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autocorrelatie d=1; 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: Thu, 11 Dec 2008 05:53:51 -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/11/t12290000963uzm3t7pktvjxx0.htm/, Retrieved Thu, 11 Dec 2008 12:54:56 +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/11/t12290000963uzm3t7pktvjxx0.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 «

2648.9 2669.6 3042.3 2604.2 2732.1 2621.7 2483.7 2479.3 2684.6 2834.7 2566.1 2251.2 2350 2299.8 2542.8 2530.2 2508.1 2616.8 2534.1 2181.8 2578.9 2841.9 2529.9 2103.2 2326.2 2452.6 2782.1 2727.3 2648.2 2760.7 2613 2225.4 2713.9 2923.3 2707 2473.9 2521 2531.8 3068.8 2826.9 2674.2 2966.6 2798.8 2629.6 3124.6 3115.7 3083 2863.9 2728.7 2789.4 3225.7 3148.2 2836.5 3153.5 2656.9 2834.7 3172.5 2998.8 3103.1 2735.6 2818.1 2874.4 3438.5 2949.1 3306.8 3530 3003.8 3206.4 3514.6 3522.6 3525.5 2996.2 3231.1 3030 3541.7 3113.2 3390.8 3424.2 3079.8 3123.4 3317.1 3579.9 3317.9 2668.1

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	-0.467235	-3.937	9.5e-05
2	-0.012439	-0.1048	0.458409
3	0.162537	1.3696	0.087571
4	-0.079773	-0.6722	0.251826
5	0.027963	0.2356	0.407202
6	0.069956	0.5895	0.278713
7	-0.114557	-0.9653	0.168843
8	-0.077825	-0.6558	0.257047
9	0.309597	2.6087	0.005537
10	-0.220689	-1.8596	0.033546
11	0.068179	0.5745	0.283728
12	-0.026762	-0.2255	0.411119
13	-0.138487	-1.1669	0.123575
14	0.175803	1.4813	0.07147
15	-0.116584	-0.9824	0.164631
16	-0.175575	-1.4794	0.071726
17	0.282314	2.3788	0.01003
18	-0.035711	-0.3009	0.382181
19	-0.145071	-1.2224	0.112801
20	0.100982	0.8509	0.198846
21	0.075633	0.6373	0.26299
22	-0.200065	-1.6858	0.048114
23	0.259208	2.1841	0.016129
24	-0.173926	-1.4655	0.073596
25	-0.092976	-0.7834	0.217991
26	0.321091	2.7056	0.004266
27	-0.159135	-1.3409	0.092114
28	-0.058989	-0.4971	0.310343
29	0.118815	1.0012	0.160077
30	-0.076541	-0.6449	0.260521
31	0.045797	0.3859	0.350366
32	0.006254	0.0527	0.479059
33	-0.133728	-1.1268	0.131808
34	0.09111	0.7677	0.222603
35	0.078791	0.6639	0.25445
36	-0.123013	-1.0365	0.151738

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.467235	-3.937	9.5e-05
2	-0.295189	-2.4873	0.007611
3	0.023945	0.2018	0.420341
4	0.035244	0.297	0.383679
5	0.057881	0.4877	0.313628
6	0.116915	0.9851	0.163949
7	-0.028891	-0.2434	0.404182
8	-0.218292	-1.8394	0.035022
9	0.185638	1.5642	0.061107
10	0.06595	0.5557	0.290079
11	0.088509	0.7458	0.229128
12	-0.076957	-0.6484	0.259393
13	-0.251353	-2.1179	0.018841
14	-0.055671	-0.4691	0.32022
15	-0.093286	-0.786	0.21723
16	-0.249952	-2.1061	0.019364
17	0.160683	1.3539	0.090024
18	0.209929	1.7689	0.040603
19	0.036564	0.3081	0.379458
20	-0.118594	-0.9993	0.160524
21	0.137924	1.1622	0.124529
22	-0.031551	-0.2659	0.39556
23	0.096662	0.8145	0.209045
24	0.019718	0.1662	0.434256
25	-0.08468	-0.7135	0.238929
26	0.080887	0.6816	0.248865
27	0.014608	0.1231	0.451191
28	-0.160476	-1.3522	0.090302
29	0.023469	0.1978	0.421901
30	0.017474	0.1472	0.441679
31	0.074975	0.6318	0.264789
32	-0.086811	-0.7315	0.233445
33	0.006802	0.0573	0.477228
34	0.052131	0.4393	0.330902
35	-0.028869	-0.2433	0.404255
36	0.030702	0.2587	0.398309

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290000963uzm3t7pktvjxx0/1t57k1229000026.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290000963uzm3t7pktvjxx0/1t57k1229000026.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290000963uzm3t7pktvjxx0/29nuk1229000026.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t12290000963uzm3t7pktvjxx0/29nuk1229000026.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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