*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, 17 May 2011 12:12:50 +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/May/17/t1305634158pqft4m3w2p5z5xe.htm/, Retrieved Tue, 17 May 2011 14:09:18 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.41 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.42 0.43 0.43 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.44 0.43 0.44 0.44 0.46 0.46 0.46 0.46 0.46 0.45 0.45 0.46 0.46 0.46 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47 0.47

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 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.131749 -1.1101 0.135343 2 0.128659 1.0841 0.140994 3 -0.132992 -1.1206 0.133116 4 -0.046603 -0.3927 0.347864 5 -0.308254 -2.5974 0.005706 6 -0.047846 -0.4032 0.344022 7 0.038543 0.3248 0.373157 8 0.037921 0.3195 0.375132 9 0.0373 0.3143 0.37711 10 0.036678 0.3091 0.379091 11 -0.13061 -1.1005 0.137408 12 0.129798 1.0937 0.138892 13 -0.218862 -1.8442 0.034666 14 0.309928 2.6115 0.005496 15 -0.038732 -0.3264 0.372554 16 0.214323 1.8059 0.037585 17 -0.047328 -0.3988 0.345621 18 -0.047949 -0.404 0.343703 19 -0.135581 -1.1424 0.128558 20 -0.049192 -0.4145 0.339878 21 -0.027755 -0.2339 0.407881 22 -0.028376 -0.2391 0.405858 23 0.065365 0.5508 0.291758 24 0.057391 0.4836 0.315084 25 -0.03024 -0.2548 0.399804 26 0.056148 0.4731 0.318792 27 -0.118493 -0.9984 0.160729 28 0.054905 0.4626 0.322518 29 -0.032726 -0.2758 0.39177 30 0.140672 1.1853 0.11992 31 -0.033969 -0.2862 0.38777 32 -0.03459 -0.2915 0.385775 33 -0.035211 -0.2967 0.383783 34 -0.035833 -0.3019 0.381794 35 -0.108758 -0.9164 0.181277 36 -0.02237 -0.1885 0.425516 37 0.078725 0.6633 0.254628 38 -0.008906 -0.075 0.470194 39 -0.009528 -0.0803 0.468119 40 0.076861 0.6476 0.259653 41 -0.010771 -0.0908 0.463972 42 -0.011392 -0.096 0.4619 43 -0.012013 -0.1012 0.459828 44 -0.012635 -0.1065 0.457758 45 -0.013256 -0.1117 0.455689 46 -0.013877 -0.1169 0.453622 47 -0.014499 -0.1222 0.451555 48 -0.022473 -0.1894 0.425175 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.131749 -1.1101 0.135343 2 0.113268 0.9544 0.171557 3 -0.106221 -0.895 0.186897 4 -0.091243 -0.7688 0.222272 5 -0.311298 -2.623 0.005329 6 -0.144333 -1.2162 0.113974 7 0.060181 0.5071 0.306829 8 -0.003403 -0.0287 0.488601 9 -0.046076 -0.3882 0.349499 10 -0.083258 -0.7015 0.242628 11 -0.21967 -1.851 0.034166 12 0.12838 1.0818 0.141511 13 -0.169136 -1.4252 0.079245 14 0.259873 2.1897 0.015916 15 0.054963 0.4631 0.322345 16 0.086557 0.7293 0.234096 17 0.088205 0.7432 0.229898 18 -0.139145 -1.1725 0.122466 19 0.025209 0.2124 0.416195 20 0.084902 0.7154 0.238355 21 0.039927 0.3364 0.368771 22 0.012032 0.1014 0.459765 23 -0.05195 -0.4377 0.331453 24 -0.052588 -0.4431 0.329515 25 0.067931 0.5724 0.28443 26 -0.036557 -0.308 0.379478 27 0.015904 0.134 0.446886 28 -0.072166 -0.6081 0.272538 29 -0.011801 -0.0994 0.460535 30 0.102678 0.8652 0.194926 31 -0.074786 -0.6302 0.265306 32 -0.110286 -0.9293 0.177944 33 -0.029023 -0.2446 0.403754 34 0.018777 0.1582 0.437368 35 -0.060695 -0.5114 0.305321 36 -0.066245 -0.5582 0.289235 37 -0.019184 -0.1616 0.436021 38 -0.054377 -0.4582 0.324109 39 -0.064291 -0.5417 0.294851 40 -0.006064 -0.0511 0.479697 41 0.015076 0.127 0.449636 42 -0.010132 -0.0854 0.466101 43 0.029121 0.2454 0.403437 44 -0.108281 -0.9124 0.182325 45 -0.041985 -0.3538 0.362279 46 -0.020821 -0.1754 0.430617 47 0.029379 0.2475 0.402599 48 0.02551 0.2149 0.415212

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/17/t1305634158pqft4m3w2p5z5xe/1qjeh1305634367.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/17/t1305634158pqft4m3w2p5z5xe/1qjeh1305634367.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/17/t1305634158pqft4m3w2p5z5xe/2gcpk1305634367.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/17/t1305634158pqft4m3w2p5z5xe/2gcpk1305634367.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/17/t1305634158pqft4m3w2p5z5xe/3j53v1305634367.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/17/t1305634158pqft4m3w2p5z5xe/3j53v1305634367.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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