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autocorrelation d=1 bel20

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 10 Dec 2008 11:56:25 -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/10/t12289355030ycjbdgz9kvrkmd.htm/, Retrieved Wed, 10 Dec 2008 18:58:23 +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/10/t12289355030ycjbdgz9kvrkmd.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 «

3230.66 3361.13 3484.74 3411.13 3288.18 3280.37 3173.95 3165.26 3092.71 3053.05 3181.96 2999.93 3249.57 3210.52 3030.29 2803.47 2767.63 2882.6 2863.36 2897.06 3012.61 3142.95 3032.93 3045.78 3110.52 3013.24 2987.1 2995.55 2833.18 2848.96 2794.83 2845.26 2915.02 2892.63 2604.42 2641.65 2659.81 2638.53 2720.25 2745.88 2735.7 2811.7 2799.43 2555.28 2304.98 2214.95 2065.81 1940.49 2042 1995.37 1946.81 1765.9 1635.25 1833.42 1910.43 1959.67 1969.6 2061.41 2093.48 2120.88 2174.56 2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.243163	2.6637	0.004395
2	0.037049	0.4059	0.342787
3	0.172144	1.8857	0.030873
4	0.12199	1.3363	0.091984
5	0.150556	1.6493	0.050856
6	0.045193	0.4951	0.31073
7	0.055648	0.6096	0.271643
8	0.138036	1.5121	0.066568
9	0.115773	1.2682	0.103585
10	0.030417	0.3332	0.36978
11	0.187004	2.0485	0.021345
12	0.048512	0.5314	0.298054
13	-0.076754	-0.8408	0.201068
14	0.115158	1.2615	0.104789
15	0.062151	0.6808	0.248647
16	0.022595	0.2475	0.402468
17	-0.017242	-0.1889	0.425256
18	-0.088721	-0.9719	0.166531
19	0.041237	0.4517	0.326141
20	-0.032996	-0.3614	0.3592
21	-0.053783	-0.5892	0.27843
22	-0.068239	-0.7475	0.228104
23	-0.093416	-1.0233	0.154109
24	-0.097248	-1.0653	0.144439
25	-0.012682	-0.1389	0.44487
26	-0.059494	-0.6517	0.257913
27	-0.067954	-0.7444	0.229046
28	0.008843	0.0969	0.461495
29	-0.008421	-0.0922	0.463327
30	-0.015091	-0.1653	0.434488
31	-0.059843	-0.6555	0.256685
32	-0.049325	-0.5403	0.294987
33	-0.084255	-0.923	0.178937
34	-0.101879	-1.116	0.133319
35	-0.110808	-1.2138	0.113597
36	-0.007813	-0.0856	0.46597
37	-0.043571	-0.4773	0.317011
38	-0.047172	-0.5167	0.303142
39	-0.014266	-0.1563	0.43804
40	-0.033435	-0.3663	0.357409
41	-0.035642	-0.3904	0.348452
42	-0.094896	-1.0395	0.150324
43	-0.107793	-1.1808	0.120006
44	-0.051907	-0.5686	0.285339
45	-0.083742	-0.9173	0.1804
46	-0.089864	-0.9844	0.163447
47	-0.083196	-0.9114	0.181964
48	-0.075946	-0.8319	0.203547
49	-0.133796	-1.4657	0.072678
50	-0.099271	-1.0875	0.139507
51	-0.087462	-0.9581	0.16997
52	-0.090707	-0.9936	0.161198
53	-0.010666	-0.1168	0.45359
54	-0.066265	-0.7259	0.234656
55	-0.072226	-0.7912	0.215196
56	-0.053843	-0.5898	0.278212
57	-0.075695	-0.8292	0.20432
58	-0.060463	-0.6623	0.254511
59	-0.03985	-0.4365	0.331615
60	0.008888	0.0974	0.461298

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.243163	2.6637	0.004395
2	-0.023467	-0.2571	0.398785
3	0.179326	1.9644	0.025896
4	0.041029	0.4495	0.326957
5	0.127215	1.3936	0.083011
6	-0.047251	-0.5176	0.302843
7	0.045118	0.4942	0.311019
8	0.075804	0.8304	0.203983
9	0.059986	0.6571	0.256183
10	-0.032414	-0.3551	0.361576
11	0.1816	1.9893	0.02447
12	-0.094745	-1.0379	0.150706
13	-0.090135	-0.9874	0.16272
14	0.099695	1.0921	0.138487
15	-0.009498	-0.104	0.458654
16	-0.01205	-0.132	0.447602
17	-0.045969	-0.5036	0.307746
18	-0.091901	-1.0067	0.158047
19	0.026916	0.2948	0.38431
20	-0.084817	-0.9291	0.177345
21	0.033002	0.3615	0.359172
22	-0.108582	-1.1895	0.118303
23	-0.055513	-0.6081	0.27213
24	-0.043272	-0.474	0.318175
25	0.030811	0.3375	0.368157
26	-0.055031	-0.6028	0.273877
27	0.044222	0.4844	0.314483
28	0.033886	0.3712	0.355571
29	0.058982	0.6461	0.25972
30	-0.033402	-0.3659	0.357542
31	-0.004806	-0.0526	0.479051
32	0.016152	0.1769	0.429927
33	-0.083356	-0.9131	0.181506
34	-0.027334	-0.2994	0.382565
35	-0.068451	-0.7498	0.227409
36	0.047454	0.5198	0.30207
37	-0.028475	-0.3119	0.377818
38	0.037907	0.4153	0.339348
39	-0.01539	-0.1686	0.433202
40	-0.023285	-0.2551	0.399549
41	-0.015995	-0.1752	0.430602
42	-0.062418	-0.6838	0.247725
43	-0.07711	-0.8447	0.199979
44	-0.014118	-0.1547	0.438676
45	-0.048174	-0.5277	0.299335
46	-0.029073	-0.3185	0.375338
47	-0.061297	-0.6715	0.251604
48	-0.017108	-0.1874	0.425827
49	-0.09522	-1.0431	0.149503
50	-0.014349	-0.1572	0.437681
51	-0.041329	-0.4527	0.325777
52	-0.002712	-0.0297	0.488176
53	0.044442	0.4868	0.313631
54	0.01191	0.1305	0.448206
55	-0.062312	-0.6826	0.248089
56	0.007406	0.0811	0.467738
57	-0.058952	-0.6458	0.259826
58	0.001397	0.0153	0.493909
59	-0.003958	-0.0434	0.482742
60	0.087768	0.9614	0.169131

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12289355030ycjbdgz9kvrkmd/1velx1228935380.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12289355030ycjbdgz9kvrkmd/1velx1228935380.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12289355030ycjbdgz9kvrkmd/2vijh1228935380.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t12289355030ycjbdgz9kvrkmd/2vijh1228935380.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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')

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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