Home » date » 2010 » Dec » 05 »

Ws 9 - ACF (d = D = 1)

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 05 Dec 2010 14:15:47 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/05/t12915584492awvr7z77y34wad.htm/, Retrieved Sun, 05 Dec 2010 15:14:09 +0100

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/2010/Dec/05/t12915584492awvr7z77y34wad.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

167.16 179.84 174.44 180.35 193.17 195.16 202.43 189.91 195.98 212.09 205.81 204.31 196.07 199.98 199.10 198.31 195.72 223.04 238.41 259.73 326.54 335.15 321.81 368.62 369.59 425.00 439.72 362.23 328.76 348.55 328.18 329.34 295.55 237.38 226.85 220.14 239.36 224.69 230.98 233.47 256.70 253.41 224.95 210.37 191.09 198.85 211.04 206.25 201.51 194.54 191.07 192.82 181.88 157.67 195.82 246.25 271.69 270.29

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.326232	2.1884	0.016935
2	0.026761	0.1795	0.429169
3	0.03268	0.2192	0.413734
4	-0.013486	-0.0905	0.464158
5	0.300418	2.0153	0.024937
6	0.135784	0.9109	0.183609
7	-0.32291	-2.1661	0.017818
8	-0.226171	-1.5172	0.068105
9	-0.060232	-0.404	0.344047
10	-0.014244	-0.0956	0.46215
11	0.022023	0.1477	0.441606
12	-0.408123	-2.7378	0.004414
13	-0.324703	-2.1782	0.017336
14	-0.030806	-0.2067	0.418608
15	0.12314	0.826	0.206568
16	0.177148	1.1883	0.120466
17	-0.060111	-0.4032	0.344342
18	-0.196673	-1.3193	0.096867
19	0.03143	0.2108	0.416983
20	0.173683	1.1651	0.125058
21	0.028085	0.1884	0.425705
22	-0.049634	-0.333	0.370357
23	-0.159915	-1.0727	0.144553
24	-0.11274	-0.7563	0.226711
25	0.043067	0.2889	0.386991
26	0.005444	0.0365	0.485514
27	-0.116659	-0.7826	0.218988
28	-0.089475	-0.6002	0.275687
29	-0.022096	-0.1482	0.441414
30	0.045643	0.3062	0.380438
31	0.071321	0.4784	0.317329
32	0.004543	0.0305	0.487912
33	-0.027241	-0.1827	0.427911
34	0.022027	0.1478	0.441596
35	0.071073	0.4768	0.317917
36	0.073394	0.4923	0.312436
37	0.05079	0.3407	0.367455
38	0.007396	0.0496	0.480325
39	-0.004093	-0.0275	0.489108
40	-0.014102	-0.0946	0.462525
41	-0.008115	-0.0544	0.478413
42	-0.005454	-0.0366	0.485489
43	-0.006475	-0.0434	0.482774
44	0.001378	0.0092	0.496334
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.326232	2.1884	0.016935
2	-0.089155	-0.5981	0.276396
3	0.058949	0.3954	0.347193
4	-0.04704	-0.3156	0.376901
5	0.365767	2.4536	0.009039
6	-0.129451	-0.8684	0.194896
7	-0.388471	-2.6059	0.006189
8	-0.01275	-0.0855	0.466111
9	0.120641	0.8093	0.211304
10	-0.117751	-0.7899	0.216866
11	-0.09004	-0.604	0.274435
12	-0.316465	-2.1229	0.019648
13	0.121331	0.8139	0.20999
14	-0.037988	-0.2548	0.400007
15	0.156745	1.0515	0.149327
16	0.029896	0.2006	0.420977
17	0.013748	0.0922	0.463464
18	-0.115246	-0.7731	0.221754
19	-0.058782	-0.3943	0.347604
20	-0.013963	-0.0937	0.462895
21	-0.159667	-1.0711	0.144923
22	-0.022535	-0.1512	0.440258
23	0.058879	0.395	0.347364
24	-0.247468	-1.6601	0.051928
25	-0.123781	-0.8303	0.205363
26	0.031906	0.214	0.415744
27	0.113684	0.7626	0.224837
28	0.022648	0.1519	0.439961
29	-0.00071	-0.0048	0.498111
30	-0.035535	-0.2384	0.406335
31	-0.123537	-0.8287	0.205822
32	0.030239	0.2028	0.420084
33	-0.061126	-0.41	0.34186
34	-0.045574	-0.3057	0.380614
35	-0.0339	-0.2274	0.410569
36	-0.049321	-0.3309	0.371144
37	-0.004861	-0.0326	0.487066
38	-0.046836	-0.3142	0.377417
39	-0.024635	-0.1653	0.434742
40	0.033405	0.2241	0.411852
41	0.040093	0.2689	0.394599
42	-0.051948	-0.3485	0.364553
43	-0.079253	-0.5316	0.298793
44	0.060037	0.4027	0.344522
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/05/t12915584492awvr7z77y34wad/140ww1291558543.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/05/t12915584492awvr7z77y34wad/140ww1291558543.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/05/t12915584492awvr7z77y34wad/240ww1291558543.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/05/t12915584492awvr7z77y34wad/240ww1291558543.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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 (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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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