*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 11 Apr 2011 12:49:28 +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/11/t1302526243rwa9oteppbeexga.htm/, Retrieved Mon, 11 Apr 2011 14:50:44 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

814 1150 1225 1691 1759 1754 2100 2062 2012 1897 1964 2186 966 1549 1538 1612 2078 2137 2907 2249 1883 1739 1828 1868 1138 1430 1809 1763 2200 2067 2503 2141 2103 1972 2181 2344 970 1199 1718 1683 2025 2051 2439 2353 2230 1852 2147 2286 1007 1665 1642 1518 1831 2207 2822 2393 2306 1785 2047 2171 1212 1335 2011 1860 1954 2152 2835 2224 2182 1992 2389 2724 891 1247 2017 2257 2255 2255 3057 3330 1896 2096 2374 2535 1041 1728 2201 2455 2204 2660 3670 2665 2639 2226 2586 2684 1185 1749 2459 2618 2585 3310 3923

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 3 seconds R Server 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.466035 4.7297 4e-06 2 0.166461 1.6894 0.047085 3 0.1382 1.4026 0.081875 4 0.065573 0.6655 0.253612 5 -0.159509 -1.6188 0.05427 6 -0.395995 -4.0189 5.6e-05 7 -0.059992 -0.6089 0.271981 8 0.12241 1.2423 0.108469 9 0.142944 1.4507 0.074948 10 0.166063 1.6854 0.047474 11 0.399718 4.0567 4.8e-05 12 0.701539 7.1198 0 13 0.298922 3.0337 0.001529 14 0.063685 0.6463 0.259752 15 0.066319 0.6731 0.251208 16 -0.005502 -0.0558 0.47779 17 -0.217219 -2.2045 0.014856 18 -0.410667 -4.1678 3.2e-05 19 -0.070532 -0.7158 0.237859 20 0.047 0.477 0.317187 21 0.093526 0.9492 0.172373 22 0.121008 1.2281 0.111105 23 0.324356 3.2919 0.000682 24 0.53125 5.3916 0 25 0.203703 2.0674 0.020603 26 0.005563 0.0565 0.477544 27 -0.01067 -0.1083 0.456988 28 -0.087438 -0.8874 0.188467 29 -0.224899 -2.2825 0.012258 30 -0.335825 -3.4082 0.000467 31 -0.091746 -0.9311 0.176984 32 -0.009868 -0.1001 0.46021 33 0.028905 0.2934 0.384919 34 0.053689 0.5449 0.293506 35 0.200816 2.0381 0.022053 36 0.442295 4.4888 9e-06 37 0.151242 1.5349 0.063932 38 -0.017051 -0.173 0.431478 39 -0.053917 -0.5472 0.292714 40 -0.105824 -1.074 0.142667 41 -0.222049 -2.2536 0.013171 42 -0.331647 -3.3659 0.000537 43 -0.116198 -1.1793 0.120502 44 -0.030275 -0.3073 0.379633 45 0.030489 0.3094 0.378809 46 0.068186 0.692 0.245243 47 0.156437 1.5877 0.057713 48 0.323786 3.2861 0.000695 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.466035 4.7297 4e-06 2 -0.064803 -0.6577 0.256107 3 0.110063 1.117 0.133294 4 -0.045978 -0.4666 0.320876 5 -0.229463 -2.3288 0.010911 6 -0.315484 -3.2018 0.000908 7 0.368264 3.7375 0.000153 8 0.124272 1.2612 0.105039 9 0.166518 1.69 0.047029 10 0.022662 0.23 0.409276 11 0.259455 2.6332 0.004881 12 0.486484 4.9373 2e-06 13 -0.169306 -1.7183 0.044376 14 -0.074478 -0.7559 0.225728 15 -0.020587 -0.2089 0.417454 16 -0.033539 -0.3404 0.367131 17 -0.01189 -0.1207 0.452095 18 -0.150978 -1.5323 0.064262 19 -0.021191 -0.2151 0.415071 20 -0.153621 -1.5591 0.061022 21 0.120908 1.2271 0.111294 22 -0.079367 -0.8055 0.211196 23 0.042383 0.4301 0.333997 24 0.046691 0.4739 0.318299 25 0.058149 0.5902 0.27819 26 -0.054999 -0.5582 0.288967 27 0.000617 0.0063 0.497508 28 -0.082248 -0.8347 0.202901 29 0.168546 1.7106 0.045087 30 0.051423 0.5219 0.301435 31 -0.134456 -1.3646 0.08768 32 -0.137448 -1.3949 0.083016 33 -0.029306 -0.2974 0.38337 34 -0.058433 -0.593 0.27723 35 0.01524 0.1547 0.438693 36 0.202221 2.0523 0.021337 37 -0.13341 -1.354 0.089355 38 -0.036498 -0.3704 0.355918 39 -0.00211 -0.0214 0.491478 40 0.018004 0.1827 0.427689 41 0.083939 0.8519 0.198126 42 -0.013116 -0.1331 0.447183 43 -0.034935 -0.3546 0.361823 44 -0.056074 -0.5691 0.285266 45 0.086491 0.8778 0.19105 46 0.0289 0.2933 0.384941 47 6.4e-05 6e-04 0.499742 48 -0.156186 -1.5851 0.058003

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t1302526243rwa9oteppbeexga/1t5g81302526164.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302526243rwa9oteppbeexga/1t5g81302526164.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302526243rwa9oteppbeexga/2otew1302526164.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302526243rwa9oteppbeexga/2otew1302526164.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302526243rwa9oteppbeexga/3oita1302526164.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302526243rwa9oteppbeexga/3oita1302526164.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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