*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 04:13:08 +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/t1305864579fkt00weh5gr3wl9.htm/, Retrieved Fri, 20 May 2011 06:09:39 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

1,4442 1,3999 1,3649 1,336 1,322 1,3661 1,3898 1,3067 1,2894 1,277 1,2208 1,2565 1,3406 1,3569 1,3686 1,4272 1,4614 1,4914 1,4816 1,4562 1,4268 1,4088 1,4016 1,365 1,319 1,305 1,2785 1,3239 1,3449 1,2732 1,3322 1,4369 1,4975 1,577 1,5553 1,5557 1,575 1,5527 1,4748 1,4718 1,457 1,4684 1,4227 1,3896 1,3622 1,3716 1,3419 1,3511 1,3516 1,3242 1,3074 1,2999 1,3213 1,2881 1,2611 1,2727 1,2811 1,2684 1,265 1,277 1,2271 1,202 1,1938 1,2103 1,1856 1,1786 1,2015 1,2256 1,2292 1,2037 1,2165 1,2694 1,2938 1,3201 1,3014

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 0.92794 8.0362 0 2 0.823679 7.1333 0 3 0.724506 6.2744 0 4 0.611164 5.2928 1e-06 5 0.49074 4.2499 3e-05 6 0.366526 3.1742 0.00109 7 0.243878 2.112 0.019006 8 0.164256 1.4225 0.079514 9 0.110274 0.955 0.171322 10 0.073784 0.639 0.262388 11 0.068573 0.5939 0.277195 12 0.079282 0.6866 0.247226 13 0.097628 0.8455 0.200264 14 0.130982 1.1343 0.130134 15 0.163428 1.4153 0.080556 16 0.171763 1.4875 0.070536 17 0.148035 1.282 0.101892 18 0.113931 0.9867 0.163487 19 0.069852 0.6049 0.273525 20 -0.000482 -0.0042 0.498342 21 -0.081714 -0.7077 0.240672 22 -0.160621 -1.391 0.084167 23 -0.242888 -2.1035 0.019389 24 -0.300526 -2.6026 0.005572 25 -0.339784 -2.9426 0.002164 26 -0.372951 -3.2298 0.00092 27 -0.387239 -3.3536 0.000627 28 -0.399933 -3.4635 0.000442 29 -0.408554 -3.5382 0.000348 30 -0.374251 -3.2411 0.000888 31 -0.331526 -2.8711 0.002657 32 -0.298911 -2.5886 0.005783 33 -0.263389 -2.281 0.012694 34 -0.22363 -1.9367 0.028275 35 -0.177447 -1.5367 0.064283 36 -0.144875 -1.2547 0.106751 37 -0.132551 -1.1479 0.127323 38 -0.113325 -0.9814 0.16477 39 -0.077271 -0.6692 0.252716 40 -0.054438 -0.4714 0.319345 41 -0.054796 -0.4745 0.318245 42 -0.066103 -0.5725 0.284358 43 -0.075116 -0.6505 0.258672 44 -0.08544 -0.7399 0.230827 45 -0.097498 -0.8444 0.200578 46 -0.109992 -0.9526 0.171938 47 -0.114424 -0.9909 0.16245 48 -0.118077 -1.0226 0.154898 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.92794 8.0362 0 2 -0.269161 -2.331 0.011221 3 0.032749 0.2836 0.388745 4 -0.197291 -1.7086 0.045831 5 -0.065825 -0.5701 0.285171 6 -0.121388 -1.0513 0.148258 7 -0.056882 -0.4926 0.311862 8 0.242862 2.1032 0.019399 9 -0.005174 -0.0448 0.482188 10 0.095703 0.8288 0.204921 11 0.10555 0.9141 0.181799 12 -0.014938 -0.1294 0.448708 13 -0.002353 -0.0204 0.4919 14 0.02526 0.2188 0.413717 15 -0.000239 -0.0021 0.499178 16 -0.169061 -1.4641 0.073671 17 -0.195756 -1.6953 0.047083 18 0.043466 0.3764 0.353831 19 -0.076931 -0.6662 0.253649 20 -0.151184 -1.3093 0.097216 21 0.037533 0.325 0.373027 22 0.013453 0.1165 0.453781 23 -0.121996 -1.0565 0.147061 24 0.101905 0.8825 0.190158 25 0.005599 0.0485 0.480728 26 -0.087164 -0.7549 0.226348 27 -0.077698 -0.6729 0.251545 28 -0.158758 -1.3749 0.08663 29 -0.055724 -0.4826 0.315398 30 0.147994 1.2817 0.101955 31 0.00441 0.0382 0.484818 32 0.057041 0.494 0.311378 33 -0.003587 -0.0311 0.487651 34 0.085875 0.7437 0.22969 35 0.097053 0.8405 0.201648 36 -0.16102 -1.3945 0.083646 37 0.028698 0.2485 0.402202 38 0.10354 0.8967 0.186379 39 0.110202 0.9544 0.171479 40 -0.123037 -1.0655 0.145027 41 -0.143596 -1.2436 0.108764 42 -0.001485 -0.0129 0.494886 43 -0.032555 -0.2819 0.389385 44 -0.047009 -0.4071 0.342544 45 0.035491 0.3074 0.379712 46 -0.062272 -0.5393 0.295643 47 0.098659 0.8544 0.197799 48 -0.054347 -0.4707 0.319626

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/May/20/t1305864579fkt00weh5gr3wl9/1qaqa1305864785.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864579fkt00weh5gr3wl9/1qaqa1305864785.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864579fkt00weh5gr3wl9/2o7m31305864785.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864579fkt00weh5gr3wl9/2o7m31305864785.ps (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864579fkt00weh5gr3wl9/3av421305864785.png (open in new window) http://www.freestatistics.org/blog/date/2011/May/20/t1305864579fkt00weh5gr3wl9/3av421305864785.ps (open in new window)

Parameters (Session):

par1 = 72 ;

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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