Home » date » 2008 » Dec » 13 »

step 1 ACF d=1 D=2

*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 06:42:02 -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/t1229175799eoa24dav8ziwygc.htm/, Retrieved Sat, 13 Dec 2008 14:43:20 +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/t1229175799eoa24dav8ziwygc.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.467251	3.589	0.000338
2	-0.117163	-0.8999	0.185904
3	-0.597006	-4.5857	1.2e-05
4	-0.637427	-4.8962	4e-06
5	-0.247651	-1.9022	0.031012
6	0.084414	0.6484	0.259621
7	0.373892	2.8719	0.00283
8	0.422357	3.2442	0.000971
9	0.281061	2.1589	0.017469
10	-0.000432	-0.0033	0.498681
11	-0.279087	-2.1437	0.018094
12	-0.470599	-3.6147	0.000312
13	-0.247687	-1.9025	0.030994
14	0.064098	0.4923	0.312152
15	0.3237	2.4864	0.007878
16	0.313006	2.4042	0.009682
17	0.093067	0.7149	0.238757
18	-0.04103	-0.3152	0.376876
19	-0.215824	-1.6578	0.051336
20	-0.137469	-1.0559	0.147656
21	-0.064287	-0.4938	0.311641
22	0.011792	0.0906	0.464069
23	0.103052	0.7916	0.215895
24	0.03719	0.2857	0.388069
25	0.061028	0.4688	0.320483
26	0.005218	0.0401	0.484082
27	-0.028359	-0.2178	0.414156
28	-0.078079	-0.5997	0.27549
29	-0.109852	-0.8438	0.201097
30	-0.057972	-0.4453	0.328868
31	0.101257	0.7778	0.219905
32	0.172768	1.3271	0.094801
33	0.100816	0.7744	0.220898
34	-0.035232	-0.2706	0.393812
35	-0.148324	-1.1393	0.129591
36	-0.084234	-0.647	0.260067
37	-0.031349	-0.2408	0.405275
38	0.073511	0.5647	0.287226
39	0.034184	0.2626	0.396898
40	0.027939	0.2146	0.415407
41	0.038044	0.2922	0.38557
42	0.003373	0.0259	0.489708
43	-0.029923	-0.2298	0.409505
44	-0.104285	-0.801	0.213166
45	-0.041791	-0.321	0.374672
46	0.037998	0.2919	0.385705
47	0.066419	0.5102	0.305918
48	0.066782	0.513	0.304947

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.467251	3.589	0.000338
2	-0.429188	-3.2967	0.00083
3	-0.499032	-3.8331	0.000155
4	-0.302133	-2.3207	0.011889
5	-0.06994	-0.5372	0.296568
6	-0.376752	-2.8939	0.002662
7	-0.155194	-1.1921	0.119004
8	-0.011712	-0.09	0.464311
9	0.041279	0.3171	0.376156
10	-0.045922	-0.3527	0.362773
11	0.01797	0.138	0.445343
12	-0.243603	-1.8711	0.033143
13	0.14948	1.1482	0.127765
14	0.003812	0.0293	0.488371
15	-0.040429	-0.3105	0.378621
16	-0.147123	-1.1301	0.13151
17	0.002837	0.0218	0.491343
18	0.076427	0.587	0.279705
19	-0.142598	-1.0953	0.138915
20	0.128363	0.986	0.164086
21	0.101289	0.778	0.219835
22	-0.016546	-0.1271	0.44965
23	0.060695	0.4662	0.321392
24	-0.161828	-1.243	0.109389
25	0.084871	0.6519	0.258496
26	-0.000416	-0.0032	0.49873
27	-0.028383	-0.218	0.414085
28	-0.254133	-1.952	0.027843
29	-0.171773	-1.3194	0.096064
30	-0.083383	-0.6405	0.262172
31	0.015394	0.1182	0.453137
32	-0.016812	-0.1291	0.448845
33	-0.103351	-0.7939	0.21523
34	-0.027137	-0.2084	0.4178
35	0.082978	0.6374	0.263177
36	-0.028872	-0.2218	0.412628
37	0.01866	0.1433	0.443257
38	0.093608	0.719	0.237485
39	-0.029766	-0.2286	0.409971
40	-0.029443	-0.2262	0.410932
41	-0.062678	-0.4814	0.315992
42	-0.006314	-0.0485	0.480742
43	-0.038313	-0.2943	0.384786
44	0.038723	0.2974	0.383588
45	-0.000241	-0.0019	0.499264
46	-0.071155	-0.5465	0.293375
47	-0.088046	-0.6763	0.250749
48	0.057894	0.4447	0.329086

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229175799eoa24dav8ziwygc/1od591229175720.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229175799eoa24dav8ziwygc/1od591229175720.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229175799eoa24dav8ziwygc/2n0d61229175720.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229175799eoa24dav8ziwygc/2n0d61229175720.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 = 2 ; 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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