KDGP2W12

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 20 May 2011 00:08:29 +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/20/t1305849860rvppflzny0l7d2m.htm/, Retrieved Fri, 20 May 2011 02:04:22 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

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7.24 7.52 7.57 7.59 7.58 7.55 7.52 7.55 7.62 7.64 7.68 7.69 7.7 7.6 7.51 7.66 7.69 7.66 7.7 7.72 7.74 7.76 7.72 7.73 7.75 8.1 8.22 8.32 8.07 8.18 8.33 8.34 8.25 8.36 8.36 8.34 8.41 8.39 8.43 8.44 8.49 8.47 8.53 8.52 8.51 8.53 8.54 8.53 8.47 8.63 8.67 8.73 8.57 8.55 8.63 8.65 8.44 8.62 8.37 8.59 8.84 8.72 8.8 8.69 8.68 8.57 8.85 8.85 8.85 8.93 8.75 8.78 8.77 9.03 9.01 9.07 8.99 9.02 8.99 8.98 8.94 8.94 8.75 8.86

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 0.941112 8.6254 0 2 0.908861 8.3299 0 3 0.873467 8.0055 0 4 0.846041 7.7541 0 5 0.817024 7.4881 0 6 0.785624 7.2004 0 7 0.74582 6.8356 0 8 0.703141 6.4444 0 9 0.666534 6.1089 0 10 0.626113 5.7384 0 11 0.589289 5.4009 0 12 0.557167 5.1065 1e-06 13 0.52693 4.8294 3e-06 14 0.49335 4.5216 1e-05 15 0.44767 4.103 4.7e-05 16 0.407301 3.733 0.000172 17 0.371733 3.407 0.000505 18 0.331492 3.0382 0.001586 19 0.296915 2.7213 0.003952 20 0.260784 2.3901 0.00954 21 0.224567 2.0582 0.021336 22 0.189227 1.7343 0.043268 23 0.155659 1.4266 0.078696 24 0.121573 1.1142 0.134177 25 0.074725 0.6849 0.247658 26 0.056695 0.5196 0.302347 27 0.033001 0.3025 0.381523 28 0.026202 0.2401 0.4054 29 -0.001043 -0.0096 0.496197 30 -0.023288 -0.2134 0.41575 31 -0.043405 -0.3978 0.345889 32 -0.056656 -0.5193 0.302472 33 -0.077717 -0.7123 0.23913 34 -0.092751 -0.8501 0.198849 35 -0.110207 -1.0101 0.157683 36 -0.130624 -1.1972 0.117301 37 -0.148119 -1.3575 0.089124 38 -0.168224 -1.5418 0.063441 39 -0.180678 -1.6559 0.050732 40 -0.196724 -1.803 0.037487 41 -0.208466 -1.9106 0.029732 42 -0.224533 -2.0579 0.021351 43 -0.24044 -2.2037 0.015142 44 -0.256318 -2.3492 0.010581 45 -0.274627 -2.517 0.006868 46 -0.287541 -2.6354 0.005004 47 -0.297073 -2.7227 0.003936 48 -0.308055 -2.8234 0.002966 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.941112 8.6254 0 2 0.202689 1.8577 0.033359 3 0.006763 0.062 0.475361 4 0.053423 0.4896 0.312838 5 0.001916 0.0176 0.493016 6 -0.036127 -0.3311 0.370695 7 -0.099704 -0.9138 0.181717 8 -0.08571 -0.7855 0.217172 9 0.005021 0.046 0.481704 10 -0.049468 -0.4534 0.32572 11 -0.009121 -0.0836 0.466788 12 0.041563 0.3809 0.352109 13 0.028497 0.2612 0.397296 14 -0.026817 -0.2458 0.403227 15 -0.140719 -1.2897 0.100346 16 -0.03348 -0.3068 0.37986 17 0.016632 0.1524 0.439604 18 -0.079845 -0.7318 0.233167 19 0.000921 0.0084 0.496642 20 -0.002007 -0.0184 0.492683 21 -0.009661 -0.0885 0.464829 22 -0.011654 -0.1068 0.457597 23 -0.01825 -0.1673 0.433782 24 -0.015896 -0.1457 0.442259 25 -0.16231 -1.4876 0.0703 26 0.157259 1.4413 0.076608 27 0.033565 0.3076 0.379562 28 0.140493 1.2876 0.100704 29 -0.107609 -0.9863 0.163421 30 -0.03658 -0.3353 0.36913 31 0.018403 0.1687 0.433231 32 0.013248 0.1214 0.451825 33 -0.126547 -1.1598 0.124704 34 0.009933 0.091 0.463838 35 -0.016785 -0.1538 0.439055 36 -0.046007 -0.4217 0.337176 37 -0.018149 -0.1663 0.434146 38 -0.005183 -0.0475 0.481111 39 0.071971 0.6596 0.255651 40 -0.102676 -0.941 0.174691 41 -0.022892 -0.2098 0.417162 42 -0.025641 -0.235 0.407388 43 -0.024681 -0.2262 0.410795 44 -0.033413 -0.3062 0.380093 45 -0.092391 -0.8468 0.199763 46 0.039283 0.36 0.359861 47 0.040864 0.3745 0.354479 48 -0.040074 -0.3673 0.357167

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/20/t1305849860rvppflzny0l7d2m/10rxs1305850108.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849860rvppflzny0l7d2m/10rxs1305850108.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849860rvppflzny0l7d2m/2e3ey1305850108.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849860rvppflzny0l7d2m/2e3ey1305850108.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849860rvppflzny0l7d2m/3nazh1305850108.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305849860rvppflzny0l7d2m/3nazh1305850108.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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