*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 10 Apr 2011 12:23:42 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96.htm/, Retrieved Sun, 10 Apr 2011 14:22:26 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

12 544 12 264 13 783 11 214 11 453 10 883 10 381 10 348 10 024 10 805 10 796 11 907 12 261 11 377 12 689 11 474 10 992 10 764 12 164 10 409 10 398 10 349 10 865 11 630 12 221 10 884 12 019 11 021 10 799 10 423 10 484 10 450 9 906 11 049 11 281 12 485 12 849 11 380 12 079 11 366 11 328 10 444 10 854 10 434 10 137 10 992 10 906 12 367 14 371 11 695 11 546 10 922 10 670 10 254 10 573 10 239 10 253 11 176 10 719 11 817 12 503 11 510 12 012 10 941 11 252 10 662 11 114 10 415 10 626 11 411 10 936 12 513

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' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.434297 3.6851 0.00022 2 0.288077 2.4444 0.008479 3 -0.046509 -0.3946 0.347138 4 -0.310531 -2.6349 0.005149 5 -0.427544 -3.6278 0.000265 6 -0.490777 -4.1644 4.3e-05 7 -0.409562 -3.4753 0.000434 8 -0.306831 -2.6035 0.005599 9 0.043387 0.3682 0.35692 10 0.210437 1.7856 0.039186 11 0.326207 2.768 0.003583 12 0.627773 5.3268 1e-06 13 0.31833 2.7011 0.004305 14 0.179964 1.527 0.065565 15 -0.098625 -0.8369 0.20272 16 -0.243499 -2.0662 0.021206 17 -0.33504 -2.8429 0.002907 18 -0.360738 -3.061 0.00155 19 -0.339556 -2.8812 0.002608 20 -0.211411 -1.7939 0.038515 21 0.080476 0.6829 0.248442 22 0.27896 2.3671 0.010311 23 0.294815 2.5016 0.007319 24 0.473458 4.0174 7.1e-05 25 0.182318 1.547 0.063121 26 0.06721 0.5703 0.285126 27 -0.164744 -1.3979 0.083218 28 -0.281381 -2.3876 0.009793 29 -0.29286 -2.485 0.00764 30 -0.274713 -2.331 0.011278 31 -0.182014 -1.5444 0.063433 32 -0.142023 -1.2051 0.116054 33 0.139628 1.1848 0.12 34 0.268326 2.2768 0.012885 35 0.246777 2.094 0.019892 36 0.351287 2.9808 0.00196 37 0.134057 1.1375 0.129548 38 0.045188 0.3834 0.351263 39 -0.136577 -1.1589 0.125164 40 -0.210513 -1.7863 0.039134 41 -0.250638 -2.1267 0.018435 42 -0.213312 -1.81 0.037233 43 -0.124023 -1.0524 0.148074 44 -0.061962 -0.5258 0.300334 45 0.115731 0.982 0.164692 46 0.257583 2.1857 0.016047 47 0.218741 1.8561 0.033767 48 0.23847 2.0235 0.023368 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.434297 3.6851 0.00022 2 0.122584 1.0402 0.150874 3 -0.262165 -2.2245 0.014624 4 -0.324548 -2.7539 0.003725 5 -0.201401 -1.7089 0.045884 6 -0.213206 -1.8091 0.037304 7 -0.182096 -1.5451 0.063349 8 -0.229352 -1.9461 0.027772 9 0.097458 0.827 0.205495 10 0.023593 0.2002 0.420947 11 -0.092291 -0.7831 0.218064 12 0.431264 3.6594 0.000239 13 -0.142249 -1.207 0.115686 14 -0.185306 -1.5724 0.060124 15 -0.050564 -0.429 0.334585 16 0.080974 0.6871 0.247117 17 0.038949 0.3305 0.370995 18 -0.08766 -0.7438 0.229703 19 -0.138881 -1.1784 0.12125 20 0.090546 0.7683 0.222409 21 0.010425 0.0885 0.46488 22 0.126629 1.0745 0.143098 23 -0.083207 -0.706 0.241222 24 0.070864 0.6013 0.274765 25 -0.156562 -1.3285 0.094109 26 -0.09497 -0.8058 0.211492 27 -0.00433 -0.0367 0.485396 28 -0.020122 -0.1707 0.432453 29 -0.002885 -0.0245 0.49027 30 -0.023797 -0.2019 0.420274 31 0.028851 0.2448 0.403651 32 -0.104412 -0.886 0.189292 33 -0.033202 -0.2817 0.38948 34 -0.00666 -0.0565 0.477546 35 -0.069747 -0.5918 0.277913 36 0.012291 0.1043 0.458614 37 0.085875 0.7287 0.234283 38 -0.044948 -0.3814 0.352017 39 -0.002776 -0.0236 0.490637 40 0.005759 0.0489 0.48058 41 0.052617 0.4465 0.328298 42 -0.042145 -0.3576 0.360839 43 -0.035405 -0.3004 0.38236 44 0.107661 0.9135 0.182006 45 -0.071097 -0.6033 0.274111 46 0.014219 0.1207 0.45215 47 0.048677 0.413 0.340404 48 -0.020018 -0.1699 0.4328

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96/1ztok1302438221.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96/1ztok1302438221.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96/2v3xj1302438221.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96/2v3xj1302438221.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96/3g44m1302438221.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/10/t13024381436k2xsj477xpky96/3g44m1302438221.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 (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

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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