Home » date » 2011 » Apr » 07 »

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: Thu, 07 Apr 2011 13:02:10 +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/t1302181148q9g0mp99cyhl3b9.htm/, Retrieved Thu, 07 Apr 2011 14:59:10 +0200
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
41 39 50 40 43 38 44 35 39 35 29 49 50 59 63 32 39 47 53 60 57 52 70 90 74 62 55 84 94 70 108 139 120 97 126 149 158 124 140 109 114 77 120 133 110 92 97 78 99 107 112 90 98 125 155 190 236 189 174 178 136 161 171 149 184 155 276 224 213 279 268 287 238 213 257 293 212 246 353 339 308 247 257 322 298 273 312 249 286 279 309 401 309 328 353 354 327 324 285 243 241 287 355 460 364 487 452 391 500 451 375 372 302 316 398 394 431 431
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ www.wessa.org
R Framework
error message
Warning: there are blank lines in the 'Data' field.
Please, use NA for missing data - blank lines are simply
 deleted and are NOT treated as missing values.


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.259253-2.80430.002953
2-0.137102-1.4830.070383
30.1555421.68240.047575
4-0.238261-2.57720.005602
50.1126691.21870.112705
6-0.054618-0.59080.277903
7-0.214965-2.32520.010892
80.1774991.91990.02865
9-0.092417-0.99960.159774
10-0.205148-2.2190.014207
110.1134451.22710.111125
120.1902792.05820.020897
130.0400970.43370.332645
140.076340.82570.205316
15-0.08202-0.88720.188401
16-0.082416-0.89150.187254
170.1351711.46210.073197
18-0.162871-1.76170.040365
190.0232790.25180.400819
200.1142641.2360.109476
21-0.250581-2.71040.003865
220.0785310.84940.198685
230.0242680.26250.3967
240.0001560.00170.49933
250.1735871.87760.031461
26-0.101873-1.10190.136378
27-0.019498-0.21090.416663
280.0833740.90180.1845
29-0.124863-1.35060.089715
300.0280480.30340.381067
310.0562260.60820.272124
32-0.061244-0.66250.254493
33-0.087771-0.94940.172189
340.0146870.15890.437026
350.0064660.06990.472179
360.1232091.33270.092609
370.0370.40020.344864
38-0.148687-1.60830.055233
390.1963812.12420.01788
40-0.03029-0.32760.371885
41-0.069409-0.75080.227147
420.0379190.41020.34122
43-0.056532-0.61150.271033
440.0103060.11150.455713
45-0.075333-0.81480.208408
46-0.104376-1.1290.130604
470.1273251.37720.085534
480.069750.75450.226044


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.259253-2.80430.002953
2-0.219036-2.36920.009731
30.0624150.67510.250466
4-0.228782-2.47470.007385
50.0261040.28240.389083
6-0.124928-1.35130.089602
7-0.235349-2.54570.006103
8-0.042119-0.45560.324765
9-0.131315-1.42040.079077
10-0.329843-3.56780.000261
11-0.253441-2.74140.00354
120.0975331.0550.146804
130.0582090.62960.265083
140.0834160.90230.184381
15-0.001447-0.01570.49377
16-0.130377-1.41020.080561
17-0.011346-0.12270.451268
18-0.094448-1.02160.154536
190.023990.25950.397856
200.0505540.54680.29277
21-0.131799-1.42560.07832
220.007710.08340.466838
230.0356610.38570.350199
240.0779050.84270.200566
250.0195570.21150.416417
26-0.057675-0.62390.266969
27-0.053682-0.58070.281292
280.0001010.00110.499567
29-0.016178-0.1750.430696
300.0129360.13990.44448
310.0021640.02340.490683
32-0.021806-0.23590.406973
33-0.13513-1.46160.073259
34-0.045998-0.49750.309869
35-0.002969-0.03210.48722
360.0500260.54110.294731
370.0034690.03750.485065
38-0.119934-1.29730.098543
390.1053121.13910.12849
400.0817580.88430.189162
410.1353891.46450.072876
42-0.046213-0.49990.309052
43-0.004631-0.05010.480069
44-0.035681-0.38590.350119
45-0.034545-0.37370.354665
460.0379310.41030.341174
470.0435450.4710.319256
480.0417990.45210.326009
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2011/Apr/07/t1302181148q9g0mp99cyhl3b9/1dx761302181329.png (open in new window)
http://www.freestatistics.org/blog/date/2011/Apr/07/t1302181148q9g0mp99cyhl3b9/1dx761302181329.ps (open in new window)


http://www.freestatistics.org/blog/date/2011/Apr/07/t1302181148q9g0mp99cyhl3b9/20ihv1302181329.png (open in new window)
http://www.freestatistics.org/blog/date/2011/Apr/07/t1302181148q9g0mp99cyhl3b9/20ihv1302181329.ps (open in new window)


http://www.freestatistics.org/blog/date/2011/Apr/07/t1302181148q9g0mp99cyhl3b9/378sw1302181329.png (open in new window)
http://www.freestatistics.org/blog/date/2011/Apr/07/t1302181148q9g0mp99cyhl3b9/378sw1302181329.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

Creative Commons License

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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