Example 1: AutoCorrelation

Consider the Wolfer Sunspot Data (Anderson 1971, p. 660) consisting of the number of sunspots observed each year from 1749 through 1924. The data set for this example consists of the number of sunspots observed from 1770 through 1869. This example computes the estimated autocovariances, estimated autocorrelations, and estimated standard errors of the autocorrelations using both Bartletts and Moran formulas.

import java.text.*;
import com.imsl.stat.*;
import com.imsl.math.PrintMatrix;

public class AutoCorrelationEx1 {
    public static void main(String args[]) throws Exception {
        double[] x = {100.8, 81.6, 66.5, 34.8, 30.6, 7, 19.8, 92.5,
        154.4, 125.9, 84.8, 68.1, 38.5, 22.8, 10.2, 24.1, 82.9,
        132, 130.9, 118.1, 89.9, 66.6, 60, 46.9, 41, 21.3, 16,
        6.4, 4.1, 6.8, 14.5, 34, 45, 43.1, 47.5, 42.2, 28.1, 10.1,
        8.1, 2.5, 0, 1.4, 5, 12.2, 13.9, 35.4, 45.8, 41.1, 30.4,
        23.9, 15.7, 6.6, 4, 1.8, 8.5, 16.6, 36.3, 49.7, 62.5,
        67, 71, 47.8, 27.5, 8.5, 13.2, 56.9, 121.5, 138.3, 103.2,
        85.8, 63.2, 36.8, 24.2, 10.7, 15, 40.1, 61.5, 98.5,
        124.3, 95.9, 66.5, 64.5, 54.2, 39, 20.6, 6.7, 4.3, 22.8,
        54.8, 93.8, 95.7, 77.2, 59.1, 44, 47, 30.5, 16.3, 7.3,
        37.3, 73.9};
        
        AutoCorrelation ac = new AutoCorrelation(x, 20);

        
        new PrintMatrix("AutoCovariances are:  ").print
                       (ac.getAutoCovariances());
        System.out.println();
        new PrintMatrix("AutoCorrelations are:  ").print
                       (ac.getAutoCorrelations());
        System.out.println("Mean = "+ac.getMean());
        System.out.println();
        new PrintMatrix("Standard Error using Bartlett are:  ").print
                       (ac.getStandardErrors(ac.BARTLETTS_FORMULA));
        System.out.println();
        new PrintMatrix("Standard Error using Moran are:  ").print
                       (ac.getStandardErrors(ac.MORANS_FORMULA)); 
        System.out.println();
        new PrintMatrix("Partial AutoCovariances:  ").print
                       (ac.getPartialAutoCorrelations());        
        ac.setMean(50);
        new PrintMatrix("AutoCovariances are:  ").print
                       (ac.getAutoCovariances());
        System.out.println();
        new PrintMatrix("AutoCorrelations are:  ").print
                       (ac.getAutoCorrelations());
        System.out.println();
        new PrintMatrix("Standard Error using Bartlett are:  ").print
                       (ac.getStandardErrors(ac.BARTLETTS_FORMULA));        
        
    }
}

Output

AutoCovariances are:  
        0      
 0  1,382.908  
 1  1,115.029  
 2    592.004  
 3     95.297  
 4   -235.952  
 5   -370.011  
 6   -294.255  
 7    -60.442  
 8    227.633  
 9    458.381  
10    567.841  
11    546.122  
12    398.937  
13    197.757  
14     26.891  
15    -77.281  
16   -143.733  
17   -202.048  
18   -245.372  
19   -230.816  
20   -142.879  


AutoCorrelations are:  
      0     
 0   1      
 1   0.806  
 2   0.428  
 3   0.069  
 4  -0.171  
 5  -0.268  
 6  -0.213  
 7  -0.044  
 8   0.165  
 9   0.331  
10   0.411  
11   0.395  
12   0.288  
13   0.143  
14   0.019  
15  -0.056  
16  -0.104  
17  -0.146  
18  -0.177  
19  -0.167  
20  -0.103  

Mean = 46.976000000000006

Standard Error using Bartlett are:  
      0    
 0  0.035  
 1  0.096  
 2  0.157  
 3  0.206  
 4  0.231  
 5  0.229  
 6  0.209  
 7  0.178  
 8  0.146  
 9  0.134  
10  0.151  
11  0.174  
12  0.191  
13  0.195  
14  0.196  
15  0.196  
16  0.196  
17  0.199  
18  0.205  
19  0.209  


Standard Error using Moran are:  
      0    
 0  0.099  
 1  0.098  
 2  0.098  
 3  0.097  
 4  0.097  
 5  0.096  
 6  0.095  
 7  0.095  
 8  0.094  
 9  0.094  
10  0.093  
11  0.093  
12  0.092  
13  0.092  
14  0.091  
15  0.091  
16  0.09   
17  0.09   
18  0.089  
19  0.089  


Partial AutoCovariances:  
      0     
 0   0.806  
 1  -0.635  
 2   0.078  
 3  -0.059  
 4  -0.001  
 5   0.172  
 6   0.109  
 7   0.11   
 8   0.079  
 9   0.079  
10   0.069  
11  -0.038  
12   0.081  
13   0.033  
14  -0.035  
15  -0.131  
16  -0.155  
17  -0.119  
18  -0.016  
19  -0.004  

AutoCovariances are:  
        0      
 0  1,392.053  
 1  1,126.524  
 2    604.162  
 3    106.754  
 4   -225.882  
 5   -361.026  
 6   -286.57   
 7    -53.76   
 8    235.966  
 9    470.786  
10    584.014  
11    564.764  
12    418.363  
13    216.104  
14     43.125  
15    -63.468  
16   -131.501  
17   -189.063  
18   -229.689  
19   -212.156  
20   -121.569  


AutoCorrelations are:  
      0     
 0   1      
 1   0.809  
 2   0.434  
 3   0.077  
 4  -0.162  
 5  -0.259  
 6  -0.206  
 7  -0.039  
 8   0.17   
 9   0.338  
10   0.42   
11   0.406  
12   0.301  
13   0.155  
14   0.031  
15  -0.046  
16  -0.094  
17  -0.136  
18  -0.165  
19  -0.152  
20  -0.087  


Standard Error using Bartlett are:  
      0    
 0  0.034  
 1  0.097  
 2  0.159  
 3  0.21   
 4  0.236  
 5  0.233  
 6  0.212  
 7  0.18   
 8  0.147  
 9  0.134  
10  0.148  
11  0.172  
12  0.19   
13  0.197  
14  0.198  
15  0.198  
16  0.198  
17  0.201  
18  0.207  
19  0.21   

Link to Java source.