Home » date » 2008 » Dec » 13 »

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: Sat, 13 Dec 2008 02:29:39 -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/13/t1229160626drbts52or2ilvvr.htm/, Retrieved Sat, 13 Dec 2008 10:30:26 +0100

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/13/t1229160626drbts52or2ilvvr.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

97.8 107.4 117.5 105.6 97.4 99.5 98 104.3 100.6 101.1 103.9 96.9 95.5 108.4 117 103.8 100.8 110.6 104 112.6 107.3 98.9 109.8 104.9 102.2 123.9 124.9 112.7 121.9 100.6 104.3 120.4 107.5 102.9 125.6 107.5 108.8 128.4 121.1 119.5 128.7 108.7 105.5 119.8 111.3 110.6 120.1 97.5 107.7 127.3 117.2 119.8 116.2 111 112.4 130.6 109.1 118.8 123.9 101.6 112.8 128 129.6 125.8 119.5 115.7 113.6 129.7 112 116.8 127 112.1 114.2 121.1 131.6 125 120.4 117.7 117.5 120.6 127.5 112.3 124.5 115.2

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.051954	0.4408	0.330322
2	0.054979	0.4665	0.321129
3	0.235517	1.9984	0.024724
4	-0.03109	-0.2638	0.396342
5	0.02008	0.1704	0.432593
6	0.215206	1.8261	0.035992
7	-0.135017	-1.1457	0.127866
8	0.093481	0.7932	0.215131
9	0.241281	2.0473	0.022137
10	-0.154771	-1.3133	0.09663
11	-0.108411	-0.9199	0.180348
12	-0.13759	-1.1675	0.123432
13	-0.197828	-1.6786	0.04878
14	0.071356	0.6055	0.273385
15	-0.067591	-0.5735	0.284038
16	-0.120953	-1.0263	0.154089
17	0.168325	1.4283	0.078767
18	-0.010456	-0.0887	0.464775
19	-0.21703	-1.8416	0.034829
20	-0.007498	-0.0636	0.474725
21	0.007101	0.0603	0.476059
22	-0.123649	-1.0492	0.148799
23	0.147454	1.2512	0.107458
24	-0.248789	-2.111	0.019121
25	-0.09443	-0.8013	0.212807
26	0.054788	0.4649	0.321705
27	0.022378	0.1899	0.424966
28	-0.12716	-1.079	0.142096
29	0.077632	0.6587	0.256087
30	-0.002124	-0.018	0.492837
31	0.074649	0.6334	0.264233
32	0.086411	0.7332	0.232903
33	-0.14639	-1.2422	0.109104
34	0.0348	0.2953	0.384311
35	0.143816	1.2203	0.113163
36	0.035014	0.2971	0.383621
37	0.14569	1.2362	0.110196
38	0.065325	0.5543	0.290546
39	-0.037974	-0.3222	0.374109
40	0.062624	0.5314	0.298395
41	-0.050057	-0.4247	0.336145
42	-0.150069	-1.2734	0.103489
43	0.055145	0.4679	0.320628
44	0.058502	0.4964	0.310561
45	-0.109865	-0.9322	0.177165
46	0.076843	0.652	0.258227
47	-0.074428	-0.6315	0.264842
48	-0.130368	-1.1062	0.136159

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.051954	0.4408	0.330322
2	0.052421	0.4448	0.328896
3	0.231345	1.963	0.026753
4	-0.057476	-0.4877	0.313623
5	0.001682	0.0143	0.494328
6	0.174411	1.4799	0.071628
7	-0.147571	-1.2522	0.107278
8	0.095786	0.8128	0.209514
9	0.181658	1.5414	0.0638
10	-0.143677	-1.2191	0.113385
11	-0.182767	-1.5508	0.062663
12	-0.244979	-2.0787	0.020604
13	-0.063777	-0.5412	0.295031
14	0.133592	1.1336	0.130369
15	-0.054291	-0.4607	0.32321
16	0.014706	0.1248	0.45052
17	0.162438	1.3783	0.086185
18	0.013844	0.1175	0.453406
19	-0.195376	-1.6578	0.050852
20	-0.048854	-0.4145	0.339857
21	0.230099	1.9525	0.027386
22	-0.107919	-0.9157	0.181435
23	-0.080513	-0.6832	0.248344
24	-0.357341	-3.0321	0.001687
25	-0.017171	-0.1457	0.442284
26	-0.015313	-0.1299	0.448491
27	0.206367	1.7511	0.042095
28	0.08985	0.7624	0.224156
29	0.128805	1.0929	0.139031
30	0.030727	0.2607	0.397523
31	-0.079687	-0.6762	0.25055
32	0.009456	0.0802	0.468135
33	-0.005213	-0.0442	0.482421
34	0.043355	0.3679	0.357021
35	-0.037032	-0.3142	0.37713
36	-0.079426	-0.674	0.25125
37	0.019888	0.1688	0.433233
38	-0.056716	-0.4812	0.3159
39	-0.015075	-0.1279	0.449287
40	0.058806	0.499	0.309655
41	0.069243	0.5875	0.279336
42	0.019226	0.1631	0.435433
43	-0.101502	-0.8613	0.195974
44	-0.042304	-0.359	0.360337
45	-0.079649	-0.6758	0.250653
46	0.0294	0.2495	0.401855
47	0.047072	0.3994	0.345384
48	-0.188932	-1.6031	0.056641

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160626drbts52or2ilvvr/11e941229160574.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160626drbts52or2ilvvr/11e941229160574.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160626drbts52or2ilvvr/2ipyr1229160574.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229160626drbts52or2ilvvr/2ipyr1229160574.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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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