*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 16:22:27 +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/t130253873053j2u04a3wuk03v.htm/, Retrieved Mon, 11 Apr 2011 18:18:51 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

2851 2672 2755 2721 2946 3036 2282 2212 2922 4301 5764 7132 2541 2475 3031 3266 3776 3230 3028 1759 3595 4474 6838 8357 3113 3006 4047 3523 3937 3986 3260 1573 3528 5211 7614 9254 5375 3088 3718 4514 4520 4539 3663 1643 4734 5428 8314 10651 3633 4292 4154 4121 4647 4753 3965 1723 5048 6923 9858 11331 4016 3957 4510 4276 4968 4677 3523 1821 5222 6872 10803 13916 2639 2899 3370 3740 2927 3986 4217 1738 5221 6424 9842 13076 3934 3162 4286 4676 5010 4874 4633 1659 5951 6981 9851 12670

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 0.481589 4.7186 4e-06 2 0.049929 0.4892 0.312906 3 -0.158794 -1.5559 0.061516 4 -0.253166 -2.4805 0.00743 5 -0.024456 -0.2396 0.405567 6 0.052548 0.5149 0.303914 7 -0.024601 -0.241 0.405019 8 -0.25167 -2.4659 0.007722 9 -0.176707 -1.7314 0.0433 10 0.0055 0.0539 0.47857 11 0.390381 3.8249 0.000116 12 0.838397 8.2146 0 13 0.407401 3.9917 6.4e-05 14 0.010016 0.0981 0.461013 15 -0.181035 -1.7738 0.039636 16 -0.257236 -2.5204 0.006686 17 -0.057245 -0.5609 0.288091 18 0.015691 0.1537 0.439069 19 -0.051334 -0.503 0.30807 20 -0.248932 -2.439 0.008282 21 -0.175664 -1.7212 0.044222 22 -0.019552 -0.1916 0.424243 23 0.300221 2.9416 0.002047 24 0.682351 6.6856 0 25 0.319738 3.1328 0.001148 26 -0.016167 -0.1584 0.437236 27 -0.186037 -1.8228 0.035725 28 -0.24071 -2.3585 0.010189 29 -0.067543 -0.6618 0.254849 30 0.007809 0.0765 0.469587 31 -0.038387 -0.3761 0.353832 32 -0.203689 -1.9957 0.024398 33 -0.151456 -1.484 0.070547 34 -0.026905 -0.2636 0.396321 35 0.22866 2.2404 0.013685 36 0.502491 4.9234 2e-06 37 0.213058 2.0875 0.019744 38 -0.047451 -0.4649 0.321519 39 -0.17648 -1.7291 0.043499 40 -0.219477 -2.1504 0.017017 41 -0.075371 -0.7385 0.231011 42 -0.013943 -0.1366 0.445811 43 -0.055681 -0.5456 0.293317 44 -0.17949 -1.7586 0.040913 45 -0.135742 -1.33 0.093335 46 -0.043478 -0.426 0.335533 47 0.158743 1.5554 0.061576 48 0.372501 3.6497 0.000214 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.481589 4.7186 4e-06 2 -0.236955 -2.3217 0.011182 3 -0.102659 -1.0058 0.158509 4 -0.14529 -1.4235 0.078911 5 0.221315 2.1684 0.016298 6 -0.108049 -1.0587 0.146207 7 -0.096252 -0.9431 0.174007 8 -0.318893 -3.1245 0.001178 9 0.248099 2.4309 0.00846 10 -0.020293 -0.1988 0.421406 11 0.543345 5.3237 0 12 0.610052 5.9773 0 13 -0.377138 -3.6952 0.000183 14 -0.059897 -0.5869 0.279335 15 0.026741 0.262 0.396938 16 0.017032 0.1669 0.433907 17 -0.140839 -1.3799 0.085406 18 -0.056628 -0.5548 0.290147 19 0.01553 0.1522 0.439688 20 0.055422 0.543 0.294187 21 0.016074 0.1575 0.437595 22 -0.046121 -0.4519 0.326184 23 -0.083662 -0.8197 0.207203 24 -0.009692 -0.095 0.46227 25 -0.039127 -0.3834 0.351148 26 0.074791 0.7328 0.232734 27 -0.052069 -0.5102 0.305551 28 0.043106 0.4223 0.336858 29 -0.012894 -0.1263 0.449867 30 0.095958 0.9402 0.174739 31 0.021726 0.2129 0.415939 32 0.052801 0.5173 0.303054 33 -0.109173 -1.0697 0.143724 34 0.036074 0.3535 0.362262 35 -0.053194 -0.5212 0.301715 36 -0.214118 -2.0979 0.019269 37 0.010388 0.1018 0.45957 38 0.067703 0.6634 0.254347 39 0.048825 0.4784 0.316732 40 -0.095486 -0.9356 0.175922 41 0.019385 0.1899 0.42488 42 -0.045833 -0.4491 0.327196 43 -0.057012 -0.5586 0.288868 44 -0.032204 -0.3155 0.376522 45 -0.013471 -0.132 0.447634 46 -0.077417 -0.7585 0.224998 47 0.020609 0.2019 0.4202 48 0.13954 1.3672 0.087377

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/11/t130253873053j2u04a3wuk03v/1r03f1302538942.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130253873053j2u04a3wuk03v/1r03f1302538942.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130253873053j2u04a3wuk03v/221s21302538942.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130253873053j2u04a3wuk03v/221s21302538942.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130253873053j2u04a3wuk03v/366oe1302538942.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/11/t130253873053j2u04a3wuk03v/366oe1302538942.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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