*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 11 Apr 2011 13:41:35 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb.htm/, Retrieved Mon, 11 Apr 2011 15:38:10 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

12544 12264 13783 11214 11453 10883 10381 10348 10024 10805 10796 11907 12261 11377 12689 11474 10992 10764 12164 10409 10398 10349 10865 11630 12221 10884 12019 11021 10799 10423 10484 10450 9906 11049 11281 12485 12849 11380 12079 11366 11328 10444 10854 10434 10137 10992 10906 12367 14371 11695 11546 10922 10670 10254 10573 10239 10253 11176 10719 11817 12503 11510 12012 10941 11252 10662 11114 10415 10626 11411 10936 12513

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 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.452205 3.8371 0.000132 2 0.304142 2.5807 0.005949 3 -0.042025 -0.3566 0.361218 4 -0.322357 -2.7353 0.003921 5 -0.443856 -3.7662 0.000168 6 -0.520568 -4.4172 1.7e-05 7 -0.424598 -3.6028 0.000288 8 -0.31801 -2.6984 0.004337 9 0.048352 0.4103 0.34141 10 0.220054 1.8672 0.032971 11 0.347895 2.952 0.00213 12 0.636058 5.3971 0 13 0.330668 2.8058 0.003225 14 0.189736 1.61 0.055891 15 -0.096302 -0.8171 0.208269 16 -0.258116 -2.1902 0.015875 17 -0.349915 -2.9691 0.002027 18 -0.38444 -3.2621 0.000846 19 -0.347529 -2.9489 0.002149 20 -0.2147 -1.8218 0.03632 21 0.088303 0.7493 0.228067 22 0.2936 2.4913 0.007517 23 0.31483 2.6714 0.004667 24 0.492257 4.1769 4.1e-05 25 0.19577 1.6612 0.050515 26 0.078525 0.6663 0.253673 27 -0.166841 -1.4157 0.080589 28 -0.29277 -2.4842 0.007655 29 -0.306065 -2.597 0.005697 30 -0.297747 -2.5265 0.00686 31 -0.187124 -1.5878 0.058357 32 -0.146254 -1.241 0.109316 33 0.14292 1.2127 0.114601 34 0.266326 2.2599 0.013428 35 0.260967 2.2144 0.014985 36 0.36027 3.057 0.001568 37 0.140667 1.1936 0.118277 38 0.052437 0.4449 0.328848 39 -0.140219 -1.1898 0.119017 40 -0.218237 -1.8518 0.034077 41 -0.261614 -2.2199 0.014789 42 -0.221914 -1.883 0.03187 43 -0.127047 -1.078 0.14231 44 -0.062057 -0.5266 0.300056 45 0.120922 1.0261 0.15415 46 0.248223 2.1062 0.019335 47 0.225406 1.9126 0.029886 48 0.243332 2.0647 0.021275 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.452205 3.8371 0.000132 2 0.125269 1.0629 0.14568 3 -0.279656 -2.373 0.010159 4 -0.345728 -2.9336 0.002246 5 -0.199462 -1.6925 0.047438 6 -0.224168 -1.9021 0.030577 7 -0.172621 -1.4647 0.073673 8 -0.232144 -1.9698 0.026354 9 0.113229 0.9608 0.169938 10 0.020867 0.1771 0.42998 11 -0.095917 -0.8139 0.209197 12 0.423682 3.5951 0.000295 13 -0.150072 -1.2734 0.103486 14 -0.201645 -1.711 0.045692 15 -0.040019 -0.3396 0.367584 16 0.079022 0.6705 0.252334 17 0.040861 0.3467 0.364909 18 -0.09702 -0.8232 0.206546 19 -0.137439 -1.1662 0.123689 20 0.100188 0.8501 0.199036 21 0.006249 0.053 0.478929 22 0.143346 1.2163 0.113916 23 -0.093186 -0.7907 0.215854 24 0.080563 0.6836 0.248212 25 -0.153908 -1.306 0.097862 26 -0.090615 -0.7689 0.222234 27 0.001564 0.0133 0.494724 28 0.001393 0.0118 0.495302 29 0.006175 0.0524 0.479178 30 -0.022539 -0.1913 0.424433 31 0.031578 0.2679 0.394752 32 -0.097735 -0.8293 0.204836 33 -0.051183 -0.4343 0.332685 34 -0.021749 -0.1845 0.427051 35 -0.050596 -0.4293 0.334485 36 0.01701 0.1443 0.442819 37 0.078489 0.666 0.253769 38 -0.056535 -0.4797 0.316441 39 0.002177 0.0185 0.492657 40 -0.000157 -0.0013 0.499469 41 0.039299 0.3335 0.369878 42 -0.028852 -0.2448 0.403647 43 -0.027492 -0.2333 0.408103 44 0.096253 0.8167 0.208388 45 -0.077635 -0.6588 0.256077 46 -0.000875 -0.0074 0.497048 47 0.064089 0.5438 0.294124 48 -0.02604 -0.221 0.412876

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb/1i2j71302529293.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb/1i2j71302529293.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb/25tro1302529293.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb/25tro1302529293.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb/3cegk1302529293.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130252908765b4y3lr53eslpb/3cegk1302529293.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 0.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 0.0 ; 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 (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')

Copyright

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.

Privacy Policy

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