359	-0.7752	0.220379
29	-0.10948	-0.929	0.178005
30	-0.11372	-0.9649	0.168901
31	-0.101457	-0.8609	0.196078
32	-0.089989	-0.7636	0.223806
33	-0.093089	-0.7899	0.216093
34	-0.109885	-0.9324	0.177122
35	-0.102048	-0.8659	0.194708
36	-0.113674	-0.9646	0.168997
37	-0.124863	-1.0595	0.146457
38	-0.101027	-0.8572	0.197077
39	-0.120812	-1.0251	0.154369
40	-0.128527	-1.0906	0.139546
41	-0.143504	-1.2177	0.113662
42	-0.125907	-1.0684	0.144465
43	-0.14268	-1.2107	0.114988
44	-0.105509	-0.8953	0.186812
45	-0.115546	-0.9804	0.165076
46	-0.08648	-0.7338	0.232725
47	-0.091082	-0.7729	0.221068
48	-0.089915	-0.763	0.223991

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.351625	2.9836	0.001944
2	0.359632	3.0516	0.001593
3	-0.236011	-2.0026	0.024492
4	0.12841	1.0896	0.139763
5	-0.021625	-0.1835	0.427462
6	0.025148	0.2134	0.415812
7	0.085405	0.7247	0.235496
8	0.227208	1.9279	0.028905
9	0.22563	1.9145	0.029763
10	0.043497	0.3691	0.356574
11	0.158546	1.3453	0.091374
12	-0.002536	-0.0215	0.491445
13	-0.099102	-0.8409	0.201591
14	0.014554	0.1235	0.45103
15	0.135986	1.1539	0.126183
16	-0.091478	-0.7762	0.220081
17	-0.062207	-0.5278	0.299615
18	-0.192223	-1.6311	0.053622
19	-0.032177	-0.273	0.392805
20	-0.201292	-1.708	0.04597
21	-0.04271	-0.3624	0.359055
22	-0.032186	-0.2731	0.392777
23	-0.215806	-1.8312	0.035606
24	0.005741	0.0487	0.480642
25	0.01769	0.1501	0.44055
26	0.000809	0.0069	0.497273
27	-0.032481	-0.2756	0.39182
28	-0.012604	-0.1069	0.457564
29	0.02332	0.1979	0.421848
30	-0.008244	-0.07	0.472212
31	0.094727	0.8038	0.212083
32	0.113067	0.9594	0.170283
33	0.020792	0.1764	0.430229
34	-0.03737	-0.3171	0.376044
35	0.036995	0.3139	0.377248
36	-0.087278	-0.7406	0.230679
37	-0.018416	-0.1563	0.43813
38	0.063123	0.5356	0.296938
39	0.033027	0.2802	0.390047
40	-0.140438	-1.1917	0.118655
41	-0.115286	-0.9782	0.165618
42	-0.014419	-0.1224	0.45148
43	-0.127318	-1.0803	0.1418
44	0.031007	0.2631	0.396612
45	0.075507	0.6407	0.261877
46	-0.024562	-0.2084	0.417745
47	-0.047945	-0.4068	0.342672
48	0.022165	0.1881	0.425673

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/01/t1272716368kixl4frg6amq73y/18imn1272716338.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/01/t1272716368kixl4frg6amq73y/18imn1272716338.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/01/t1272716368kixl4frg6amq73y/28imn1272716338.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/01/t1272716368kixl4frg6amq73y/28imn1272716338.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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 (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