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paper autocorrelation function (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 09:35:41 -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/14/t1229272573laraiv7bf35n3rl.htm/, Retrieved Sun, 14 Dec 2008 17:36:15 +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/t1229272573laraiv7bf35n3rl.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 «

111078 150739 159129 157928 147768 137507 136919 136151 133001 125554 119647 114158 116193 152803 161761 160942 149470 139208 134588 130322 126611 122401 117352 112135 112879 148729 157230 157221 146681 136524 132111 125326 122716 116615 113719 110737 112093 143565 149946 149147 134339 122683 115614 116566 111272 104609 101802 94542 93051 124129 130374 123946 114971 105531 104919 104782 101281 94545 93248 84031 87486

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	-0.056971	-0.3947	0.347405
2	0.136404	0.945	0.174687
3	-0.165202	-1.1446	0.129035
4	0.043599	0.3021	0.381955
5	-0.210064	-1.4554	0.076039
6	0.037762	0.2616	0.397365
7	0.097022	0.6722	0.252343
8	-0.010518	-0.0729	0.471106
9	0.089136	0.6176	0.269895
10	-0.093249	-0.646	0.260663
11	0.230147	1.5945	0.058694
12	-0.24832	-1.7204	0.0459
13	-0.019142	-0.1326	0.447525
14	-0.04312	-0.2987	0.383213
15	-0.051879	-0.3594	0.360424
16	-0.245481	-1.7007	0.047731
17	0.004069	0.0282	0.488812
18	0.062188	0.4309	0.334253
19	-0.049126	-0.3404	0.367538
20	0.046405	0.3215	0.374612
21	-0.040975	-0.2839	0.38886
22	0.136523	0.9459	0.174478
23	-0.11201	-0.776	0.22077
24	0.03198	0.2216	0.412796
25	-0.026872	-0.1862	0.426546
26	0.067516	0.4678	0.321034
27	-0.03853	-0.2669	0.395328
28	0.061556	0.4265	0.335835
29	0.048703	0.3374	0.368634
30	-0.080729	-0.5593	0.289275
31	0.111832	0.7748	0.221131
32	0.091622	0.6348	0.264294
33	0.060658	0.4202	0.33809
34	-0.076725	-0.5316	0.298739
35	-0.025138	-0.1742	0.431236
36	-0.098116	-0.6798	0.24996
37	0.003507	0.0243	0.490358
38	0.013373	0.0926	0.463284
39	0.006671	0.0462	0.481665
40	-0.018974	-0.1315	0.447983
41	-0.077454	-0.5366	0.297006
42	-0.048514	-0.3361	0.369124
43	-0.004084	-0.0283	0.488771
44	-0.015602	-0.1081	0.457187
45	-0.008565	-0.0593	0.476464
46	0.02447	0.1695	0.433044
47	-0.039785	-0.2756	0.392004
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.056971	-0.3947	0.347405
2	0.133592	0.9256	0.179655
3	-0.1541	-1.0676	0.145513
4	0.013478	0.0934	0.462995
5	-0.174385	-1.2082	0.116449
6	-0.004915	-0.034	0.486489
7	0.161156	1.1165	0.134878
8	-0.071528	-0.4956	0.311232
9	0.081913	0.5675	0.286506
10	-0.093527	-0.648	0.260046
11	0.221454	1.5343	0.065763
12	-0.181402	-1.2568	0.107456
13	-0.131208	-0.909	0.183937
14	0.114704	0.7947	0.215352
15	-0.192359	-1.3327	0.094461
16	-0.198956	-1.3784	0.087235
17	-0.048299	-0.3346	0.369684
18	0.019412	0.1345	0.446788
19	-0.023237	-0.161	0.436388
20	-0.066617	-0.4615	0.323249
21	-0.025509	-0.1767	0.430232
22	0.118548	0.8213	0.207762
23	0.025235	0.1748	0.430974
24	-0.030457	-0.211	0.416884
25	-0.023353	-0.1618	0.436074
26	0.103805	0.7192	0.237758
27	0.068583	0.4752	0.318414
28	-0.118111	-0.8183	0.208616
29	-0.011512	-0.0798	0.468381
30	-0.026809	-0.1857	0.426715
31	0.077369	0.536	0.297207
32	0.092991	0.6443	0.261236
33	-0.104078	-0.7211	0.23718
34	0.036325	0.2517	0.401186
35	-0.044964	-0.3115	0.378378
36	-0.103792	-0.7191	0.237785
37	0.040937	0.2836	0.388961
38	0.055753	0.3863	0.350503
39	-0.015268	-0.1058	0.458099
40	-0.146706	-1.0164	0.157265
41	-0.049658	-0.344	0.36616
42	-0.01128	-0.0782	0.469015
43	0.02705	0.1874	0.426065
44	0.000372	0.0026	0.498976
45	-0.053656	-0.3717	0.355862
46	0.025728	0.1782	0.429638
47	0.05064	0.3508	0.363619
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272573laraiv7bf35n3rl/12p2u1229272539.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272573laraiv7bf35n3rl/12p2u1229272539.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272573laraiv7bf35n3rl/27keq1229272539.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272573laraiv7bf35n3rl/27keq1229272539.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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