KDGP2W12

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 14 Apr 2011 15:36:58 +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/14/t1302795221lft6ogae1kt5rim.htm/, Retrieved Thu, 14 Apr 2011 17:33:45 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

315.42 316.32 316.49 317.56 318.13 318.00 316.39 314.66 313.68 313.18 314.66 315.43 316.27 316.81 317.42 318.87 319.87 319.43 318.01 315.75 314.00 313.68 314.84 316.03 316.73 317.54 318.38 319.31 320.42 319.61 318.42 316.64 314.83 315.15 315.95 316.85 317.78 318.40 319.53 320.41 320.85 320.45 319.44 317.25 316.12 315.27 316.53 317.53 318.58 318.92 319.70 321.22 322.08 321.31 319.58 317.61 316.05 315.83 316.91 318.20 319.41 320.07 320.74 321.40 322.06 321.73 320.27 318.54 316.54 316.71 317.53 318.55 319.27 320.28 320.73 321.97 322.00 321.71 321.05 318.71 317.65 317.14 318.71 319.25 320.46 321.43 322.22 323.54 323.91 323.59 322.26 320.21 318.48 317.94 319.63 320.87 322.17 322.34 322.88 324.25 324.83 323.93 322.39 320.76 319.10 319.23 320.56 321.80 322.40 322.99 323.73 324.86 325.41 325.19 323.97 321.92 320.10 319.96 320.97 322.48 323.52 323.89 325.04 326.01 326.67 325.96 325.13 322.90 etc...

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 0.701906 13.7366 0 2 0.24288 4.7533 1e-06 3 -0.204643 -4.0049 3.7e-05 4 -0.459409 -8.9908 0 5 -0.524403 -10.2628 0 6 -0.510634 -9.9933 0 7 -0.510322 -9.9872 0 8 -0.445232 -8.7134 0 9 -0.17697 -3.4634 0.000297 10 0.241029 4.717 2e-06 11 0.704526 13.7878 0 12 0.916142 17.9293 0 13 0.696866 13.6379 0 14 0.233736 4.5743 3e-06 15 -0.198747 -3.8896 5.9e-05 16 -0.448332 -8.774 0 17 -0.512762 -10.0349 0 18 -0.494537 -9.6783 0 19 -0.493337 -9.6548 0 20 -0.423799 -8.2939 0 21 -0.170083 -3.3286 0.000479 22 0.238146 4.6606 2e-06 23 0.681036 13.3281 0 24 0.879683 17.2157 0 25 0.674938 13.2088 0 26 0.22316 4.3673 8e-06 27 -0.190448 -3.7271 0.000111 28 -0.436111 -8.5349 0 29 -0.496427 -9.7153 0 30 -0.483548 -9.4632 0 31 -0.476831 -9.3318 0 32 -0.405769 -7.941 0 33 -0.164529 -3.2199 0.000696 34 0.237783 4.6535 2e-06 35 0.658683 12.8907 0 36 0.852773 16.6891 0 37 0.652043 12.7607 0 38 0.218131 4.2689 1.2e-05 39 -0.19474 -3.8111 8.1e-05 40 -0.424309 -8.3039 0 41 -0.481214 -9.4175 0 42 -0.46772 -9.1535 0 43 -0.455583 -8.9159 0 44 -0.387019 -7.5741 0 45 -0.159341 -3.1184 0.000978 46 0.226054 4.424 6e-06 47 0.641571 12.5558 0 48 0.822277 16.0923 0 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.701906 13.7366 0 2 -0.492366 -9.6358 0 3 -0.295223 -5.7776 0 4 -0.065832 -1.2884 0.0992 5 -0.158402 -3.1 0.001039 6 -0.356508 -6.977 0 7 -0.52723 -10.3181 0 8 -0.520909 -10.1944 0 9 -0.324194 -6.3446 0 10 -0.316643 -6.1968 0 11 0.132371 2.5906 0.004974 12 0.345609 6.7637 0 13 -0.001823 -0.0357 0.485781 14 -0.119317 -2.3351 0.010028 15 0.011398 0.2231 0.4118 16 0.064636 1.265 0.103327 17 0.046633 0.9126 0.181008 18 0.073158 1.4317 0.076518 19 0.038207 0.7477 0.227542 20 -0.012395 -0.2426 0.404234 21 0.013422 0.2627 0.396473 22 -0.066658 -1.3045 0.09642 23 0.041959 0.8211 0.206037 24 0.100474 1.9663 0.024992 25 -0.022833 -0.4468 0.327621 26 -0.082801 -1.6204 0.052979 27 0.050577 0.9898 0.161443 28 0.028417 0.5561 0.28922 29 0.005917 0.1158 0.453934 30 -0.02365 -0.4628 0.321873 31 0.011034 0.2159 0.414577 32 0.002806 0.0549 0.478119 33 -0.016531 -0.3235 0.373239 34 -0.013455 -0.2633 0.396224 35 0.016776 0.3283 0.371427 36 0.078203 1.5305 0.063364 37 -0.012343 -0.2416 0.404623 38 -0.025446 -0.498 0.30939 39 -0.029192 -0.5713 0.284065 40 0.035387 0.6925 0.244513 41 0.030091 0.5889 0.278141 42 -0.000425 -0.0083 0.496687 43 0.042653 0.8347 0.202193 44 0.04051 0.7928 0.214193 45 -0.025759 -0.5041 0.307239 46 -0.046446 -0.909 0.181972 47 0.056326 1.1023 0.135508 48 0.040965 0.8017 0.211612

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/14/t1302795221lft6ogae1kt5rim/14hbs1302795416.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/14/t1302795221lft6ogae1kt5rim/14hbs1302795416.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/14/t1302795221lft6ogae1kt5rim/28pla1302795416.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/14/t1302795221lft6ogae1kt5rim/28pla1302795416.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/14/t1302795221lft6ogae1kt5rim/35dax1302795416.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/14/t1302795221lft6ogae1kt5rim/35dax1302795416.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 (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