*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, 02 Jun 2010 15:19:05 +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/Jun/02/t1275491993gfoem7bais37ss7.htm/, Retrieved Wed, 02 Jun 2010 17:19:53 +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/2010/Jun/02/t1275491993gfoem7bais37ss7.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 «

306 303 344 254 309 310 379 294 356 318 405 545 268 243 273 273 236 222 302 285 309 322 362 471 198 253 173 186 185 105 228 214 189 270 277 378 185 182 258 179 197 168 250 211 260 234 305 347 203 217 227 242 185 175 252 319 202 254 336 431 150 280 187 279 193 227 225 205 259 254 275 394 159 230 188 195 189 220 274

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 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.458833 -4.0523 5.9e-05 2 0.036651 0.3237 0.373517 3 -0.078186 -0.6905 0.245959 4 0.09471 0.8365 0.202726 5 0.083607 0.7384 0.231244 6 -0.324911 -2.8695 0.002644 7 0.066275 0.5853 0.280009 8 0.083672 0.739 0.231073 9 -0.06547 -0.5782 0.282392 10 0.023682 0.2092 0.417435 11 -0.240383 -2.123 0.018463 12 0.557563 4.9243 2e-06 13 -0.19013 -1.6792 0.048559 14 -0.048999 -0.4327 0.333196 15 -0.014256 -0.1259 0.450064 16 0.019423 0.1715 0.432121 17 0.155937 1.3772 0.086195 18 -0.375393 -3.3154 0.000695 19 0.150558 1.3297 0.093748 20 -0.008679 -0.0766 0.469549 21 0.048516 0.4285 0.33474 22 -0.117698 -1.0395 0.150897 23 -0.072712 -0.6422 0.261323 24 0.38209 3.3745 0.000577 25 -0.145008 -1.2807 0.102051 26 -0.054462 -0.481 0.315934 27 0.008824 0.0779 0.469042 28 0.038361 0.3388 0.367836 29 0.039288 0.347 0.364771 30 -0.19581 -1.7293 0.043852 31 0.077721 0.6864 0.247244 32 -0.025682 -0.2268 0.410581 33 0.075445 0.6663 0.253589 34 -0.096654 -0.8536 0.197963 35 -0.100546 -0.888 0.188635 36 0.385584 3.4054 0.000523 37 -0.229193 -2.0242 0.023188 38 0.096355 0.851 0.198691 39 -0.131855 -1.1645 0.123884 40 0.122663 1.0833 0.140999 41 0.011239 0.0993 0.460593 42 -0.185535 -1.6386 0.052662 43 0.081 0.7154 0.238258 44 0.016198 0.1431 0.443308 45 0.003861 0.0341 0.486443 46 -0.049089 -0.4335 0.332907 47 -0.068201 -0.6023 0.27435 48 0.276484 2.4418 0.008438 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.458833 -4.0523 5.9e-05 2 -0.220243 -1.9451 0.027681 3 -0.211295 -1.8661 0.032893 4 -0.051898 -0.4584 0.323988 5 0.138775 1.2256 0.112013 6 -0.279288 -2.4666 0.007917 7 -0.31086 -2.7454 0.003749 8 -0.134795 -1.1905 0.118735 9 -0.228583 -2.0188 0.023473 10 -0.149689 -1.322 0.095012 11 -0.48291 -4.2649 2.8e-05 12 0.110023 0.9717 0.167104 13 0.197571 1.7449 0.04247 14 0.073889 0.6526 0.257976 15 0.068578 0.6057 0.273248 16 -0.045736 -0.4039 0.343684 17 0.085624 0.7562 0.225901 18 -0.107708 -0.9513 0.172207 19 0.04401 0.3887 0.349284 20 -0.013068 -0.1154 0.454208 21 0.114026 1.0071 0.158512 22 -0.087868 -0.776 0.220039 23 -0.098855 -0.8731 0.192654 24 0.061383 0.5421 0.294642 25 -0.048426 -0.4277 0.335029 26 -0.055988 -0.4945 0.311181 27 -0.046758 -0.413 0.340387 28 0.02855 0.2521 0.400797 29 -0.209129 -1.847 0.034272 30 0.014839 0.1311 0.448035 31 0.01349 0.1191 0.452734 32 -0.095098 -0.8399 0.201771 33 -0.006816 -0.0602 0.476077 34 0.016706 0.1475 0.441542 35 -0.129634 -1.1449 0.127877 36 0.064243 0.5674 0.286042 37 -0.059149 -0.5224 0.301439 38 0.074164 0.655 0.257198 39 0.023178 0.2047 0.419168 40 -0.04114 -0.3633 0.358666 41 0.054047 0.4773 0.317231 42 -0.012638 -0.1116 0.455707 43 -0.043788 -0.3867 0.350006 44 0.067325 0.5946 0.276917 45 0.010743 0.0949 0.462328 46 -0.021942 -0.1938 0.423425 47 0.027042 0.2388 0.405931 48 -0.045782 -0.4043 0.343535

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jun/02/t1275491993gfoem7bais37ss7/103ie1275491942.png (open in new window) http://www.freestatistics.org/blog/date/2010/Jun/02/t1275491993gfoem7bais37ss7/103ie1275491942.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Jun/02/t1275491993gfoem7bais37ss7/203ie1275491942.png (open in new window) http://www.freestatistics.org/blog/date/2010/Jun/02/t1275491993gfoem7bais37ss7/203ie1275491942.ps (open in new window)

Parameters (Session):

par2 = grey ; par3 = FALSE ; par4 = Unknown ;

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 (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')

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