Home » date » 2008 » Dec » 13 »

ACF d=1 d=0 Yt

*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 03:40:32 -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/t1229164989wpu4ljrcazxgdpw.htm/, Retrieved Sat, 13 Dec 2008 11:43:09 +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/t1229164989wpu4ljrcazxgdpw.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 «

6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8

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	0.433232	3.6505	0.000248
2	-0.14058	-1.1845	0.120074
3	-0.552101	-4.6521	7e-06
4	-0.577141	-4.8631	3e-06
5	-0.171046	-1.4413	0.076954
6	0.16334	1.3763	0.086523
7	0.31279	2.6356	0.005153
8	0.260188	2.1924	0.015815
9	0.086946	0.7326	0.233102
10	-0.095866	-0.8078	0.210958
11	-0.127948	-1.0781	0.142316
12	-0.182304	-1.5361	0.064476
13	-0.056509	-0.4762	0.317713
14	0.072316	0.6093	0.27212
15	0.131691	1.1096	0.135448
16	0.063992	0.5392	0.295715
17	-0.069249	-0.5835	0.280701
18	-0.014659	-0.1235	0.451023
19	-0.044854	-0.378	0.353297
20	0.081711	0.6885	0.246687
21	0.060313	0.5082	0.306441
22	-0.026761	-0.2255	0.411122
23	-0.073329	-0.6179	0.269314
24	-0.138636	-1.1682	0.123324
25	0.007678	0.0647	0.474298
26	0.095997	0.8089	0.210641
27	0.106441	0.8969	0.186406
28	-0.019253	-0.1622	0.435794
29	-0.152362	-1.2838	0.101689
30	-0.190744	-1.6072	0.056221
31	0.027386	0.2308	0.409082
32	0.200731	1.6914	0.047574
33	0.229646	1.935	0.028485
34	0.09792	0.8251	0.206043
35	-0.140734	-1.1858	0.119819
36	-0.197216	-1.6618	0.050484
37	-0.158466	-1.3353	0.093029
38	0.028726	0.242	0.40472
39	0.095383	0.8037	0.212122
40	0.132857	1.1195	0.133355
41	0.116987	0.9858	0.163801
42	-0.030846	-0.2599	0.397842
43	-0.099794	-0.8409	0.20162
44	-0.180197	-1.5184	0.066682
45	-0.069737	-0.5876	0.279326
46	0.078969	0.6654	0.253975
47	0.153573	1.294	0.099925
48	0.110912	0.9346	0.176592

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.433232	3.6505	0.000248
2	-0.404118	-3.4052	0.000546
3	-0.428909	-3.6141	0.00028
4	-0.308867	-2.6026	0.005628
5	-0.015036	-0.1267	0.449769
6	-0.19318	-1.6278	0.054003
7	-0.169519	-1.4284	0.078782
8	-0.066253	-0.5583	0.289213
9	-0.003155	-0.0266	0.489432
10	-0.090846	-0.7655	0.22326
11	0.048718	0.4105	0.341336
12	-0.155269	-1.3083	0.097492
13	0.054949	0.463	0.322388
14	0.026798	0.2258	0.411
15	0.032089	0.2704	0.393823
16	-0.137734	-1.1606	0.124852
17	-0.072988	-0.615	0.270257
18	0.185501	1.5631	0.061243
19	-0.12958	-1.0919	0.139294
20	0.131092	1.1046	0.136531
21	-0.007326	-0.0617	0.475476
22	0.009586	0.0808	0.467926
23	0.001555	0.0131	0.49479
24	-0.099216	-0.836	0.202977
25	0.133239	1.1227	0.132675
26	-0.047843	-0.4031	0.344031
27	-0.000996	-0.0084	0.496665
28	-0.177223	-1.4933	0.069894
29	-0.230047	-1.9384	0.028274
30	-0.134141	-1.1303	0.131078
31	0.007948	0.067	0.473396
32	-0.028218	-0.2378	0.406373
33	-0.10296	-0.8676	0.194281
34	-0.031372	-0.2643	0.396141
35	0.017201	0.1449	0.442584
36	-0.0434	-0.3657	0.357839
37	0.065786	0.5543	0.290551
38	0.068925	0.5808	0.281616
39	-0.035164	-0.2963	0.383935
40	0.062515	0.5268	0.300001
41	0.08966	0.7555	0.226227
42	-0.051201	-0.4314	0.333734
43	-0.029751	-0.2507	0.401389
44	-0.005399	-0.0455	0.48192
45	0.047458	0.3999	0.345221
46	-0.060214	-0.5074	0.306733
47	-0.037383	-0.315	0.376843
48	-0.01292	-0.1089	0.456807

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164989wpu4ljrcazxgdpw/1ddo71229164828.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164989wpu4ljrcazxgdpw/1ddo71229164828.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164989wpu4ljrcazxgdpw/2m7lx1229164828.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164989wpu4ljrcazxgdpw/2m7lx1229164828.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 2 ; par4 = 12 ;

Parameters (R input):

par1 = 48 ; 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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