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paper autocorrelation d=1 en 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 04:16:34 -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/t1229253507midh37ondq9ijz9.htm/, Retrieved Sun, 14 Dec 2008 12:18:29 +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/14/t1229253507midh37ondq9ijz9.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 Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.593563	-6.1685	0
2	0.168327	1.7493	0.04154
3	0.123802	1.2866	0.100494
4	-0.108332	-1.1258	0.131369
5	-0.075855	-0.7883	0.216122
6	0.269171	2.7973	0.003051
7	-0.335192	-3.4834	0.000358
8	0.109093	1.1337	0.129709
9	0.201696	2.0961	0.019205
10	-0.276121	-2.8695	0.002473
11	0.142755	1.4836	0.070419
12	-0.026105	-0.2713	0.393342
13	-0.14418	-1.4984	0.068478
14	0.042753	0.4443	0.328856
15	0.089937	0.9347	0.176025
16	-0.203999	-2.12	0.018147
17	0.112381	1.1679	0.122709
18	0.146697	1.5245	0.065151
19	-0.260818	-2.7105	0.003908
20	0.19259	2.0015	0.023926
21	-0.011155	-0.1159	0.453964
22	-0.218468	-2.2704	0.012584
23	0.250539	2.6037	0.00526
24	-0.138893	-1.4434	0.075898
25	-0.099269	-1.0316	0.152274
26	0.258358	2.6849	0.004199
27	-0.120758	-1.255	0.106103
28	-0.086728	-0.9013	0.184716
29	0.241971	2.5146	0.006695
30	-0.23476	-2.4397	0.008164
31	0.065182	0.6774	0.249802
32	0.044614	0.4636	0.321918
33	-0.069362	-0.7208	0.236284
34	-0.018181	-0.1889	0.425244
35	0.186987	1.9432	0.027296
36	-0.209619	-2.1784	0.015774
37	0.111688	1.1607	0.124163
38	0.090441	0.9399	0.174685
39	-0.19783	-2.0559	0.021102
40	0.068373	0.7106	0.239445
41	0.093014	0.9666	0.167944
42	-0.216174	-2.2465	0.013352
43	0.202695	2.1065	0.01874
44	-0.021108	-0.2194	0.413391
45	-0.140641	-1.4616	0.073379
46	0.154269	1.6032	0.055904
47	-0.002871	-0.0298	0.488128
48	-0.198751	-2.0655	0.020636
49	0.249582	2.5937	0.005405
50	-0.228797	-2.3777	0.009589
51	0.090839	0.944	0.173631
52	0.062885	0.6535	0.257404
53	-0.053296	-0.5539	0.290406
54	-0.020217	-0.2101	0.416992
55	0.10426	1.0835	0.140498
56	-0.080676	-0.8384	0.201826
57	0.004581	0.0476	0.481058
58	0.040967	0.4257	0.335572
59	-0.072825	-0.7568	0.225403
60	0.076944	0.7996	0.212843

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.593563	-6.1685	0
2	-0.284074	-2.9522	0.001936
3	0.140207	1.4571	0.073999
4	0.161291	1.6762	0.048297
5	-0.150623	-1.5653	0.060216
6	0.13663	1.4199	0.079259
7	-0.094891	-0.9861	0.163136
8	-0.229427	-2.3843	0.009429
9	0.192746	2.0031	0.023837
10	0.110919	1.1527	0.125788
11	-0.026738	-0.2779	0.390822
12	-0.190899	-1.9839	0.024903
13	-0.210145	-2.1839	0.015567
14	-0.248267	-2.5801	0.00561
15	-0.036194	-0.3761	0.353776
16	0.123005	1.2783	0.101941
17	-0.037353	-0.3882	0.34932
18	0.197485	2.0523	0.021278
19	-0.016195	-0.1683	0.433331
20	-0.175076	-1.8194	0.035807
21	-0.024359	-0.2531	0.400317
22	-0.148	-1.5381	0.06348
23	0.051425	0.5344	0.297072
24	-0.076763	-0.7977	0.213386
25	-0.155175	-1.6126	0.054872
26	0.013317	0.1384	0.445094
27	0.032557	0.3383	0.367882
28	0.018963	0.1971	0.422073
29	0.028276	0.2938	0.384719
30	0.001799	0.0187	0.49256
31	-0.013486	-0.1401	0.444403
32	-0.208783	-2.1697	0.016109
33	-0.003535	-0.0367	0.48538
34	0.007941	0.0825	0.467189
35	0.101125	1.0509	0.14782
36	-0.067798	-0.7046	0.241295
37	-0.144583	-1.5025	0.067937
38	0.101561	1.0555	0.146786
39	-0.026178	-0.272	0.393052
40	-0.045768	-0.4756	0.317646
41	0.032109	0.3337	0.369631
42	-0.070755	-0.7353	0.231873
43	0.049417	0.5136	0.304307
44	-0.137419	-1.4281	0.078074
45	-0.018545	-0.1927	0.423766
46	-0.052161	-0.5421	0.294444
47	-0.000562	-0.0058	0.497677
48	-0.024555	-0.2552	0.399532
49	-0.015535	-0.1614	0.436023
50	-0.057006	-0.5924	0.277402
51	0.008005	0.0832	0.466928
52	-0.03216	-0.3342	0.36943
53	-0.009981	-0.1037	0.458791
54	0.048186	0.5008	0.308778
55	-0.008154	-0.0847	0.466314
56	-0.082212	-0.8544	0.197396
57	0.035775	0.3718	0.355389
58	-0.03338	-0.3469	0.364673
59	-0.025726	-0.2674	0.394853
60	0.104273	1.0836	0.14047

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253507midh37ondq9ijz9/1ok5k1229253392.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253507midh37ondq9ijz9/1ok5k1229253392.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253507midh37ondq9ijz9/2eynw1229253392.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229253507midh37ondq9ijz9/2eynw1229253392.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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