ACF d=0 en D=0 lambda -2

*The author of this computation has been verified*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 07 Dec 2008 08:39:10 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t1228664419v6p2ik63b0a89xu.htm/, Retrieved Sun, 07 Dec 2008 15:40:21 +0000

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t1228664419v6p2ik63b0a89xu.htm/}, year = {2008}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2008}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc]  [reply]  test Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

92.66 94.2 94.37 94.45 94.62 94.37 93.43 94.79 94.88 94.79 94.62 94.71 93.77 95.73 95.99 95.82 95.47 95.82 94.71 96.33 96.5 96.16 96.33 96.33 95.05 96.84 96.92 97.44 97.78 97.69 96.67 98.29 98.2 98.71 98.54 98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.915152 7.1476 0 2 0.870708 6.8004 0 3 0.828587 6.4715 0 4 0.788458 6.1581 0 5 0.747802 5.8405 0 6 0.737136 5.7572 0 7 0.647992 5.061 2e-06 8 0.599871 4.6851 8e-06 9 0.552837 4.3178 2.9e-05 10 0.50883 3.9741 9.5e-05 11 0.464673 3.6292 0.000291 12 0.452119 3.5312 0.000397 13 0.37151 2.9016 0.002579 14 0.329953 2.577 0.0062 15 0.288162 2.2506 0.014013 16 0.244652 1.9108 0.030367 17 0.196795 1.537 0.064731 18 0.182266 1.4235 0.079837 19 0.10631 0.8303 0.2048 20 0.065564 0.5121 0.305225 21 0.026512 0.2071 0.418323 22 -0.014944 -0.1167 0.453734 23 -0.050552 -0.3948 0.347174 24 -0.055813 -0.4359 0.332219 25 -0.115083 -0.8988 0.18614 26 -0.145549 -1.1368 0.13004 27 -0.182255 -1.4235 0.079849 28 -0.214892 -1.6784 0.049197 29 -0.238167 -1.8601 0.033844 30 -0.242265 -1.8921 0.03161 31 -0.289608 -2.2619 0.013639 32 -0.309862 -2.4201 0.009255 33 -0.333915 -2.608 0.005719 34 -0.349993 -2.7335 0.004094 35 -0.360957 -2.8192 0.003242 36 -0.356397 -2.7835 0.003574 37 -0.388805 -3.0367 0.001758 38 -0.396464 -3.0965 0.001479 39 -0.401583 -3.1365 0.001316 40 -0.406135 -3.172 0.001185 41 -0.410253 -3.2042 0.001078 42 -0.396341 -3.0955 0.001483 43 -0.406539 -3.1752 0.001174 44 -0.3968 -3.0991 0.001467 45 -0.385922 -3.0141 0.001875 46 -0.380483 -2.9717 0.002117 47 -0.37527 -2.931 0.002375 48 -0.355812 -2.779 0.003619 49 -0.352373 -2.7521 0.003893 50 -0.329438 -2.573 0.006265 51 -0.307831 -2.4042 0.009629 52 -0.285054 -2.2263 0.014847 53 -0.259402 -2.026 0.023573 54 -0.225125 -1.7583 0.041858 55 -0.199574 -1.5587 0.062118 56 -0.163909 -1.2802 0.102666 57 -0.132931 -1.0382 0.151633 58 -0.103932 -0.8117 0.210049 59 -0.07227 -0.5644 0.287259 60 -0.033392 -0.2608 0.397563 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.915152 7.1476 0 2 0.20434 1.596 0.057834 3 0.04867 0.3801 0.352586 4 0.011322 0.0884 0.464913 5 -0.013269 -0.1036 0.458899 6 0.172837 1.3499 0.091018 7 -0.432505 -3.378 0.000638 8 0.060916 0.4758 0.317969 9 0.008273 0.0646 0.474346 10 0.004345 0.0339 0.486519 11 -0.000234 -0.0018 0.499275 12 0.090031 0.7032 0.242314 13 -0.218149 -1.7038 0.046754 14 0.014187 0.1108 0.456067 15 -0.005683 -0.0444 0.482371 16 -0.045445 -0.3549 0.361929 17 -0.052468 -0.4098 0.341699 18 0.053422 0.4172 0.338983 19 -0.142671 -1.1143 0.134761 20 -0.027847 -0.2175 0.414276 21 0.00136 0.0106 0.49578 22 -0.037338 -0.2916 0.385785 23 0.048471 0.3786 0.353159 24 0.022879 0.1787 0.429387 25 -0.072502 -0.5663 0.286648 26 -0.058061 -0.4535 0.325909 27 -0.086063 -0.6722 0.252005 28 0.006928 0.0541 0.478513 29 0.041744 0.326 0.372759 30 -0.060018 -0.4688 0.320457 31 -0.018082 -0.1412 0.444078 32 -0.023188 -0.1811 0.428444 33 -0.028176 -0.2201 0.413278 34 0.02809 0.2194 0.413538 35 -0.008979 -0.0701 0.472162 36 -0.039197 -0.3061 0.380271 37 -0.025858 -0.202 0.42031 38 -0.019194 -0.1499 0.440665 39 0.030182 0.2357 0.407217 40 -0.03902 -0.3048 0.380793 41 -0.048593 -0.3795 0.352809 42 0.022207 0.1734 0.43144 43 0.058617 0.4578 0.324356 44 -0.018739 -0.1464 0.44206 45 0.01907 0.1489 0.441045 46 -0.051019 -0.3985 0.345839 47 -0.049567 -0.3871 0.350002 48 -0.008437 -0.0659 0.473838 49 0.04186 0.3269 0.372417 50 0.024722 0.1931 0.423767 51 0.019734 0.1541 0.439008 52 0.055339 0.4322 0.333555 53 0.032463 0.2535 0.400351 54 -0.01326 -0.1036 0.458929 55 0.056854 0.444 0.329291 56 0.013206 0.1031 0.459093 57 -0.01203 -0.094 0.462724 58 -0.004765 -0.0372 0.485216 59 0.030117 0.2352 0.407412 60 0.015886 0.1241 0.450833

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228664419v6p2ik63b0a89xu/108av1228664348.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228664419v6p2ik63b0a89xu/108av1228664348.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228664419v6p2ik63b0a89xu/2aqli1228664348.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228664419v6p2ik63b0a89xu/2aqli1228664348.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -2.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -2.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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 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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