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ACF d=2 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 03:56:10 -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/t1229166054zeyc2oikb6tsbmv.htm/, Retrieved Sat, 13 Dec 2008 12:00:54 +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/t1229166054zeyc2oikb6tsbmv.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.014863-0.12440.450696
2-0.095232-0.79680.214139
3-0.340584-2.84950.002873
4-0.391731-3.27750.000816
50.0650970.54460.293865
60.1498321.25360.107082
70.1770971.48170.071454
80.1140180.95390.171698
90.0032090.02690.489328
10-0.114053-0.95420.171625
110.0119580.10010.460295
12-0.182863-1.52990.065269
130.0221690.18550.426696
140.0544260.45540.32513
150.1037290.86790.194218
160.0734030.61410.27056
17-0.175723-1.47020.072993
180.0728980.60990.271948
19-0.154311-1.29110.100465
200.1428921.19550.117959
210.0682450.5710.28492
22-0.012854-0.10750.457332
230.0141670.11850.452992
24-0.188934-1.58070.059224
250.0145150.12140.451844
260.0725850.60730.272811
270.1117830.93520.17644
280.0287350.24040.405356
29-0.076595-0.64080.261861
30-0.22807-1.90820.030235
310.0377190.31560.37663
320.1017550.85130.198741
330.1318211.10290.136926
340.0975980.81660.208474
35-0.12815-1.07220.14366
36-0.053887-0.45080.326746
37-0.144362-1.20780.115591
380.0783250.65530.257206
390.0025830.02160.49141
400.0416590.34850.36424
410.1322381.10640.136174
42-0.054913-0.45940.323673
430.0222730.18630.426355
44-0.161834-1.3540.090046
45-0.028761-0.24060.405272
460.0263870.22080.412958
470.0857960.71780.237628
480.0292920.24510.403559


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.014863-0.12440.450696
2-0.095474-0.79880.213556
3-0.34679-2.90150.002481
4-0.485743-4.0646.2e-05
5-0.171106-1.43160.078358
6-0.15729-1.3160.096237
7-0.233148-1.95070.027551
8-0.192422-1.60990.055958
9-0.041411-0.34650.365015
10-0.102297-0.85590.197494
110.0787850.65920.255977
12-0.133422-1.11630.134057
13-0.019536-0.16350.435316
140.0203890.17060.432522
150.1068950.89430.187101
160.012160.10170.459629
17-0.202323-1.69280.047474
180.1317791.10250.137002
19-0.131077-1.09670.138272
200.0316470.26480.395979
210.0155960.13050.448278
220.0328220.27460.392214
230.0890450.7450.229381
24-0.113138-0.94660.173554
250.0407760.34120.367004
260.0745860.6240.267317
270.1358381.13650.129811
280.0781120.65350.257777
29-0.095792-0.80150.212791
30-0.161772-1.35350.090128
31-0.072353-0.60530.273452
320.0120140.10050.460112
33-0.078672-0.65820.256279
34-0.090414-0.75650.225957
350.0345960.28940.386547
36-0.017862-0.14940.440817
37-0.047849-0.40030.345064
380.0707920.59230.277783
390.0077780.06510.47415
40-0.017427-0.14580.442247
410.0706190.59080.278264
42-0.036893-0.30870.379246
43-0.035235-0.29480.38451
44-0.096455-0.8070.211199
450.0366460.30660.380028
46-0.065275-0.54610.293355
47-0.077756-0.65050.258733
48-0.07906-0.66150.255244
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229166054zeyc2oikb6tsbmv/118101229165764.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229166054zeyc2oikb6tsbmv/118101229165764.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229166054zeyc2oikb6tsbmv/23hyz1229165764.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229166054zeyc2oikb6tsbmv/23hyz1229165764.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 2 ; par4 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 2 ; 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')
 





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