*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 13:44:28 +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/t13025292503987bnv76eiw9gq.htm/, Retrieved Mon, 11 Apr 2011 15:40:54 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

12544 12264 13783 11214 11453 10883 10381 10348 10024 10805 10796 11907 12261 11377 12689 11474 10992 10764 12164 10409 10398 10349 10865 11630 12221 10884 12019 11021 10799 10423 10484 10450 9906 11049 11281 12485 12849 11380 12079 11366 11328 10444 10854 10434 10137 10992 10906 12367 14371 11695 11546 10922 10670 10254 10573 10239 10253 11176 10719 11817 12503 11510 12012 10941 11252 10662 11114 10415 10626 11411 10936 12513

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 'George Udny Yule' @ 216.218.223.82 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.344942 -2.9065 0.002436 2 0.149064 1.256 0.10661 3 0.0101 0.0851 0.466211 4 -0.153833 -1.2962 0.099549 5 -0.046593 -0.3926 0.347896 6 -0.143354 -1.2079 0.115543 7 -0.023464 -0.1977 0.421918 8 -0.235119 -1.9811 0.025724 9 0.143625 1.2102 0.115107 10 0.053745 0.4529 0.326014 11 -0.202636 -1.7074 0.046055 12 0.58028 4.8895 3e-06 13 -0.113419 -0.9557 0.171236 14 0.10011 0.8435 0.20088 15 -0.070618 -0.595 0.276854 16 -0.055821 -0.4704 0.319772 17 -0.058114 -0.4897 0.312935 18 -0.093675 -0.7893 0.216276 19 -0.061428 -0.5176 0.303172 20 -0.170196 -1.4341 0.077967 21 0.081144 0.6837 0.248186 22 0.161472 1.3606 0.088974 23 -0.22285 -1.8778 0.03226 24 0.483782 4.0764 5.9e-05 25 -0.109374 -0.9216 0.17993 26 0.095213 0.8023 0.212534 27 -0.071084 -0.599 0.275552 28 -0.110915 -0.9346 0.176584 29 -0.021716 -0.183 0.427668 30 -0.090329 -0.7611 0.224552 31 0.047036 0.3963 0.346525 32 -0.226446 -1.9081 0.030213 33 0.115086 0.9697 0.167735 34 0.134406 1.1325 0.130612 35 -0.15989 -1.3473 0.091091 36 0.30789 2.5943 0.005753 37 -0.068001 -0.573 0.284233 38 0.090375 0.7615 0.224437 39 -0.065986 -0.556 0.289977 40 -0.046536 -0.3921 0.348071 41 -0.059401 -0.5005 0.309129 42 -0.062055 -0.5229 0.30134 43 0.030149 0.254 0.400099 44 -0.111571 -0.9401 0.175173 45 0.009528 0.0803 0.468119 46 0.173015 1.4578 0.074646 47 -0.103191 -0.8695 0.193752 48 0.17837 1.503 0.068641 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.344942 -2.9065 0.002436 2 0.034142 0.2877 0.387214 3 0.081296 0.685 0.247783 4 -0.150456 -1.2678 0.104512 5 -0.17976 -1.5147 0.067146 6 -0.216932 -1.8279 0.035883 7 -0.132673 -1.1179 0.133685 8 -0.356318 -3.0024 0.001848 9 -0.154308 -1.3002 0.098865 10 0.013327 0.1123 0.455453 11 -0.382844 -3.2259 0.00095 12 0.30982 2.6106 0.005509 13 0.265969 2.2411 0.014074 14 0.04691 0.3953 0.346913 15 -0.154493 -1.3018 0.0986 16 -0.05852 -0.4931 0.311733 17 0.074057 0.624 0.267308 18 0.038739 0.3264 0.372534 19 -0.142776 -1.203 0.116477 20 0.000423 0.0036 0.498584 21 -0.040281 -0.3394 0.367649 22 0.148591 1.2521 0.10733 23 -0.122465 -1.0319 0.152809 24 0.179398 1.5116 0.067533 25 0.057708 0.4863 0.314141 26 -0.070731 -0.596 0.276538 27 -0.052431 -0.4418 0.329991 28 -0.056321 -0.4746 0.318275 29 -0.020257 -0.1707 0.432477 30 -0.016355 -0.1378 0.445389 31 0.108145 0.9112 0.182625 32 0.051859 0.437 0.331729 33 -0.02948 -0.2484 0.40227 34 -0.042154 -0.3552 0.361747 35 -0.001925 -0.0162 0.493552 36 -0.098794 -0.8325 0.203972 37 -0.038154 -0.3215 0.374393 38 -0.03168 -0.2669 0.395145 39 0.06819 0.5746 0.283696 40 0.038514 0.3245 0.373247 41 0.04103 0.3457 0.365286 42 0.002864 0.0241 0.490408 43 -0.087318 -0.7358 0.232152 44 0.075763 0.6384 0.262638 45 0.004956 0.0418 0.483405 46 -0.002754 -0.0232 0.490775 47 0.030413 0.2563 0.399244 48 -0.021757 -0.1833 0.427531

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t13025292503987bnv76eiw9gq/1cljl1302529465.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t13025292503987bnv76eiw9gq/1cljl1302529465.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t13025292503987bnv76eiw9gq/21vgq1302529465.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t13025292503987bnv76eiw9gq/21vgq1302529465.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t13025292503987bnv76eiw9gq/3mab21302529465.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t13025292503987bnv76eiw9gq/3mab21302529465.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 0.0 ; 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 (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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