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Deel 2: Step 2 - ACF (d=0 D=1)

*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: Mon, 08 Dec 2008 13:24:54 -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/08/t1228767932fewwnozjztnfifu.htm/, Retrieved Mon, 08 Dec 2008 20:25:34 +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/08/t1228767932fewwnozjztnfifu.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

14291.1 14205.3 15859.4 15258.9 15498.6 15106.5 15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.075708	0.5864	0.279892
2	0.223629	1.7322	0.044186
3	0.489992	3.7955	0.000173
4	0.146393	1.134	0.130662
5	0.160949	1.2467	0.108676
6	0.272636	2.1118	0.019437
7	-0.138498	-1.0728	0.143828
8	0.117072	0.9068	0.18406
9	0.125562	0.9726	0.167329
10	-0.17479	-1.3539	0.090421
11	-0.073827	-0.5719	0.284777
12	-0.083672	-0.6481	0.25969
13	-0.13936	-1.0795	0.142347
14	0.004834	0.0374	0.485129
15	-0.177663	-1.3762	0.086941
16	-0.238053	-1.8439	0.035065
17	0.072294	0.56	0.288785
18	-0.141926	-1.0994	0.138002
19	-0.107048	-0.8292	0.205143
20	-0.058679	-0.4545	0.325546
21	-0.002056	-0.0159	0.493672
22	-0.198771	-1.5397	0.064449
23	0.129551	1.0035	0.159825
24	-0.159299	-1.2339	0.111021
25	-0.173885	-1.3469	0.091538
26	0.09592	0.743	0.230192
27	-0.066181	-0.5126	0.305045
28	-0.128549	-0.9957	0.161689
29	0.049612	0.3843	0.351059
30	-0.123481	-0.9565	0.171335
31	-0.005094	-0.0395	0.48433
32	0.016139	0.125	0.450467
33	-0.157694	-1.2215	0.113338
34	0.019324	0.1497	0.440759
35	0.065708	0.509	0.30632
36	-0.121003	-0.9373	0.176185

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.075708	0.5864	0.279892
2	0.219153	1.6976	0.047387
3	0.486183	3.766	0.00019
4	0.124857	0.9671	0.168679
5	-0.034257	-0.2654	0.395824
6	-0.008351	-0.0647	0.47432
7	-0.372786	-2.8876	0.002696
8	-0.091101	-0.7057	0.241563
9	0.092868	0.7194	0.237358
10	0.023227	0.1799	0.428912
11	-0.107878	-0.8356	0.203343
12	-0.199123	-1.5424	0.064117
13	-0.000484	-0.0037	0.498512
14	0.20212	1.5656	0.061349
15	0.076372	0.5916	0.278178
16	-0.178873	-1.3855	0.085507
17	-0.017709	-0.1372	0.445676
18	-0.038351	-0.2971	0.383721
19	0.098875	0.7659	0.223374
20	-0.024991	-0.1936	0.423579
21	0.151263	1.1717	0.122979
22	-0.363237	-2.8136	0.003307
23	-0.025851	-0.2002	0.420984
24	-0.025508	-0.1976	0.422019
25	-0.019019	-0.1473	0.441688
26	0.097754	0.7572	0.225946
27	-0.017866	-0.1384	0.445198
28	0.036264	0.2809	0.389875
29	-0.062487	-0.484	0.315067
30	-0.034911	-0.2704	0.393883
31	0.030688	0.2377	0.406457
32	-0.058737	-0.455	0.325386
33	-0.09494	-0.7354	0.232479
34	0.01052	0.0815	0.467663
35	0.139622	1.0815	0.1419
36	-0.027257	-0.2111	0.416751

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767932fewwnozjztnfifu/1tr0n1228767892.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767932fewwnozjztnfifu/1tr0n1228767892.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767932fewwnozjztnfifu/2mrvv1228767892.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228767932fewwnozjztnfifu/2mrvv1228767892.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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')

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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