step 1 ACF d=0 D=0

*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 06:32:41 -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/t12291752073grmuenwrx7dq3u.htm/, Retrieved Sat, 13 Dec 2008 14:33:29 +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/t12291752073grmuenwrx7dq3u.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 'George Udny Yule' @ 72.249.76.132 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.858059 7.8642 0 2 0.643532 5.8981 0 3 0.482071 4.4183 1.5e-05 4 0.415411 3.8073 0.000133 5 0.43282 3.9669 7.6e-05 6 0.465382 4.2653 2.6e-05 7 0.444063 4.0699 5.3e-05 8 0.390506 3.579 0.000288 9 0.347403 3.184 0.001019 10 0.333209 3.0539 0.001513 11 0.332592 3.0483 0.001539 12 0.330526 3.0293 0.001628 13 0.232342 2.1295 0.018072 14 0.102628 0.9406 0.174804 15 0.009188 0.0842 0.466544 16 -0.024034 -0.2203 0.413096 17 -0.01741 -0.1596 0.436804 18 0.000653 0.006 0.49762 19 -0.015824 -0.145 0.442519 20 -0.053969 -0.4946 0.311076 21 -0.08029 -0.7359 0.231929 22 -0.0952 -0.8725 0.192704 23 -0.101679 -0.9319 0.177028 24 -0.104167 -0.9547 0.171234 25 -0.160624 -1.4721 0.07236 26 -0.228859 -2.0975 0.019476 27 -0.280394 -2.5699 0.00597 28 -0.294427 -2.6985 0.00421 29 -0.277268 -2.5412 0.006443 30 -0.241994 -2.2179 0.01463 31 -0.215698 -1.9769 0.025667 32 -0.218409 -2.0017 0.02427 33 -0.246529 -2.2595 0.013221 34 -0.285587 -2.6174 0.005253 35 -0.311381 -2.8539 0.002719 36 -0.29185 -2.6749 0.004492 37 -0.280518 -2.571 0.005951 38 -0.272928 -2.5014 0.007155 39 -0.274135 -2.5125 0.00695 40 -0.279925 -2.5656 0.006038 41 -0.280425 -2.5701 0.005965 42 -0.292543 -2.6812 0.004415 43 -0.318444 -2.9186 0.002256 44 -0.341248 -3.1276 0.001211 45 -0.34378 -3.1508 0.001128 46 -0.314163 -2.8793 0.002527 47 -0.259458 -2.378 0.009839 48 -0.188983 -1.7321 0.043467 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.858059 7.8642 0 2 -0.351617 -3.2226 0.000904 3 0.161952 1.4843 0.070734 4 0.164636 1.5089 0.067537 5 0.178647 1.6373 0.052652 6 0.021917 0.2009 0.420642 7 -0.088372 -0.8099 0.210132 8 0.069745 0.6392 0.262209 9 0.073832 0.6767 0.250234 10 0.037291 0.3418 0.366686 11 -0.028093 -0.2575 0.39872 12 0.022826 0.2092 0.417399 13 -0.376798 -3.4534 0.000435 14 0.038125 0.3494 0.363824 15 -0.03954 -0.3624 0.358985 16 -0.016129 -0.1478 0.441416 17 -0.08981 -0.8231 0.206385 18 0.005752 0.0527 0.479042 19 -0.02608 -0.239 0.405834 20 0.029101 0.2667 0.395171 21 0.035956 0.3295 0.371283 22 -0.059127 -0.5419 0.294659 23 0.053394 0.4894 0.312931 24 -0.048056 -0.4404 0.330375 25 -0.108081 -0.9906 0.162369 26 0.025578 0.2344 0.407611 27 -0.094434 -0.8655 0.194615 28 -0.023312 -0.2137 0.415667 29 -0.016462 -0.1509 0.440217 30 0.016252 0.149 0.440973 31 0.038008 0.3484 0.364223 32 -0.058276 -0.5341 0.29734 33 -0.09443 -0.8655 0.194624 34 -0.032508 -0.2979 0.383242 35 0.021991 0.2016 0.420377 36 0.053002 0.4858 0.314197 37 -0.069628 -0.6381 0.262557 38 0.029222 0.2678 0.394745 39 -0.04589 -0.4206 0.337566 40 -0.02782 -0.255 0.399685 41 -0.036005 -0.33 0.371115 42 -0.193801 -1.7762 0.039659 43 -0.07633 -0.6996 0.243062 44 -0.040328 -0.3696 0.3563 45 0.033678 0.3087 0.37917 46 0.078329 0.7179 0.237405 47 0.058316 0.5345 0.297214 48 0.021271 0.195 0.42295

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291752073grmuenwrx7dq3u/1zoi81229175159.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291752073grmuenwrx7dq3u/1zoi81229175159.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291752073grmuenwrx7dq3u/2n8691229175159.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t12291752073grmuenwrx7dq3u/2n8691229175159.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')

Copyright

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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