*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 04:15:38 +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/t1305864755jyeo4qj9nlm8wri.htm/, Retrieved Fri, 20 May 2011 06:12:37 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

1.4442 1.3999 1.3649 1.336 1.322 1.3661 1.3898 1.3067 1.2894 1.277 1.2208 1.2565 1.3406 1.3569 1.3686 1.4272 1.4614 1.4914 1.4816 1.4562 1.4268 1.4088 1.4016 1.365 1.319 1.305 1.2785 1.3239 1.3449 1.2732 1.3322 1.4369 1.4975 1.577 1.5553 1.5557 1.575 1.5527 1.4748 1.4718 1.457 1.4684 1.4227 1.3896 1.3622 1.3716 1.3419 1.3511 1.3516 1.3242 1.3074 1.2999 1.3213 1.2881 1.2611 1.2727 1.2811 1.2684 1.265 1.277 1.2271 1.202 1.1938 1.2103 1.1856 1.1786 1.2015 1.2256 1.2292 1.2037 1.2165 1.2694 1.2938 1.3201 1.3014

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 3 seconds R Server 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.302703 2.604 0.005565 2 -0.017937 -0.1543 0.438898 3 0.126844 1.0912 0.139373 4 0.042512 0.3657 0.357815 5 -0.024444 -0.2103 0.417015 6 -0.027772 -0.2389 0.405921 7 -0.254682 -2.1909 0.015806 8 -0.195484 -1.6816 0.04843 9 -0.136659 -1.1756 0.121764 10 -0.184658 -1.5885 0.05822 11 -0.150002 -1.2904 0.100471 12 -0.155609 -1.3386 0.0924 13 -0.133171 -1.1456 0.12783 14 0.003518 0.0303 0.487969 15 0.148144 1.2744 0.103258 16 0.205086 1.7642 0.040911 17 0.046958 0.4039 0.343708 18 0.08883 0.7641 0.223605 19 0.221916 1.909 0.030071 20 0.105188 0.9049 0.184237 21 0.009398 0.0808 0.467893 22 0.046425 0.3994 0.345389 23 -0.166962 -1.4363 0.077571 24 -0.094323 -0.8114 0.20987 25 -0.026078 -0.2243 0.41156 26 -0.107088 -0.9212 0.179968 27 -0.059058 -0.508 0.306469 28 -0.058383 -0.5022 0.308498 29 -0.247227 -2.1267 0.018389 30 -0.130203 -1.12 0.133158 31 -0.016557 -0.1424 0.443564 32 -0.071305 -0.6134 0.270749 33 -0.095633 -0.8227 0.20667 34 -0.036651 -0.3153 0.376717 35 0.109463 0.9416 0.174722 36 0.136235 1.1719 0.122491 37 0.003507 0.0302 0.488006 38 -0.041408 -0.3562 0.36135 39 0.097242 0.8365 0.202782 40 0.195859 1.6848 0.048116 41 0.084426 0.7263 0.234986 42 -0.008675 -0.0746 0.470357 43 0.014856 0.1278 0.449328 44 -0.009659 -0.0831 0.467002 45 -0.037191 -0.3199 0.374961 46 -0.001192 -0.0103 0.495924 47 -0.027478 -0.2364 0.406897 48 -0.096442 -0.8296 0.20471 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.302703 2.604 0.005565 2 -0.120618 -1.0376 0.151419 3 0.189285 1.6283 0.053857 4 -0.07418 -0.6381 0.262683 5 0.012911 0.1111 0.455932 6 -0.05018 -0.4317 0.333621 7 -0.270911 -2.3305 0.011255 8 -0.020285 -0.1745 0.430974 9 -0.145311 -1.25 0.107616 10 -0.065605 -0.5644 0.287108 11 -0.074947 -0.6447 0.260551 12 -0.133773 -1.1508 0.126768 13 -0.046331 -0.3986 0.345684 14 -0.028914 -0.2487 0.40213 15 0.136232 1.1719 0.122496 16 0.117164 1.0079 0.158397 17 -0.121931 -1.0489 0.14882 18 0.079043 0.68 0.249327 19 0.042472 0.3654 0.357944 20 -0.047687 -0.4102 0.341414 21 -0.030884 -0.2657 0.395614 22 0.010432 0.0897 0.464369 23 -0.19329 -1.6627 0.050297 24 0.031114 0.2676 0.394857 25 -0.046648 -0.4013 0.344685 26 0.052112 0.4483 0.327629 27 0.06414 0.5518 0.291389 28 -0.025729 -0.2213 0.412724 29 -0.17852 -1.5357 0.06444 30 -0.114067 -0.9812 0.164835 31 -0.058452 -0.5028 0.30829 32 -0.075229 -0.6471 0.259771 33 -0.152835 -1.3147 0.09633 34 -0.107192 -0.9221 0.179735 35 0.051062 0.4392 0.330881 36 -0.038887 -0.3345 0.369468 37 -0.110173 -0.9477 0.173172 38 -0.12587 -1.0828 0.141213 39 0.099671 0.8574 0.196996 40 0.065595 0.5643 0.287138 41 -0.108144 -0.9303 0.177623 42 -0.056354 -0.4848 0.314634 43 -0.060565 -0.521 0.30196 44 -0.085318 -0.7339 0.232653 45 -0.008795 -0.0757 0.469948 46 -0.092799 -0.7983 0.21363 47 0.039279 0.3379 0.368202 48 -0.004606 -0.0396 0.484252

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/20/t1305864755jyeo4qj9nlm8wri/1ps9w1305864935.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864755jyeo4qj9nlm8wri/1ps9w1305864935.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864755jyeo4qj9nlm8wri/2215c1305864935.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864755jyeo4qj9nlm8wri/2215c1305864935.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864755jyeo4qj9nlm8wri/3b46t1305864935.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864755jyeo4qj9nlm8wri/3b46t1305864935.ps (open in new window)

Parameters (Session):

par1 = 72 ;

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