Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2010 » May » 01 »

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 01 May 2010 18:47:39 +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/May/01/t1272739739a7pbkuf1m028bms.htm/, Retrieved Sat, 01 May 2010 20:49:02 +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/May/01/t1272739739a7pbkuf1m028bms.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 «

6550 8728 12026 14395 14587 13791 9498 8251 7049 9545 9364 8456 7237 9374 11837 13784 15926 13821 11143 7975 7610 10015 12759 8816 10677 10947 15200 17010 20900 16205 12143 8997 5568 11474 12256 10583 10862 10965 14405 20379 20128 17816 12268 8642 7962 13932 15936 12628 12267 12470 18944 21259 22015 18581 15175 10306 10792 14752 13754 11738 12181 12965 19990 23125 23541 21247 15189 14767 10895 17130 17697 16611 12674 12760 20249 22135 20677 19933 15388 15113 13401 16135 17562 14720 12225 11608 20985 19692 24081 22114 14220 13434 13598 17187 16119 13713 13210 14251 20139 21725 26099 21084 18024 16722 14385 21342 17180 14577

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.717133	7.4527	0
2	0.358367	3.7243	0.000157
3	0.072532	0.7538	0.226313
4	0.028775	0.299	0.382743
5	0.162922	1.6931	0.046656
6	0.203997	2.12	0.018148
7	0.135492	1.4081	0.080991
8	-0.014234	-0.1479	0.441339
9	0.011292	0.1174	0.453399
10	0.256361	2.6642	0.00445
11	0.593879	6.1718	0
12	0.762624	7.9254	0
13	0.547679	5.6917	0
14	0.229092	2.3808	0.009513
15	-0.01979	-0.2057	0.418721
16	-0.054115	-0.5624	0.287511
17	0.094122	0.9781	0.165094
18	0.101179	1.0515	0.147692
19	0.048041	0.4993	0.309307
20	-0.106451	-1.1063	0.135534
21	-0.077778	-0.8083	0.210351
22	0.147874	1.5368	0.063639
23	0.454837	4.7268	3e-06
24	0.586793	6.0981	0
25	0.410217	4.2631	2.2e-05
26	0.138985	1.4444	0.075764
27	-0.093136	-0.9679	0.167628
28	-0.102124	-1.0613	0.145461
29	0.009928	0.1032	0.459007
30	0.02334	0.2426	0.404404
31	-0.044894	-0.4666	0.320878
32	-0.166577	-1.7311	0.043143
33	-0.165021	-1.7149	0.044611
34	0.052797	0.5487	0.292178
35	0.303936	3.1586	0.001028
36	0.421796	4.3834	1.4e-05
37	0.259364	2.6954	0.004078
38	0.027404	0.2848	0.388177
39	-0.162227	-1.6859	0.04735
40	-0.156697	-1.6284	0.053173
41	-0.066457	-0.6906	0.245638
42	-0.066457	-0.6906	0.245637
43	-0.127176	-1.3216	0.094539
44	-0.256103	-2.6615	0.004483
45	-0.247931	-2.5766	0.005664
46	-0.07469	-0.7762	0.219664
47	0.138986	1.4444	0.075762
48	0.224298	2.331	0.010806

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.717133	7.4527	0
2	-0.320992	-3.3358	0.000583
3	-0.084386	-0.877	0.191225
4	0.251817	2.617	0.005072
5	0.20144	2.0934	0.019326
6	-0.216654	-2.2515	0.013188
7	-0.04635	-0.4817	0.315501
8	-0.001304	-0.0135	0.494608
9	0.324695	3.3743	0.000514
10	0.364552	3.7885	0.000125
11	0.380232	3.9515	6.9e-05
12	0.160328	1.6662	0.049288
13	-0.345716	-3.5928	0.000247
14	-0.075842	-0.7882	0.216161
15	-0.030126	-0.3131	0.377412
16	-0.129661	-1.3475	0.090323
17	0.127596	1.326	0.093816
18	-0.211572	-2.1987	0.015015
19	0.137816	1.4322	0.077483
20	-0.092113	-0.9573	0.170285
21	0.044674	0.4643	0.321695
22	-0.053693	-0.558	0.289
23	0.110756	1.151	0.126134
24	-0.045493	-0.4728	0.318663
25	0.026957	0.2802	0.389949
26	0.005339	0.0555	0.477929
27	-0.054316	-0.5645	0.286803
28	-0.054829	-0.5698	0.284998
29	0.019758	0.2053	0.418848
30	-0.067379	-0.7002	0.242648
31	0.005691	0.0591	0.476473
32	0.06411	0.6663	0.253334
33	-0.142173	-1.4775	0.071225
34	0.0076	0.079	0.468598
35	-0.000554	-0.0058	0.497708
36	-0.061407	-0.6382	0.262361
37	-0.058542	-0.6084	0.272105
38	0.045654	0.4744	0.318069
39	0.026949	0.2801	0.389981
40	-0.058452	-0.6075	0.272413
41	0.020243	0.2104	0.416887
42	-0.108784	-1.1305	0.130382
43	0.031415	0.3265	0.372348
44	-0.047442	-0.493	0.311495
45	-0.059545	-0.6188	0.268671
46	-0.108206	-1.1245	0.131646
47	0.016627	0.1728	0.431568
48	-0.087205	-0.9063	0.183409

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/May/01/t1272739739a7pbkuf1m028bms/1idgq1272739657.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/01/t1272739739a7pbkuf1m028bms/1idgq1272739657.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/May/01/t1272739739a7pbkuf1m028bms/2b4fb1272739657.png (open in new window)

http://www.freestatistics.org/blog/date/2010/May/01/t1272739739a7pbkuf1m028bms/2b4fb1272739657.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