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: Fri, 20 May 2011 00:05:17 +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/May/20/t1305849703mx5ary7sv37t2jq.htm/, Retrieved Fri, 20 May 2011 02:01:45 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

7,24 7,52 7,57 7,59 7,58 7,55 7,52 7,55 7,62 7,64 7,68 7,69 7,7 7,6 7,51 7,66 7,69 7,66 7,7 7,72 7,74 7,76 7,72 7,73 7,75 8,1 8,22 8,32 8,07 8,18 8,33 8,34 8,25 8,36 8,36 8,34 8,41 8,39 8,43 8,44 8,49 8,47 8,53 8,52 8,51 8,53 8,54 8,53 8,47 8,63 8,67 8,73 8,57 8,55 8,63 8,65 8,44 8,62 8,37 8,59 8,84 8,72 8,8 8,69 8,68 8,57 8,85 8,85 8,85 8,93 8,75 8,78 8,77 9,03 9,01 9,07 8,99 9,02 8,99 8,98 8,94 8,94 8,75 8,86

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 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.225695 -2.0562 0.021453 2 -0.00964 -0.0878 0.465112 3 -0.174795 -1.5925 0.057542 4 -0.027761 -0.2529 0.400481 5 -0.017581 -0.1602 0.436566 6 0.09763 0.8894 0.188167 7 0.078844 0.7183 0.237293 8 -0.127562 -1.1621 0.124255 9 0.104753 0.9543 0.171341 10 -0.073956 -0.6738 0.251164 11 0.026637 0.2427 0.404428 12 -0.060293 -0.5493 0.292138 13 -0.048895 -0.4455 0.328576 14 0.028164 0.2566 0.399066 15 0.064418 0.5869 0.27944 16 -0.09803 -0.8931 0.187193 17 0.036645 0.3338 0.369668 18 0.051067 0.4652 0.321487 19 -0.031 -0.2824 0.389161 20 -0.008194 -0.0747 0.470335 21 -0.08484 -0.7729 0.22088 22 -0.065663 -0.5982 0.275662 23 -0.073723 -0.6717 0.251835 24 0.401978 3.6622 0.000219 25 -0.126803 -1.1552 0.125655 26 0.097078 0.8844 0.189511 27 -0.16479 -1.5013 0.068535 28 0.026319 0.2398 0.405549 29 0.004286 0.0391 0.484472 30 0.145161 1.3225 0.094821 31 -0.161849 -1.4745 0.072063 32 -0.040422 -0.3683 0.356809 33 0.0054 0.0492 0.480442 34 0.054697 0.4983 0.309789 35 0.111778 1.0184 0.155735 36 -0.034596 -0.3152 0.376708 37 0.011122 0.1013 0.459769 38 -0.12985 -1.183 0.120095 39 0.081504 0.7425 0.229929 40 -0.058258 -0.5308 0.298503 41 0.047701 0.4346 0.332497 42 0.07929 0.7224 0.236051 43 -0.038149 -0.3476 0.364528 44 0.052315 0.4766 0.317447 45 -0.102503 -0.9338 0.176546 46 -0.053813 -0.4903 0.312623 47 -0.006589 -0.06 0.476138 48 0.142926 1.3021 0.098239 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.225695 -2.0562 0.021453 2 -0.06383 -0.5815 0.281233 3 -0.20262 -1.846 0.034232 4 -0.131075 -1.1941 0.117911 5 -0.089173 -0.8124 0.209441 6 0.026666 0.2429 0.404326 7 0.08662 0.7891 0.216139 8 -0.103667 -0.9445 0.17384 9 0.092973 0.847 0.199708 10 0.001971 0.018 0.492859 11 -0.000361 -0.0033 0.498692 12 -0.046339 -0.4222 0.336998 13 -0.111735 -1.018 0.155829 14 -0.007905 -0.072 0.471379 15 0.039606 0.3608 0.359571 16 -0.145402 -1.3247 0.094457 17 0.003444 0.0314 0.487523 18 0.065935 0.6007 0.274839 19 -0.001299 -0.0118 0.495291 20 -0.014347 -0.1307 0.448162 21 -0.113977 -1.0384 0.151055 22 -0.104987 -0.9565 0.170803 23 -0.153156 -1.3953 0.083322 24 0.299563 2.7292 0.003875 25 -0.001212 -0.011 0.495609 26 0.093568 0.8524 0.198209 27 -0.001026 -0.0093 0.496282 28 0.060507 0.5512 0.291473 29 0.061715 0.5623 0.28773 30 0.134107 1.2218 0.112626 31 -0.204277 -1.8611 0.033139 32 -0.066369 -0.6047 0.27353 33 -0.121708 -1.1088 0.135357 34 0.071956 0.6555 0.256964 35 0.066016 0.6014 0.274594 36 0.051728 0.4713 0.319344 37 0.129465 1.1795 0.120787 38 -0.052427 -0.4776 0.317084 39 0.027986 0.255 0.39969 40 0.047151 0.4296 0.334313 41 -0.065321 -0.5951 0.276697 42 0.092823 0.8457 0.200088 43 -0.050376 -0.4589 0.323736 44 0.022855 0.2082 0.417786 45 0.045225 0.412 0.340693 46 -0.022914 -0.2088 0.417576 47 0.099318 0.9048 0.184086 48 -0.031167 -0.2839 0.388579

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/20/t1305849703mx5ary7sv37t2jq/1np8w1305849916.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849703mx5ary7sv37t2jq/1np8w1305849916.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849703mx5ary7sv37t2jq/24v1t1305849916.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849703mx5ary7sv37t2jq/24v1t1305849916.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849703mx5ary7sv37t2jq/3scgb1305849916.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849703mx5ary7sv37t2jq/3scgb1305849916.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