Non seasonal - 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 08:09:12 -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/t12435198016ekfadb81ph7y6o.htm/, Retrieved Thu, 28 May 2009 16:10:04 +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/t12435198016ekfadb81ph7y6o.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 R Framework error message Warning: there are blank lines in the 'Data' field. Please, use NA for missing data - blank lines are simply deleted and are NOT treated as missing values. Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.098134 -1.6185 0.053361 2 0.016801 0.2771 0.390961 3 -0.054143 -0.8929 0.186339 4 0.055132 0.9093 0.18201 5 0.106586 1.7579 0.039948 6 0.027183 0.4483 0.327144 7 0.045452 0.7496 0.227069 8 0.061648 1.0167 0.155095 9 0.111232 1.8345 0.033837 10 -0.015872 -0.2618 0.396848 11 -0.092181 -1.5203 0.0648 12 0.07012 1.1564 0.124256 13 0.078389 1.2928 0.098585 14 0.050065 0.8257 0.204852 15 0.064893 1.0702 0.142731 16 -0.016022 -0.2642 0.3959 17 -0.002824 -0.0466 0.481446 18 0.043088 0.7106 0.238962 19 0.034987 0.577 0.282199 20 -0.034314 -0.5659 0.285954 21 0.015096 0.249 0.401785 22 -0.014193 -0.2341 0.407553 23 -0.055004 -0.9071 0.182567 24 0.014293 0.2357 0.406913 25 0.006168 0.1017 0.459525 26 -0.051256 -0.8453 0.199334 27 0.00831 0.1371 0.445546 28 0.009758 0.1609 0.436131 29 0.012333 0.2034 0.419485 30 -0.040865 -0.674 0.250453 31 -0.054444 -0.8979 0.185014 32 -0.027212 -0.4488 0.326972 33 0.063338 1.0446 0.14857 34 -0.053963 -0.89 0.187131 35 0.040498 0.6679 0.252377 36 -0.078808 -1.2997 0.097397 37 0.059829 0.9867 0.162328 38 -0.111677 -1.8418 0.033295 39 -0.016019 -0.2642 0.395916 40 -0.012774 -0.2107 0.416652 41 -0.065821 -1.0856 0.139319 42 0.057913 0.9551 0.17018 43 -0.097612 -1.6099 0.054294 44 -0.030987 -0.5111 0.304864 45 -0.065991 -1.0883 0.138703 46 0.015026 0.2478 0.402232 47 -0.034207 -0.5642 0.286555 48 -0.076729 -1.2654 0.103398 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.098134 -1.6185 0.053361 2 0.007241 0.1194 0.452518 3 -0.052302 -0.8626 0.194564 4 0.04527 0.7466 0.227972 5 0.118878 1.9606 0.025474 6 0.046858 0.7728 0.220156 7 0.05763 0.9505 0.171363 8 0.082853 1.3665 0.086463 9 0.122154 2.0146 0.022465 10 -0.001594 -0.0263 0.489524 11 -0.106458 -1.7557 0.040129 12 0.040744 0.672 0.251086 13 0.061239 1.01 0.1567 14 0.020931 0.3452 0.365107 15 0.077919 1.2851 0.099929 16 0.009805 0.1617 0.435828 17 -0.02855 -0.4709 0.319059 18 0.023845 0.3933 0.34722 19 0.034625 0.571 0.284221 20 -0.045253 -0.7463 0.228056 21 -0.027278 -0.4499 0.326579 22 -0.049428 -0.8152 0.207839 23 -0.087454 -1.4423 0.07518 24 -0.013111 -0.2162 0.414485 25 0.012844 0.2118 0.416201 26 -0.056279 -0.9282 0.177068 27 -0.017551 -0.2895 0.386226 28 0.015392 0.2538 0.399903 29 0.032001 0.5278 0.299042 30 -0.026884 -0.4434 0.328922 31 -0.053992 -0.8905 0.187005 32 -0.026051 -0.4296 0.3339 33 0.045424 0.7491 0.227208 34 -0.057325 -0.9454 0.172641 35 0.075004 1.237 0.108578 36 -0.034303 -0.5657 0.286021 37 0.0417 0.6877 0.246105 38 -0.080191 -1.3225 0.093548 39 -0.012244 -0.2019 0.420058 40 0.002033 0.0335 0.486638 41 -0.076522 -1.262 0.104009 42 0.027088 0.4468 0.327704 43 -0.069526 -1.1467 0.126265 44 -0.037417 -0.6171 0.268845 45 -0.049031 -0.8086 0.209714 46 0.019464 0.321 0.374225 47 -0.023607 -0.3893 0.348669 48 -0.071947 -1.1866 0.118215

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t12435198016ekfadb81ph7y6o/1s9ld1243519751.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t12435198016ekfadb81ph7y6o/1s9ld1243519751.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t12435198016ekfadb81ph7y6o/28t2g1243519751.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/May/28/t12435198016ekfadb81ph7y6o/28t2g1243519751.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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')

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