Autocorrelation (D=0;d=1)
| 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 | 8.9443 | 0 |
| 1 | 0.348654 | 3.1185 | 0.001263 |
| 2 | -0.058725 | -0.5253 | 0.69957 |
| 3 | -0.04657 | -0.4165 | 0.660933 |
| 4 | 0.002668 | 0.0239 | 0.490512 |
| 5 | -0.088023 | -0.7873 | 0.783285 |
| 6 | -0.118718 | -1.0618 | 0.85425 |
| 7 | -0.069167 | -0.6187 | 0.731048 |
| 8 | 0.189242 | 1.6926 | 0.047208 |
| 9 | 0.075794 | 0.6779 | 0.249889 |
| 10 | -0.066493 | -0.5947 | 0.723148 |
| 11 | 0.035187 | 0.3147 | 0.376897 |
| 12 | 0.220528 | 1.9725 | 0.026006 |
| 13 | -0.044258 | -0.3959 | 0.653368 |
| 14 | -0.153224 | -1.3705 | 0.912814 |
| 15 | -0.109942 | -0.9834 | 0.835801 |
| 16 | -0.144931 | -1.2963 | 0.900701 |
| 17 | -0.059019 | -0.5279 | 0.700479 |
| 18 | -0.030783 | -0.2753 | 0.608115 |
| 19 | 0.109044 | 0.9753 | 0.166171 |
| 20 | 0.199972 | 1.7886 | 0.038732 |
| 21 | -0.03187 | -0.2851 | 0.611831 |
| 22 | -0.126668 | -1.1329 | 0.86969 |
| 23 | -0.056961 | -0.5095 | 0.694089 |
| 24 | -0.127936 | -1.1443 | 0.872042 |
| 25 | -0.091456 | -0.818 | 0.792108 |
| 26 | 0.006995 | 0.0626 | 0.475135 |
| 27 | 0.109207 | 0.9768 | 0.165812 |
| 28 | 0.064908 | 0.5806 | 0.281586 |
| 29 | 0.03227 | 0.2886 | 0.386805 |
| 30 | -0.010587 | -0.0947 | 0.537603 |
| 31 | 0.075012 | 0.6709 | 0.2521 |
| 32 | 0.044881 | 0.4014 | 0.344587 |
| 33 | -0.026469 | -0.2367 | 0.593272 |
| 34 | 0.00465 | 0.0416 | 0.483464 |
| 35 | 0.059279 | 0.5302 | 0.298718 |
| 36 | -0.022102 | -0.1977 | 0.578104 |
| 37 | -0.02772 | -0.2479 | 0.59759 |
| 38 | -0.011803 | -0.1056 | 0.541907 |
| 39 | 0.033453 | 0.2992 | 0.382776 |
| 40 | -0.011567 | -0.1035 | 0.54107 |
| 41 | -0.110502 | -0.9884 | 0.837021 |
| 42 | -0.11916 | -1.0658 | 0.85514 |
| 43 | -0.107005 | -0.9571 | 0.829295 |
| 44 | -0.075008 | -0.6709 | 0.747889 |
| 45 | -0.017213 | -0.154 | 0.560984 |
| 46 | 0.016101 | 0.144 | 0.442927 |
| 47 | -0.012964 | -0.116 | 0.54601 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.348654 | 3.1185 | 0.001263 |
| 1 | -0.205233 | -1.8357 | 0.964938 |
| 2 | 0.059021 | 0.5279 | 0.299516 |
| 3 | -0.013459 | -0.1204 | 0.54776 |
| 4 | -0.109184 | -0.9766 | 0.834138 |
| 5 | -0.046153 | -0.4128 | 0.659574 |
| 6 | -0.032001 | -0.2862 | 0.612278 |
| 7 | 0.242254 | 2.1668 | 0.016613 |
| 8 | -0.132458 | -1.1847 | 0.880185 |
| 9 | -0.006102 | -0.0546 | 0.521695 |
| 10 | 0.092515 | 0.8275 | 0.205214 |
| 11 | 0.16453 | 1.4716 | 0.072525 |
| 12 | -0.218416 | -1.9536 | 0.972876 |
| 13 | 0.017897 | 0.1601 | 0.436614 |
| 14 | -0.046201 | -0.4132 | 0.65973 |
| 15 | -0.22306 | -1.9951 | 0.975282 |
| 16 | 0.131579 | 1.1769 | 0.121366 |
| 17 | -0.059567 | -0.5328 | 0.702169 |
| 18 | 0.195702 | 1.7504 | 0.04194 |
| 19 | -0.085264 | -0.7626 | 0.776035 |
| 20 | -0.080261 | -0.7179 | 0.762538 |
| 21 | 0.01974 | 0.1766 | 0.43015 |
| 22 | -0.114675 | -1.0257 | 0.845933 |
| 23 | -0.09142 | -0.8177 | 0.792016 |
| 24 | 0.082341 | 0.7365 | 0.231797 |
| 25 | 0.061818 | 0.5529 | 0.29093 |
| 26 | 0.020535 | 0.1837 | 0.427369 |
| 27 | 0.01591 | 0.1423 | 0.4436 |
| 28 | 0.00318 | 0.0284 | 0.48869 |
| 29 | -0.015011 | -0.1343 | 0.553233 |
| 30 | -0.005718 | -0.0511 | 0.52033 |
| 31 | -0.009581 | -0.0857 | 0.534039 |
| 32 | 0.132094 | 1.1815 | 0.120456 |
| 33 | -0.025827 | -0.231 | 0.591051 |
| 34 | 0.065227 | 0.5834 | 0.28063 |
| 35 | 0.036948 | 0.3305 | 0.370952 |
| 36 | -0.121802 | -1.0894 | 0.860383 |
| 37 | -0.012285 | -0.1099 | 0.543612 |
| 38 | -0.081899 | -0.7325 | 0.767007 |
| 39 | -0.020473 | -0.1831 | 0.572416 |
| 40 | -0.07408 | -0.6626 | 0.745252 |
| 41 | -0.034824 | -0.3115 | 0.621877 |
| 42 | -0.085422 | -0.764 | 0.776454 |
| 43 | 0.03298 | 0.295 | 0.384386 |
| 44 | -0.050735 | -0.4538 | 0.674393 |
| 45 | -0.063031 | -0.5638 | 0.712754 |
| 46 | -0.029493 | -0.2638 | 0.603691 |
| 47 | -0.002939 | -0.0263 | 0.510454 |
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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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