Australian sparkling wine

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 07 Apr 2011 07:55:03 +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/t13021631047ysdi0eray3kp61.htm/, Retrieved Thu, 07 Apr 2011 09:58:27 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

KDGP2W12

Dataseries X:

» Textbox « » Textfile « » CSV «

1686 1591 2304 1712 1471 1377 1966 2453 1984 2596 4087 5179 1530 1523 1633 1976 1170 1480 1781 2472 1981 2273 3857 4551 1510 1329 1518 1790 1537 1449 1954 1897 1706 2514 3593 4524 1609 1638 2030 1375 1320 1245 1600 2298 2191 2511 3440 4923 1609 1435 2061 1789 1567 1404 1597 3159 1759 2504 4273 5274 1771 1682 1846 1589 1896 1379 1645 2512 1771 3727 4388 5434 1606 1523 1577 1605 1765 1403 2584 3318 1562 2349 3987 5891 1389 1442 1548 1935 1518 1250 1847 1930 2638 3114 4405 7242 1853 1779 2108 2336 1728 1661 2230 1645 2421 3740 4988 6757 1757 1394 1982 1650 1654 1406 1971 1968 2608 3845 4514 6694 1720 1321 1859 1628 1615 1457 1899 1605 2424 3116 4286 6047 1902 2049 1874 1279 1432 1540 2214 1857 2408 3252 3627 6153 1577 1667 1993 1997 1783 1625 2076 1773 2377 3088 4096 6119 1494 1564 1898 2121 1831 1515 2048 2795 1749 3339 4227 6410 1197 1968 1720 etc...

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 0.366828 5.0163 1e-06 2 0.019403 0.2653 0.395523 3 -0.121173 -1.657 0.049597 4 -0.161524 -2.2088 0.014201 5 -0.275363 -3.7655 0.000111 6 -0.403815 -5.5221 0 7 -0.273758 -3.7436 0.000121 8 -0.16446 -2.249 0.012841 9 -0.112242 -1.5349 0.063251 10 0.022957 0.3139 0.376961 11 0.344006 4.7042 2e-06 12 0.892264 12.2015 0 13 0.341373 4.6682 3e-06 14 0.017741 0.2426 0.404291 15 -0.12309 -1.6832 0.047 16 -0.143776 -1.9661 0.025383 17 -0.257546 -3.5219 0.000269 18 -0.381532 -5.2174 0 19 -0.260054 -3.5562 0.000238 20 -0.15938 -2.1795 0.015273 21 -0.113311 -1.5495 0.061475 22 0.016923 0.2314 0.408622 23 0.323043 4.4175 8e-06 24 0.826893 11.3076 0 25 0.316241 4.3245 1.2e-05 26 0.015798 0.216 0.414596 27 -0.108952 -1.4899 0.068968 28 -0.136182 -1.8623 0.032068 29 -0.246048 -3.3647 0.000465 30 -0.365339 -4.9959 1e-06 31 -0.250187 -3.4213 0.000383 32 -0.159149 -2.1763 0.015392 33 -0.102874 -1.4068 0.080576 34 0.012814 0.1752 0.430545 35 0.299308 4.093 3.2e-05 36 0.767804 10.4996 0 37 0.299417 4.0945 3.1e-05 38 0.010907 0.1491 0.440799 39 -0.108497 -1.4837 0.069789 40 -0.119939 -1.6401 0.051329 41 -0.228344 -3.1226 0.001039 42 -0.34215 -4.6788 3e-06 43 -0.236603 -3.2355 0.000718 44 -0.152535 -2.0859 0.019173 45 -0.10025 -1.3709 0.086026 46 0.013547 0.1852 0.426618 47 0.276785 3.785 0.000103 48 0.710673 9.7183 0 49 0.282974 3.8696 7.5e-05 50 0.006833 0.0934 0.462828 51 -0.10672 -1.4594 0.07307 52 -0.117784 -1.6107 0.054469 53 -0.224266 -3.0668 0.001242 54 -0.315073 -4.3086 1.3e-05 55 -0.211822 -2.8966 0.002111 56 -0.148455 -2.0301 0.021882 57 -0.101338 -1.3858 0.083734 58 0.001942 0.0266 0.489419 59 0.250161 3.4209 0.000383 60 0.64471 8.8163 0 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.366828 5.0163 1e-06 2 -0.133065 -1.8196 0.035207 3 -0.094606 -1.2937 0.09868 4 -0.0904 -1.2362 0.108966 5 -0.227063 -3.105 0.001099 6 -0.310437 -4.2452 1.7e-05 7 -0.123853 -1.6937 0.045997 8 -0.208876 -2.8563 0.002385 9 -0.264504 -3.617 0.000192 10 -0.165132 -2.2581 0.012546 11 0.127723 1.7466 0.041175 12 0.822085 11.2418 0 13 -0.201251 -2.7521 0.003253 14 0.02867 0.3921 0.347731 15 -0.012156 -0.1662 0.434075 16 0.056615 0.7742 0.219895 17 0.03893 0.5324 0.297556 18 0.052617 0.7195 0.236356 19 0.015966 0.2183 0.413706 20 0.011655 0.1594 0.436771 21 -0.059627 -0.8154 0.207943 22 -0.014093 -0.1927 0.423695 23 0.018684 0.2555 0.399308 24 0.153038 2.0928 0.01886 25 -0.083955 -1.1481 0.126204 26 0.020349 0.2783 0.390556 27 0.058231 0.7963 0.213436 28 -0.070184 -0.9598 0.169208 29 0.009306 0.1273 0.449439 30 -0.006193 -0.0847 0.4663 31 -0.00377 -0.0516 0.479468 32 -0.018714 -0.2559 0.399149 33 0.047318 0.6471 0.25919 34 -0.04166 -0.5697 0.284784 35 -0.018507 -0.2531 0.40024 36 0.028928 0.3956 0.34643 37 0.000567 0.0077 0.496912 38 -0.032396 -0.443 0.329135 39 -0.022684 -0.3102 0.378379 40 0.034532 0.4722 0.318661 41 0.009732 0.1331 0.447133 42 0.025935 0.3547 0.361624 43 -0.010851 -0.1484 0.441101 44 0.018341 0.2508 0.401117 45 -0.030195 -0.4129 0.340075 46 0.035952 0.4916 0.311778 47 -0.027763 -0.3797 0.352315 48 0.03135 0.4287 0.334317 49 -0.006286 -0.086 0.465797 50 -0.011614 -0.1588 0.436989 51 -0.01452 -0.1986 0.421413 52 -0.044631 -0.6103 0.271195 53 -0.057277 -0.7833 0.217234 54 0.062939 0.8607 0.195258 55 0.04019 0.5496 0.291626 56 -0.0521 -0.7125 0.238536 57 -0.029651 -0.4055 0.342795 58 -0.059625 -0.8154 0.207952 59 -0.02605 -0.3562 0.361035 60 -0.086266 -1.1797 0.119815

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Apr/07/t13021631047ysdi0eray3kp61/1jdxk1302162902.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021631047ysdi0eray3kp61/1jdxk1302162902.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021631047ysdi0eray3kp61/224rt1302162902.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021631047ysdi0eray3kp61/224rt1302162902.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021631047ysdi0eray3kp61/39as31302162902.png (open in new window) http://www.freestatistics.org/blog/date/2011/Apr/07/t13021631047ysdi0eray3kp61/39as31302162902.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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