Home » date » 2009 » May » 28 »

autocorrelatoin function - Fortis - Caroline Thys

*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, 28 May 2009 07:53:33 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/May/28/t1243518904sdk3kghxe5nsek8.htm/, Retrieved Thu, 28 May 2009 15:55:06 +0200

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/2009/May/28/t1243518904sdk3kghxe5nsek8.htm/},
    year = {2009},
}
@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 = {2009},
    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:

Dataseries X:

» Textbox « » Textfile « » CSV «

18,09 18,13 18 17,72 17,62 17,13 17,39 17,09 17,14 17,38 16,8 16,51 16,01 15,05 13,56 15,22 14,91 15,13 15,25 14,61 14,87 15,1 15,22 15,46 14,96 14 14,2 13,9 13,63 13,32 13,8 14,5 14,12 13,88 14,11 14,26 14,71 14,52 14,32 14,69 15,25 15,04 14,82 14,5 14,72 14,6 14,58 14 14,75 14,41 15,19 14,96 14,83 14,25 14,32 14,93 14,65 15,65 15,65 15,61 15,95 15,83 15,77 16,7 16,69 16,4 16,77 16,78 16,84 16,68 16,67 16,3 16,37 16,6 16,72 16,82 17,5 17,2 17,29 17,2 17,2 17,32 17,16 17,41 17,31 17,3 17,34 17,19 17,05 17,07 17,07 16,81 16,81 16,96 17,05 17 16,77 16,66 16,2 16,26 15,84 15,85 15,71 15,84 15,73 15,77 15,3 15,41 15,4 15,61 15 14,12 14,01 13,46 13,85 13,92 13,59 13,67 13,05 12,87 12,28 11,88 12,49 11,9 10,8 10,99 10,15 10,07 10,05 10,31 9,94 9,65 9,74 9,85 9,96 9,63 9,43 8,77 9,53 9,5 9,78 9,9 9,93 10,35 9,79 9,63 9,02 9,25 9,11 8,95 9,3 9,13 9,75 9,65 9,27 9,5 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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.990787	16.3705	0
2	0.981934	16.2242	0
3	0.973097	16.0782	0
4	0.964781	15.9408	0
5	0.95637	15.8018	0
6	0.947504	15.6553	0
7	0.938111	15.5001	0
8	0.928619	15.3433	0
9	0.91852	15.1764	0
10	0.907569	14.9955	0
11	0.897195	14.8241	0
12	0.88718	14.6586	0
13	0.877278	14.495	0
14	0.867755	14.3377	0
15	0.859075	14.1943	0
16	0.848641	14.0218	0
17	0.838602	13.856	0
18	0.828102	13.6825	0
19	0.817072	13.5003	0
20	0.806236	13.3212	0
21	0.795294	13.1404	0
22	0.783971	12.9533	0
23	0.772486	12.7636	0
24	0.761004	12.5739	0
25	0.749687	12.3869	0
26	0.739004	12.2103	0
27	0.728318	12.0338	0
28	0.717768	11.8595	0
29	0.707331	11.687	0
30	0.697013	11.5166	0
31	0.686482	11.3425	0
32	0.675642	11.1634	0
33	0.665036	10.9882	0
34	0.654174	10.8087	0
35	0.643233	10.628	0
36	0.631933	10.4412	0
37	0.62042	10.251	0
38	0.608637	10.0563	0
39	0.597463	9.8717	0
40	0.585963	9.6817	0
41	0.574014	9.4843	0
42	0.56249	9.2939	0
43	0.550688	9.0989	0
44	0.539634	8.9162	0
45	0.528449	8.7314	0
46	0.517493	8.5504	0
47	0.506364	8.3665	0
48	0.495806	8.1921	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.990787	16.3705	0
2	0.014959	0.2472	0.402485
3	-0.003196	-0.0528	0.478965
4	0.023996	0.3965	0.346031
5	-0.008331	-0.1376	0.445311
6	-0.029225	-0.4829	0.314785
7	-0.0335	-0.5535	0.290182
8	-0.011796	-0.1949	0.422808
9	-0.039746	-0.6567	0.25596
10	-0.054768	-0.9049	0.183154
11	0.024153	0.3991	0.345077
12	0.014922	0.2465	0.402722
13	0.000454	0.0075	0.497013
14	0.020214	0.334	0.369323
15	0.047752	0.789	0.215403
16	-0.097276	-1.6073	0.054576
17	0.012704	0.2099	0.416951
18	-0.02638	-0.4359	0.331636
19	-0.044073	-0.7282	0.233555
20	-0.003196	-0.0528	0.478965
21	-0.012307	-0.2034	0.419505
22	-0.02663	-0.44	0.330142
23	-0.018861	-0.3116	0.37778
24	-0.000248	-0.0041	0.498365
25	0.014762	0.2439	0.403741
26	0.025395	0.4196	0.337554
27	-1.4e-05	-2e-04	0.499908
28	0.007806	0.129	0.448738
29	-0.00223	-0.0368	0.485318
30	-0.008113	-0.134	0.446733
31	-0.008452	-0.1396	0.44452
32	-0.034493	-0.5699	0.284603
33	0.003208	0.053	0.478883
34	-0.02044	-0.3377	0.367914
35	-0.019472	-0.3217	0.373953
36	-0.023532	-0.3888	0.348857
37	-0.014695	-0.2428	0.404174
38	-0.019756	-0.3264	0.372176
39	0.030561	0.5049	0.307002
40	-0.017721	-0.2928	0.384948
41	-0.035271	-0.5828	0.280265
42	0.019286	0.3187	0.375115
43	-0.023843	-0.3939	0.346964
44	0.029908	0.4942	0.310793
45	-0.013432	-0.2219	0.412269
46	0.003955	0.0654	0.473971
47	-0.014485	-0.2393	0.405516
48	0.014141	0.2337	0.407714

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t1243518904sdk3kghxe5nsek8/1e9rs1243518812.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t1243518904sdk3kghxe5nsek8/1e9rs1243518812.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t1243518904sdk3kghxe5nsek8/22e591243518812.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t1243518904sdk3kghxe5nsek8/22e591243518812.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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