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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 15:43:12 +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/t1302536452k45x4mpwz75v9lf.htm/, Retrieved Mon, 11 Apr 2011 17:40:55 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

17 16.7 15.4 15.1 16.1 17 16.1 14.3 16.1 14.8 15.9 17.6 15.9 14.8 16.5 15.6 14.6 17.1 15.2 14.8 15.4 16.6 15.1 15.4 15.2 16.6 16.1 15.7 15.8 15.7 16.9 15.9 17.1 17 16.6 17.1 16.6 16.6 16.5 17 15.9 17 16.1 16.1 16.8 16.7 15.7 18.7 16.1 16.3 17.2 16.1 16.5 16.5 15.1 16.7 14.4 16.2 15.9 17.3 15.6 15.6 14.7 15.8 15.8 14.8 16.1 16.3 16.1 17.4 16.7 16.1 15.4 16.9 15.5 17.6 18.4 15.9 15.2 15.5 15.9 15.8 17.6 18.2 15.9 15.7 16.4 15.6 15.8 17 16.8 16.6 17.7 15.7 18 18.2 16.4 18 16.3

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 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.476563 -4.7177 4e-06 2 -0.081516 -0.807 0.21082 3 0.180608 1.7879 0.038439 4 -0.144522 -1.4307 0.07785 5 -0.127149 -1.2587 0.105563 6 0.246738 2.4426 0.008187 7 -0.03257 -0.3224 0.37391 8 -0.072837 -0.721 0.236299 9 0.053759 0.5322 0.2979 10 -0.031218 -0.309 0.378972 11 -0.069536 -0.6884 0.246421 12 0.101995 1.0097 0.157563 13 -0.070654 -0.6994 0.242967 14 0.083354 0.8252 0.205642 15 -0.11293 -1.118 0.13316 16 0.127086 1.2581 0.105674 17 -0.049305 -0.4881 0.313287 18 -0.049696 -0.492 0.311922 19 0.034674 0.3433 0.36607 20 0.001596 0.0158 0.493714 21 -0.056711 -0.5614 0.287901 22 0.120647 1.1943 0.117613 23 -0.107273 -1.0619 0.145435 24 0.052396 0.5187 0.302571 25 -0.007919 -0.0784 0.468837 26 0.029903 0.296 0.38392 27 -0.067388 -0.6671 0.253136 28 0.056072 0.5551 0.290051 29 -0.04425 -0.438 0.331157 30 0.028143 0.2786 0.390569 31 -0.007706 -0.0763 0.469675 32 -0.06746 -0.6678 0.252909 33 0.08467 0.8382 0.201983 34 -0.040239 -0.3983 0.345622 35 -0.063759 -0.6312 0.264696 36 0.153134 1.5159 0.066376 37 -0.093551 -0.9261 0.178331 38 0.011093 0.1098 0.456392 39 0.05723 0.5665 0.286158 40 -0.070218 -0.6951 0.244312 41 -0.06065 -0.6004 0.274811 42 0.148864 1.4737 0.071887 43 -0.090388 -0.8948 0.186546 44 0.018695 0.1851 0.426778 45 0.052153 0.5163 0.303407 46 -0.13323 -1.3189 0.095136 47 0.118238 1.1705 0.122319 48 -0.02002 -0.1982 0.421653 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.476563 -4.7177 4e-06 2 -0.399319 -3.9531 7.3e-05 3 -0.098596 -0.9761 0.165721 4 -0.158345 -1.5675 0.060107 5 -0.361591 -3.5796 0.000269 6 -0.136641 -1.3527 0.089636 7 0.01397 0.1383 0.445145 8 0.026685 0.2642 0.396101 9 -0.018997 -0.1881 0.425607 10 -0.028147 -0.2786 0.390554 11 -0.042957 -0.4253 0.335793 12 0.027949 0.2767 0.391302 13 -0.093256 -0.9232 0.179088 14 0.029156 0.2886 0.386739 15 -0.138624 -1.3723 0.086551 16 0.048491 0.48 0.316137 17 0.061642 0.6102 0.271561 18 -0.003456 -0.0342 0.48639 19 -0.032006 -0.3168 0.376018 20 -0.04351 -0.4307 0.333807 21 -0.05435 -0.538 0.295886 22 0.050175 0.4967 0.310255 23 -0.10642 -1.0535 0.14735 24 -0.020467 -0.2026 0.419929 25 -0.016591 -0.1642 0.434939 26 0.091104 0.9019 0.184665 27 0.040701 0.4029 0.343944 28 -0.017875 -0.1769 0.429956 29 -0.022755 -0.2253 0.411122 30 0.013479 0.1334 0.447061 31 0.00323 0.032 0.487279 32 -0.179001 -1.772 0.03975 33 -0.108821 -1.0773 0.142001 34 -0.104963 -1.0391 0.150662 35 -0.1503 -1.4879 0.069995 36 -0.047554 -0.4708 0.31943 37 -0.045156 -0.447 0.327922 38 -0.011244 -0.1113 0.4558 39 0.093606 0.9266 0.178193 40 0.028258 0.2797 0.390134 41 -0.074959 -0.7421 0.229915 42 -0.019633 -0.1944 0.423148 43 -0.033414 -0.3308 0.370759 44 0.010928 0.1082 0.457037 45 -0.007304 -0.0723 0.471255 46 -0.17799 -1.762 0.040593 47 0.031796 0.3148 0.376803 48 0.044227 0.4378 0.331239

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t1302536452k45x4mpwz75v9lf/1mzv91302536591.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302536452k45x4mpwz75v9lf/1mzv91302536591.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302536452k45x4mpwz75v9lf/23duo1302536591.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302536452k45x4mpwz75v9lf/23duo1302536591.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302536452k45x4mpwz75v9lf/3c5m61302536591.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t1302536452k45x4mpwz75v9lf/3c5m61302536591.ps (open in new window)

Parameters (Session):

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

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 (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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