Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Nov » 16 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Nov 2010 12:27:30 +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/Nov/16/t1289910399u9rgu3zzdgmkr97.htm/, Retrieved Tue, 16 Nov 2010 13:26:42 +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/Nov/16/t1289910399u9rgu3zzdgmkr97.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:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

98.1 98.0 98.3 98.5 98.7 99.3 99.5 99.8 100.3 99.3 99.6 99.3 99.4 99.7 100.0 99.3 100.3 100.8 101.4 101.1 100.6 99.5 99.1 98.8 99.1 98.8 98.5 99.0 99.0 100.6 101.0 101.8 101.8 101.8 101.8 102.4 103.0 103.3 103.6 104.1 104.5 105.6 105.9 106.0 106.3 107.3 107.1 107.3 107.7 108.0 108.9 108.5 109.0 108.9 109.0 108.9 110.3 109.4 108.6 108.0 108.4 108.0 108.0 107.6 107.5 107.9 108.0 107.5 106.8 106.7 107.2 107.8 106.6 106.3 105.7 105.9 106.5 107.2 108.3

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	'Gwilym Jenkins' @ 72.249.127.135
R Framework error message	Warning: there are blank lines in the 'Data' field. Please, use NA for missing data - blank lines are simply deleted and are NOT treated as missing values.

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.12475	1.1018	0.136976
2	0.160189	1.4148	0.08056
3	-0.127656	-1.1274	0.131509
4	0.080912	0.7146	0.238495
5	0.026847	0.2371	0.4066
6	0.167979	1.4836	0.070979
7	-0.078797	-0.6959	0.244274
8	-0.057931	-0.5116	0.305177
9	-0.039133	-0.3456	0.365283
10	0.028877	0.255	0.399683
11	0.186909	1.6507	0.051407
12	0.036553	0.3228	0.373846
13	0.043912	0.3878	0.349601
14	-0.02017	-0.1781	0.429538
15	0.078052	0.6893	0.24633
16	-0.155024	-1.3691	0.087443
17	-0.093768	-0.8281	0.205061
18	-0.229907	-2.0305	0.022858
19	-0.097337	-0.8597	0.196306
20	-0.229275	-2.0249	0.023149
21	0.057812	0.5106	0.305544
22	-0.158397	-1.3989	0.082899
23	-0.042177	-0.3725	0.355265
24	-0.111107	-0.9813	0.164747
25	0.049639	0.4384	0.331154
26	-0.067113	-0.5927	0.277541
27	-0.069059	-0.6099	0.271847
28	-0.129102	-1.1402	0.128846
29	-0.064841	-0.5727	0.284262
30	-0.135644	-1.198	0.117276
31	-0.035258	-0.3114	0.378169
32	-0.05042	-0.4453	0.328671
33	-0.024513	-0.2165	0.414586
34	0.004206	0.0371	0.485233
35	-0.036935	-0.3262	0.372572
36	0.090949	0.8032	0.212138
37	0.054041	0.4773	0.31725
38	0.074875	0.6613	0.255191
39	-0.014573	-0.1287	0.448962
40	0.11105	0.9808	0.16487
41	-0.101669	-0.8979	0.185996
42	0.148323	1.31	0.097028
43	-0.06404	-0.5656	0.286648
44	-0.002267	-0.02	0.492039
45	-0.104187	-0.9202	0.180164
46	0.117047	1.0337	0.152227
47	0.082143	0.7255	0.235169
48	0.165727	1.4637	0.073652

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.12475	1.1018	0.136976
2	0.146913	1.2975	0.099142
3	-0.169262	-1.4949	0.069491
4	0.098727	0.8719	0.192961
5	0.054746	0.4835	0.315047
6	0.114398	1.0103	0.157729
7	-0.113221	-0.9999	0.160216
8	-0.079386	-0.7011	0.242659
9	0.052908	0.4673	0.320805
10	0.002407	0.0213	0.491548
11	0.182327	1.6103	0.05569
12	-0.032112	-0.2836	0.388731
13	0.023051	0.2036	0.419605
14	0.033184	0.2931	0.385122
15	0.035716	0.3154	0.376635
16	-0.208343	-1.84	0.034784
17	-0.149259	-1.3182	0.095644
18	-0.112608	-0.9945	0.16152
19	-0.067226	-0.5937	0.277209
20	-0.199339	-1.7605	0.04112
21	0.102243	0.903	0.184657
22	-0.097609	-0.8621	0.19565
23	-0.066851	-0.5904	0.27831
24	-0.015079	-0.1332	0.4472
25	0.027788	0.2454	0.403389
26	-0.088006	-0.7772	0.219682
27	-0.113251	-1.0002	0.160152
28	-0.004655	-0.0411	0.483656
29	0.01645	0.1453	0.442432
30	-0.134331	-1.1864	0.119536
31	0.089528	0.7907	0.215762
32	-0.029649	-0.2619	0.397062
33	0.011489	0.1015	0.459721
34	0.012287	0.1085	0.456932
35	-0.078292	-0.6915	0.245666
36	0.000932	0.0082	0.496728
37	0.033885	0.2993	0.382766
38	0.006423	0.0567	0.477455
39	-0.05973	-0.5275	0.299664
40	0.044534	0.3933	0.34758
41	-0.036482	-0.3222	0.374081
42	0.055315	0.4885	0.313274
43	-0.101809	-0.8992	0.185669
44	-0.133822	-1.1819	0.120421
45	-0.086705	-0.7658	0.223065
46	0.023155	0.2045	0.419249
47	0.041511	0.3666	0.357449
48	0.009161	0.0809	0.46786

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289910399u9rgu3zzdgmkr97/16sr31289910449.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289910399u9rgu3zzdgmkr97/16sr31289910449.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289910399u9rgu3zzdgmkr97/2h1q51289910449.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Nov/16/t1289910399u9rgu3zzdgmkr97/2h1q51289910449.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; 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 (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