*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 06 Apr 2011 23:50:01 +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/07/t13021338536puoji6k4aj2ajl.htm/, Retrieved Thu, 07 Apr 2011 01:50:55 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

70938 34077 45409 40809 37013 44953 19848 32745 43412 34931 33008 8620 68906 39556 50669 36432 40891 48428 36222 33425 39401 37967 34801 12657 69116 41519 51321 38529 41547 52073 38401 40898 40439 41888 37898 8771 68184 50530 47221 41756 45633 48138 39486 39341 41117 41629 29722 7054 56676 34870 35117 30169 30936 35699 33228 27733 33666 35429 27438 8170 63410 38040 45389 37353 37024 50957 37994 36454 46080 43373 37395 10963 75001

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 'Gwilym Jenkins' @ www.wessa.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.539401 -4.577 1e-05 2 0.087752 0.7446 0.229469 3 -0.07815 -0.6631 0.254685 4 0.062659 0.5317 0.298293 5 0.174071 1.477 0.072012 6 -0.296166 -2.5131 0.007104 7 0.116289 0.9867 0.163536 8 0.072468 0.6149 0.270277 9 -0.078515 -0.6662 0.2537 10 0.134872 1.1444 0.128119 11 -0.528705 -4.4862 1.3e-05 12 0.760979 6.4571 0 13 -0.401372 -3.4058 0.000541 14 0.070649 0.5995 0.27537 15 -0.069081 -0.5862 0.279797 16 0.050733 0.4305 0.334063 17 0.130555 1.1078 0.135818 18 -0.228488 -1.9388 0.028224 19 0.100152 0.8498 0.199121 20 0.048209 0.4091 0.341852 21 -0.057405 -0.4871 0.313835 22 0.104654 0.888 0.188743 23 -0.431511 -3.6615 0.000238 24 0.607184 5.1521 1e-06 25 -0.309243 -2.624 0.005302 26 0.041502 0.3522 0.362876 27 -0.056974 -0.4834 0.315125 28 0.03228 0.2739 0.392472 29 0.122454 1.0391 0.151128 30 -0.200368 -1.7002 0.046706 31 0.079888 0.6779 0.250012 32 0.050399 0.4277 0.335091 33 -0.062154 -0.5274 0.299771 34 0.101214 0.8588 0.196642 35 -0.348484 -2.957 0.0021 36 0.465883 3.9531 8.9e-05 37 -0.225146 -1.9104 0.03003 38 0.033058 0.2805 0.389945 39 -0.040144 -0.3406 0.367185 40 0.025317 0.2148 0.415258 41 0.087511 0.7426 0.230083 42 -0.14101 -1.1965 0.117712 43 0.055781 0.4733 0.318709 44 0.039778 0.3375 0.368352 45 -0.053535 -0.4543 0.325503 46 0.109397 0.9283 0.178185 47 -0.27414 -2.3262 0.011415 48 0.325092 2.7585 0.003678 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.539401 -4.577 1e-05 2 -0.286584 -2.4317 0.008758 3 -0.264032 -2.2404 0.014076 4 -0.16299 -1.383 0.085467 5 0.218124 1.8508 0.034147 6 -0.065374 -0.5547 0.290403 7 -0.112057 -0.9508 0.172433 8 0.08424 0.7148 0.238522 9 -0.041235 -0.3499 0.36372 10 0.150877 1.2802 0.102286 11 -0.555946 -4.7174 6e-06 12 0.384998 3.2668 0.000834 13 0.092903 0.7883 0.216552 14 0.034679 0.2943 0.384701 15 0.028558 0.2423 0.404611 16 0.092914 0.7884 0.216526 17 -0.144874 -1.2293 0.111482 18 -0.03462 -0.2938 0.384892 19 0.065955 0.5596 0.288728 20 -0.034165 -0.2899 0.386363 21 0.037936 0.3219 0.374232 22 -0.125917 -1.0684 0.144446 23 -0.0331 -0.2809 0.389811 24 0.048857 0.4146 0.339845 25 0.060986 0.5175 0.303203 26 -0.024934 -0.2116 0.416519 27 0.037543 0.3186 0.37549 28 -0.084523 -0.7172 0.237785 29 -0.038179 -0.324 0.373453 30 -0.020771 -0.1762 0.430297 31 -0.041579 -0.3528 0.362631 32 0.026253 0.2228 0.412175 33 -0.061718 -0.5237 0.30105 34 -0.036564 -0.3103 0.378633 35 0.028799 0.2444 0.403821 36 0.00504 0.0428 0.483005 37 -0.020949 -0.1778 0.429706 38 0.065489 0.5557 0.290071 39 0.009738 0.0826 0.467188 40 0.019879 0.1687 0.433261 41 -0.029711 -0.2521 0.400838 42 0.022784 0.1933 0.423623 43 0.005942 0.0504 0.479963 44 -0.033089 -0.2808 0.389847 45 -0.02013 -0.1708 0.432427 46 0.086397 0.7331 0.232939 47 0.075697 0.6423 0.261355 48 -0.059648 -0.5061 0.307157

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/07/t13021338536puoji6k4aj2ajl/14suv1302133800.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021338536puoji6k4aj2ajl/14suv1302133800.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021338536puoji6k4aj2ajl/20rmw1302133800.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021338536puoji6k4aj2ajl/20rmw1302133800.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021338536puoji6k4aj2ajl/33b3j1302133800.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021338536puoji6k4aj2ajl/33b3j1302133800.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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