*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 26 Apr 2011 14:14:46 +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/26/t13038270780ebbt0cplditj8e.htm/, Retrieved Tue, 26 Apr 2011 16:11:18 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

1,3014 1,3201 1,2938 1,2694 1,2165 1,2037 1,2292 1,2256 1,2015 1,1786 1,1856 1,2103 1,1938 1,202 1,2271 1,277 1,265 1,2684 1,2811 1,2727 1,2611 1,2881 1,3213 1,2999 1,3074 1,3242 1,3516 1,3511 1,3419 1,3716 1,3622 1,3896 1,4227 1,4684 1,457 1,4718 1,4748 1,5527 1,5751 1,5557 1,5553 1,577 1,4975 1,437 1,3322 1,2732 1,3449 1,3239 1,2785 1,305 1,319 1,365 1,4016 1,4088 1,4268 1,4562 1,4816 1,4914 1,4614 1,4272 1,3686 1,3569 1,3406 1,2565 1,2209 1,277 1,2894 1,3067 1,3898 1,3661 1,322 1,336

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 0.93594 7.9417 0 2 0.837052 7.1026 0 3 0.739953 6.2787 0 4 0.622759 5.2843 1e-06 5 0.495265 4.2025 3.7e-05 6 0.372764 3.163 0.001143 7 0.261052 2.2151 0.014959 8 0.185396 1.5731 0.060036 9 0.136001 1.154 0.126158 10 0.10213 0.8666 0.194521 11 0.086085 0.7305 0.233741 12 0.084753 0.7192 0.237188 13 0.099173 0.8415 0.201425 14 0.12656 1.0739 0.143228 15 0.148513 1.2602 0.105838 16 0.150333 1.2756 0.103095 17 0.123465 1.0476 0.149156 18 0.092607 0.7858 0.217283 19 0.053669 0.4554 0.325098 20 -0.012503 -0.1061 0.457903 21 -0.091151 -0.7734 0.220897 22 -0.166438 -1.4123 0.081088 23 -0.241439 -2.0487 0.02207 24 -0.291997 -2.4777 0.007786 25 -0.329139 -2.7928 0.003344 26 -0.363145 -3.0814 0.001459 27 -0.383198 -3.2515 0.000874 28 -0.395173 -3.3532 0.000638 29 -0.401653 -3.4081 0.000537 30 -0.384192 -3.26 0.000852 31 -0.361713 -3.0692 0.001513 32 -0.342553 -2.9067 0.002426 33 -0.316271 -2.6837 0.004515 34 -0.274578 -2.3299 0.01131 35 -0.22947 -1.9471 0.027711 36 -0.196114 -1.6641 0.050221 37 -0.175725 -1.4911 0.070154 38 -0.146298 -1.2414 0.109248 39 -0.109542 -0.9295 0.177868 40 -0.084939 -0.7207 0.236705 41 -0.083481 -0.7084 0.240504 42 -0.086654 -0.7353 0.232277 43 -0.090283 -0.7661 0.223068 44 -0.097384 -0.8263 0.205673 45 -0.108957 -0.9245 0.179149 46 -0.118217 -1.0031 0.159585 47 -0.123227 -1.0456 0.149618 48 -0.12442 -1.0557 0.14731 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.93594 7.9417 0 2 -0.313921 -2.6637 0.004765 3 0.039345 0.3339 0.36973 4 -0.267822 -2.2725 0.01302 5 -0.054645 -0.4637 0.322137 6 -0.054641 -0.4636 0.322152 7 0.011584 0.0983 0.460987 8 0.225706 1.9152 0.029721 9 0.011239 0.0954 0.462143 10 0.050459 0.4282 0.334905 11 -0.020836 -0.1768 0.430082 12 -0.013615 -0.1155 0.454174 13 0.071516 0.6068 0.272936 14 0.041485 0.352 0.362928 15 -0.02455 -0.2083 0.417788 16 -0.141321 -1.1991 0.117201 17 -0.225131 -1.9103 0.030039 18 0.080599 0.6839 0.248114 19 -0.080149 -0.6801 0.249316 20 -0.091479 -0.7762 0.220079 21 -0.017171 -0.1457 0.442281 22 -0.051518 -0.4371 0.331656 23 -0.070361 -0.597 0.276181 24 0.116377 0.9875 0.163354 25 -0.06439 -0.5464 0.293252 26 -0.028784 -0.2442 0.403869 27 -0.101557 -0.8617 0.195845 28 -0.147644 -1.2528 0.107167 29 -0.050884 -0.4318 0.333602 30 0.119445 1.0135 0.157102 31 0.027466 0.2331 0.408188 32 0.013964 0.1185 0.453006 33 -0.024446 -0.2074 0.418129 34 0.100404 0.852 0.198532 35 0.032381 0.2748 0.392142 36 -0.021937 -0.1861 0.426429 37 -0.023801 -0.202 0.420261 38 0.100319 0.8512 0.19873 39 0.052408 0.4447 0.328935 40 -0.133072 -1.1291 0.131291 41 -0.144598 -1.227 0.111918 42 0.053064 0.4503 0.326937 43 -0.050434 -0.4279 0.334983 44 0.022819 0.1936 0.423508 45 -0.00911 -0.0773 0.469298 46 -0.018283 -0.1551 0.438575 47 0.07323 0.6214 0.268156 48 -0.089423 -0.7588 0.22523

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/26/t13038270780ebbt0cplditj8e/1akjb1303827281.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/26/t13038270780ebbt0cplditj8e/1akjb1303827281.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/26/t13038270780ebbt0cplditj8e/23rz51303827281.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/26/t13038270780ebbt0cplditj8e/23rz51303827281.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/26/t13038270780ebbt0cplditj8e/3m7l51303827281.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/26/t13038270780ebbt0cplditj8e/3m7l51303827281.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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