Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » Jan » 12 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 12 Jan 2010 06:19:10 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/12/t1263302423b0iw2jznzow22c2.htm/, Retrieved Tue, 12 Jan 2010 14:20:25 +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/Jan/12/t1263302423b0iw2jznzow22c2.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

100,7 105,9 115,4 113,9 121,5 119,5 115,8 116,3 113,5 110,7 116,9 141,1 101,8 102,9 119 112,8 120,9 123,1 121,9 119,4 110,9 116,8 120,6 143,3 106,4 106,9 125,6 110,9 127 124,3 121,3 124,4 113,2 120,2 122,6 143,3 106,5 105,9 114 121,6 119,7 122,5 126,5 118,2 115,5 120,1 115,3 146,5 107,7 106,3 121,8 115,8 115,4 124,3 121,7 118,7 113,5 113,4 115,1 144,2 100,9 103,2 121,3 111,9 117,3 124,2 122 119,6 114,9 112,2 115,3 143 104 105,3 124,3 114,1 124,8 131,9 125,8 125,2 119,8 116,2 120,2 148,6 109,4 109,6 135,2 115,2 129,1 138,8 126 130,7 120,5 126,5 128 151,7 114,8 118,9 131,5 124,8 137 137,1 137 131,3 126 129,7 125,1 157,8

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.053018	0.551	0.291391
2	-0.048189	-0.5008	0.308769
3	0.190179	1.9764	0.025329
4	0.057118	0.5936	0.277014
5	0.19658	2.0429	0.021748
6	0.280837	2.9185	0.00214
7	0.189405	1.9684	0.025795
8	0.054652	0.568	0.285622
9	0.141014	1.4655	0.072851
10	-0.136409	-1.4176	0.079593
11	-0.031196	-0.3242	0.373209
12	0.778604	8.0915	0
13	-0.009886	-0.1027	0.459179
14	-0.111573	-1.1595	0.124406
15	0.072587	0.7543	0.226142
16	-0.023002	-0.239	0.405761
17	0.070302	0.7306	0.233303
18	0.155111	1.612	0.054944
19	0.079381	0.8249	0.20561
20	-0.03321	-0.3451	0.365335
21	0.035161	0.3654	0.357763
22	-0.205713	-2.1378	0.017393
23	-0.116541	-1.2111	0.114246
24	0.592363	6.156	0
25	-0.079448	-0.8256	0.205412
26	-0.187537	-1.9489	0.026948
27	-0.007513	-0.0781	0.468955
28	-0.088649	-0.9213	0.179482
29	-0.004088	-0.0425	0.483096
30	0.061424	0.6383	0.262302
31	0.021085	0.2191	0.413486
32	-0.069579	-0.7231	0.235594
33	-0.036836	-0.3828	0.351308
34	-0.225395	-2.3424	0.010497
35	-0.154155	-1.602	0.056036
36	0.466988	4.8531	2e-06
37	-0.091915	-0.9552	0.170802
38	-0.17822	-1.8521	0.03337
39	-0.035192	-0.3657	0.357644
40	-0.104439	-1.0854	0.140089
41	-0.023202	-0.2411	0.404958
42	0.034474	0.3583	0.360424
43	0.017764	0.1846	0.42694
44	-0.045833	-0.4763	0.317407
45	-0.030021	-0.312	0.377826
46	-0.174232	-1.8107	0.036486
47	-0.126968	-1.3195	0.094899
48	0.401138	4.1687	3.1e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.053018	0.551	0.291391
2	-0.051143	-0.5315	0.298083
3	0.196642	2.0436	0.021715
4	0.03262	0.339	0.367636
5	0.222234	2.3095	0.011408
6	0.249045	2.5882	0.005488
7	0.224214	2.3301	0.01083
8	0.044327	0.4607	0.322983
9	0.1029	1.0694	0.143643
10	-0.300738	-3.1254	0.001141
11	-0.217596	-2.2613	0.012871
12	0.723713	7.5211	0
13	-0.199544	-2.0737	0.020242
14	-0.190075	-1.9753	0.025392
15	-0.208923	-2.1712	0.016053
16	0.055884	0.5808	0.281304
17	-0.119096	-1.2377	0.109258
18	-0.103824	-1.079	0.141502
19	-0.094925	-0.9865	0.16305
20	-0.016339	-0.1698	0.432741
21	-0.024591	-0.2556	0.399389
22	0.149722	1.556	0.061322
23	0.035397	0.3679	0.356849
24	0.06041	0.6278	0.26573
25	-0.083573	-0.8685	0.193518
26	-0.055526	-0.577	0.282556
27	0.010237	0.1064	0.457737
28	-0.043054	-0.4474	0.32773
29	-0.005527	-0.0574	0.477151
30	-0.093035	-0.9668	0.16789
31	0.043814	0.4553	0.324892
32	0.045942	0.4774	0.317005
33	-0.011757	-0.1222	0.451491
34	0.015331	0.1593	0.436853
35	-0.007784	-0.0809	0.467839
36	-0.027223	-0.2829	0.388894
37	0.009455	0.0983	0.460952
38	0.0939	0.9758	0.165663
39	-0.013588	-0.1412	0.443982
40	-0.076222	-0.7921	0.215012
41	-0.025404	-0.264	0.396139
42	0.070374	0.7313	0.233076
43	-0.010192	-0.1059	0.45792
44	0.021388	0.2223	0.412263
45	0.017452	0.1814	0.42821
46	0.082454	0.8569	0.196702
47	0.004567	0.0475	0.481118
48	-0.014195	-0.1475	0.441499

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/12/t1263302423b0iw2jznzow22c2/1wfk91263302347.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/12/t1263302423b0iw2jznzow22c2/1wfk91263302347.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/12/t1263302423b0iw2jznzow22c2/2xjkz1263302347.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/12/t1263302423b0iw2jznzow22c2/2xjkz1263302347.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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 (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