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paper autocorrelation d=1

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 14 Dec 2008 04:12:33 -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/14/t1229253226lg4mcfc7ly7vgf4.htm/, Retrieved Sun, 14 Dec 2008 12:13:48 +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/14/t1229253226lg4mcfc7ly7vgf4.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 «
6340.5 7901.5 8191.1 7181.7 7594.4 7384.7 7876.7 8463.4 8317.2 7778.7 8532.8 7272.2 6680.1 8427.6 8752.8 7952.7 8694.3 7787 8474.2 9154.7 8557.2 7951.1 9156.7 7865.7 7337.4 9131.7 8814.6 8598.8 8439.6 7451.8 8016.2 9544.1 8270.7 8102.2 9369 7657.7 7816.6 9391.3 9445.4 9533.1 10068.7 8955.5 10423.9 11617.2 9391.1 10872 10230.4 9221 9428.6 10934.5 10986 11724.6 11180.9 11163.2 11240.9 12107.1 10762.3 11340.4 11266.8 9542.7 9227.7 10571.9 10774.4 10392.8 9920.2 9884.9 10174.5 11395.4 10760.2 10570.1 10536 9902.6 8889 10837.3 11624.1 10509 10984.9 10649.1 10855.7 11677.4 10760.2 10046.2 10772.8 9987.7 8638.7 11063.7 11855.7 10684.5 11337.4 10478 11123.9 12909.3 11339.9 10462.2 12733.5 10519.2 10414.9 12476.8 12384.6 12266.7 12919.9 11497.3 12142 13919.4 12656.8 12034.1 13199.7 10881.3 11301.2 13643.9 12517 13981.1 14275.7 13435 13565.7 16216.3 12970 14079.9 14235 12213.4 12581
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.358524-3.92747.2e-05
2-0.341399-3.73980.000142
30.4670395.11621e-06
4-0.282642-3.09620.00122
5-0.192695-2.11090.01843
60.53425.85190
7-0.347078-3.8020.000114
8-0.124569-1.36460.087468
90.4478454.90591e-06
10-0.519907-5.69530
11-0.083192-0.91130.181976
120.6851697.50560
13-0.299973-3.2860.000666
14-0.203828-2.23280.013707
150.331023.62610.000212
16-0.309217-3.38730.000478
17-0.017196-0.18840.425453
180.3717444.07224.2e-05
19-0.325585-3.56660.00026
200.0029280.03210.487231
210.292563.20480.000866
22-0.462649-5.06811e-06
230.0398980.43710.331427
240.462455.06591e-06
25-0.206501-2.26210.012745
26-0.104561-1.14540.12716
270.1611331.76510.040043
28-0.216902-2.3760.009541
290.0426560.46730.320575
300.1862862.04070.021739
31-0.185992-2.03740.021903
320.0182610.20.420896
330.1362551.49260.069083
34-0.2761-3.02450.001523
350.0216870.23760.40631
360.3054893.34650.000547
37-0.037494-0.41070.341002
38-0.165576-1.81380.036104
390.106961.17170.121821
40-0.087638-0.960.169485
41-0.030308-0.3320.370232
420.1395191.52840.064529
43-0.046177-0.50580.306946
44-0.07653-0.83830.201753
450.1091231.19540.117147
46-0.128047-1.40270.081646
47-0.113004-1.23790.109086
480.3095243.39070.000472
490.0365120.40.344944
50-0.272599-2.98620.001713
510.1672891.83260.034674
52-0.01835-0.2010.420516
53-0.162638-1.78160.038671
540.2143542.34810.010252
55-0.036316-0.39780.345734
56-0.159843-1.7510.041251
570.1861692.03940.021804
58-0.109158-1.19580.117073
59-0.19872-2.17690.015724
600.3860174.22862.3e-05


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.358524-3.92747.2e-05
2-0.539254-5.90720
30.1380141.51190.066599
4-0.277563-3.04050.00145
5-0.246863-2.70420.003921
60.2186892.39560.009069
7-0.162385-1.77880.038899
8-0.002932-0.03210.487217
90.1132311.24040.108627
10-0.430087-4.71143e-06
11-0.351264-3.84799.6e-05
120.2349782.57410.005634
130.3847524.21472.4e-05
140.105921.16030.124115
15-0.215403-2.35960.009954
16-0.070731-0.77480.219987
170.0110720.12130.451831
18-0.081383-0.89150.18722
19-0.031598-0.34610.364923
20-0.035883-0.39310.347479
21-0.065911-0.7220.235844
22-0.095452-1.04560.148917
230.0594280.6510.258146
240.0132230.14490.442534
250.0756630.82880.20442
260.0047270.05180.479396
27-0.107925-1.18230.119721
280.0280930.30770.379404
29-0.046746-0.51210.304769
30-0.219133-2.40050.008955
31-0.050565-0.55390.290336
32-0.082563-0.90440.183789
33-0.081204-0.88950.187744
340.0048060.05260.479052
350.0734180.80430.21142
360.0179780.19690.422103
370.0660310.72330.235442
38-0.124456-1.36330.087664
39-0.00237-0.0260.489665
40-0.021995-0.24090.405007
41-0.069525-0.76160.223894
42-0.063468-0.69530.24412
430.0552530.60530.273073
440.0319310.34980.363557
450.0077890.08530.466072
460.0751630.82340.205966
47-0.001428-0.01560.493774
48-0.0377-0.4130.340178
490.0106150.11630.453814
50-0.141012-1.54470.062525
510.0497880.54540.293245
520.0145550.15940.436794
53-0.000701-0.00770.496942
540.0178360.19540.422713
55-0.092141-1.00930.157419
560.0346630.37970.352415
57-0.024633-0.26980.393874
580.0214340.23480.407383
590.0047230.05170.479414
60-0.098125-1.07490.142288
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253226lg4mcfc7ly7vgf4/1bqrj1229253151.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253226lg4mcfc7ly7vgf4/1bqrj1229253151.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253226lg4mcfc7ly7vgf4/22mz81229253151.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253226lg4mcfc7ly7vgf4/22mz81229253151.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; 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')
 





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