Home » date » 2010 » Dec » 29 »

Paper

*Unverified author*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Wed, 29 Dec 2010 18:08:54 +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/29/t1293646002goy1mnv7nxuarr1.htm/, Retrieved Wed, 29 Dec 2010 19:06:44 +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/29/t1293646002goy1mnv7nxuarr1.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 «
26548 26752 26967 27034 27056 27476 28497 29085 28720 29067 29249 29672 29761 30066 30315 30571 30757 30742 31310 31381 31470 31226 31081 31061 31114 30828 30418 30195 29877 29192 29876 29409 28458 28340 28164 28438 28053 27599 27226 27119 26625 26541 27023 26631 26154 26029 26008 26632 27010 27041 27244 26976 26715 27017 27714 27655 27103 27088 26968 27770 27616 27481 27279 26918 26503 26547 27467 27305 26259 26048 25743
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Herman Ole Andreas Wold' @ www.yougetit.org


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2237691.87220.032679
2-0.090913-0.76060.224715
30.0255510.21380.415671
40.1465961.22650.112059
50.2846792.38180.009975
60.2355631.97090.026347
70.2409752.01610.023812
80.0724240.60590.273255
9-0.060805-0.50870.306271
10-0.187986-1.57280.060137
110.0643090.53810.296124
120.4047643.38650.000582
13-0.001874-0.01570.493767
14-0.215642-1.80420.037752
15-0.156953-1.31320.096708
16-0.162581-1.36020.089058
170.0307920.25760.398727
18-0.041407-0.34640.365029
19-0.022904-0.19160.424293
20-0.127415-1.0660.145036
21-0.268274-2.24450.01398
22-0.338478-2.83190.003019
23-0.105868-0.88580.189391
240.2386321.99650.024883
25-0.130456-1.09150.139404
26-0.250264-2.09390.019948
27-0.148874-1.24560.108538
28-0.063007-0.52720.299876
290.0557960.46680.321038
30-0.043457-0.36360.35863
310.0164240.13740.44555
320.0194730.16290.435525
33-0.089983-0.75290.227032
34-0.130901-1.09520.138592
350.0595170.4980.310037
360.2446542.04690.022211
37-0.018825-0.15750.437651
38-0.104707-0.8760.192001
390.042230.35330.362456
400.0202820.16970.432871
410.1472291.23180.111071
420.0854850.71520.238426
430.0809730.67750.250172
440.0290890.24340.404213
45-0.042018-0.35150.363117
46-0.013726-0.11480.454451
470.066650.55760.289436
480.1409431.17920.121154


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2237691.87220.032679
2-0.148418-1.24180.109236
30.0884020.73960.231001
40.1132140.94720.173394
50.2531532.1180.018862
60.1635391.36830.087802
70.259472.17090.016667
80.0147820.12370.450962
9-0.083995-0.70280.242269
10-0.35925-3.00570.001838
11-0.078783-0.65910.255983
120.2167931.81380.036996
13-0.18431-1.5420.063786
14-0.100363-0.83970.201968
15-0.047925-0.4010.344833
16-0.196128-1.64090.052649
170.054730.45790.324219
18-0.129141-1.08050.14182
190.018770.1570.437832
20-0.04818-0.40310.344051
21-0.063371-0.53020.298826
22-0.128589-1.07590.142843
23-0.014281-0.11950.452616
240.1783581.49230.070063
25-0.072888-0.60980.271977
260.0301050.25190.400936
270.113240.94740.173339
280.1518231.27020.104103
290.0891790.74610.229044
30-0.037494-0.31370.377341
31-0.021058-0.17620.430331
32-0.022444-0.18780.425798
33-0.03111-0.26030.397705
34-0.045512-0.38080.352258
35-0.035621-0.2980.383281
36-0.084037-0.70310.24216
37-0.080993-0.67760.250117
38-0.092526-0.77410.220731
390.0528640.44230.329822
40-0.087396-0.73120.233546
410.053250.44550.328659
420.0936450.78350.217991
430.0363510.30410.380965
44-0.029622-0.24780.402493
450.0246520.20630.418597
460.0214110.17910.429174
47-0.048184-0.40310.344039
48-0.111561-0.93340.176915
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293646002goy1mnv7nxuarr1/1ar3h1293646132.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293646002goy1mnv7nxuarr1/1ar3h1293646132.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t1293646002goy1mnv7nxuarr1/2l0221293646132.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293646002goy1mnv7nxuarr1/2l0221293646132.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t1293646002goy1mnv7nxuarr1/3l0221293646132.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293646002goy1mnv7nxuarr1/3l0221293646132.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 12 ;
 
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

Creative Commons License

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