Autocorrelation d=0; D=0
| Summary of compuational transaction | |
| Raw Input | view raw input (R code) |
| Raw Output | view raw output of R engine |
| Computing time | 1 seconds |
| R Server | 'Gwilym Jenkins' @ 72.249.127.135 |
| Autocorrelation Function | |||
| Time lag k | ACF(k) | T-STAT | P-value |
| 0 | 1 | 7.746 | 0 |
| 1 | 0.419586 | 3.2501 | 0.000947 |
| 2 | -0.085145 | -0.6595 | 0.74396 |
| 3 | -0.193771 | -1.5009 | 0.930693 |
| 4 | -0.082252 | -0.6371 | 0.736764 |
| 5 | 0.036133 | 0.2799 | 0.390266 |
| 6 | -0.073646 | -0.5705 | 0.714752 |
| 7 | -0.064461 | -0.4993 | 0.690308 |
| 8 | -0.104665 | -0.8107 | 0.789638 |
| 9 | -0.140177 | -1.0858 | 0.859046 |
| 10 | -0.010922 | -0.0846 | 0.53357 |
| 11 | 0.283309 | 2.1945 | 0.016041 |
| 12 | 0.520658 | 4.033 | 7.9e-05 |
| 13 | 0.205541 | 1.5921 | 0.058307 |
| 14 | -0.146059 | -1.1314 | 0.868799 |
| 15 | -0.178368 | -1.3816 | 0.913896 |
| 16 | -0.083547 | -0.6471 | 0.739998 |
| 17 | -0.003097 | -0.024 | 0.509529 |
| 18 | -0.0237 | -0.1836 | 0.57252 |
| 19 | -0.056616 | -0.4385 | 0.668717 |
| 20 | -0.0907 | -0.7026 | 0.757477 |
| 21 | -0.096567 | -0.748 | 0.77131 |
| 22 | -0.057687 | -0.4468 | 0.671702 |
| 23 | 0.161808 | 1.2534 | 0.107469 |
| 24 | 0.322589 | 2.4988 | 0.007609 |
| 25 | 0.117992 | 0.914 | 0.182198 |
| 26 | -0.146513 | -1.1349 | 0.869532 |
| 27 | -0.162111 | -1.2557 | 0.892955 |
| 28 | -0.029676 | -0.2299 | 0.590514 |
| 29 | -0.021421 | -0.1659 | 0.565612 |
| 30 | -0.116871 | -0.9053 | 0.815532 |
| 31 | -0.115071 | -0.8913 | 0.811845 |
| 32 | -0.11875 | -0.9198 | 0.819327 |
| 33 | -0.102617 | -0.7949 | 0.785088 |
| 34 | -0.039559 | -0.3064 | 0.619827 |
| 35 | 0.081829 | 0.6338 | 0.264295 |
| 36 | 0.208528 | 1.6153 | 0.055751 |
| 37 | 0.034205 | 0.265 | 0.395977 |
| 38 | -0.111158 | -0.861 | 0.803674 |
| 39 | -0.074445 | -0.5766 | 0.716832 |
| 40 | -0.009502 | -0.0736 | 0.529215 |
| 41 | -0.035469 | -0.2747 | 0.60777 |
| 42 | -0.142541 | -1.1041 | 0.863025 |
| 43 | -0.110764 | -0.858 | 0.80284 |
| 44 | -0.101065 | -0.7828 | 0.781601 |
| 45 | -0.045841 | -0.3551 | 0.638115 |
| 46 | 0.063193 | 0.4895 | 0.31314 |
| 47 | 0.121401 | 0.9404 | 0.175399 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.419586 | 3.2501 | 0.000947 |
| 1 | -0.317007 | -2.4555 | 0.991509 |
| 2 | -0.018497 | -0.1433 | 0.556723 |
| 3 | 0.007193 | 0.0557 | 0.477875 |
| 4 | 0.023171 | 0.1795 | 0.429081 |
| 5 | -0.177697 | -1.3764 | 0.913098 |
| 6 | 0.082153 | 0.6364 | 0.263484 |
| 7 | -0.169871 | -1.3158 | 0.903379 |
| 8 | -0.078541 | -0.6084 | 0.727383 |
| 9 | 0.075668 | 0.5861 | 0.279995 |
| 10 | 0.306115 | 2.3712 | 0.01048 |
| 11 | 0.308325 | 2.3883 | 0.010046 |
| 12 | -0.130595 | -1.0116 | 0.842101 |
| 13 | -0.032024 | -0.2481 | 0.59753 |
| 14 | 0.010593 | 0.0821 | 0.467438 |
| 15 | -0.087941 | -0.6812 | 0.750812 |
| 16 | -0.031559 | -0.2445 | 0.596143 |
| 17 | 0.085833 | 0.6649 | 0.254344 |
| 18 | -0.028687 | -0.2222 | 0.587548 |
| 19 | -0.025293 | -0.1959 | 0.577331 |
| 20 | 0.007841 | 0.0607 | 0.475886 |
| 21 | -0.142057 | -1.1004 | 0.862217 |
| 22 | 0.047263 | 0.3661 | 0.357789 |
| 23 | 0.060643 | 0.4697 | 0.320123 |
| 24 | -0.040288 | -0.3121 | 0.621966 |
| 25 | -0.035708 | -0.2766 | 0.608477 |
| 26 | 0.051943 | 0.4023 | 0.344429 |
| 27 | -0.002264 | -0.0175 | 0.506967 |
| 28 | -0.127992 | -0.9914 | 0.83727 |
| 29 | -0.112167 | -0.8688 | 0.805803 |
| 30 | 0.02467 | 0.1911 | 0.424549 |
| 31 | -0.104078 | -0.8062 | 0.788341 |
| 32 | -0.040213 | -0.3115 | 0.621744 |
| 33 | 0.060567 | 0.4691 | 0.320332 |
| 34 | -0.074628 | -0.5781 | 0.71731 |
| 35 | -0.010696 | -0.0829 | 0.532878 |
| 36 | -0.072283 | -0.5599 | 0.711183 |
| 37 | 0.039979 | 0.3097 | 0.37894 |
| 38 | -0.02099 | -0.1626 | 0.564307 |
| 39 | -0.007556 | -0.0585 | 0.523238 |
| 40 | -0.023662 | -0.1833 | 0.572405 |
| 41 | -0.039744 | -0.3079 | 0.620371 |
| 42 | -0.004578 | -0.0355 | 0.514085 |
| 43 | -0.073655 | -0.5705 | 0.714775 |
| 44 | 0.065724 | 0.5091 | 0.306277 |
| 45 | 0.06348 | 0.4917 | 0.312357 |
| 46 | 0.022857 | 0.1771 | 0.430032 |
| 47 | 0.039025 | 0.3023 | 0.38174 |
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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 (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
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