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autocorrelation < 20 d=1 en D=1

*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: Thu, 18 Dec 2008 07:46:54 -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/18/t1229611676qp83q8ugg836bu5.htm/, Retrieved Thu, 18 Dec 2008 15:47:56 +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/18/t1229611676qp83q8ugg836bu5.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 «

12460 12870 14122 15366 15366 15046 10356 10194 11027 11449 12107 12862 12587 13951 15210 17511 17247 16900 12237 12188 12801 13276 14171 14629 16242 17239 18516 19862 19542 18515 13182 13148 13853 14341 14895 15317 15649 16373 17543 18911 19401 18295 12665 12246 12969 13563 15714 16094 15823 15460 16827 18279 18789 18041 12129 11708 12387 12982 13664 14073 14222 14715 15697 16908 17412 16232 10281 10258 11013 11779 12333 12684 12654 13239 14729 16146 16324 13797 9399 9626 10290 10931 11382 11704 11716 12470 13662 15097 15821 13083 9081 9479 10295 10999 11643 12055 12431 12940 14168 16031 16445 14245 9820 10389 11298 12156 12759 13414 13683 14070 15176 16694 17694 14294 9255 9868 10878 11685 12496 12488

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.0782	-0.8089	0.210182
2	-0.013118	-0.1357	0.446158
3	-0.21147	-2.1875	0.015443
4	-0.011741	-0.1214	0.451782
5	0.011567	0.1197	0.452491
6	0.114818	1.1877	0.118792
7	0.123062	1.273	0.102894
8	-0.067243	-0.6956	0.244103
9	0.139796	1.4461	0.075541
10	-0.120554	-1.247	0.107556
11	0.110579	1.1438	0.127622
12	-0.248533	-2.5708	0.00576
13	0.049729	0.5144	0.304017
14	0.008529	0.0882	0.464933
15	0.014509	0.1501	0.440493
16	-0.046095	-0.4768	0.317233
17	-0.069014	-0.7139	0.238425
18	-0.026806	-0.2773	0.39105
19	-0.048108	-0.4976	0.309881
20	-0.044475	-0.4601	0.323206
21	0.022633	0.2341	0.40767
22	0.184532	1.9088	0.029483
23	-0.055976	-0.579	0.281896
24	-0.0952	-0.9848	0.163483
25	-0.098192	-1.0157	0.156029
26	-0.062306	-0.6445	0.260315
27	0.080396	0.8316	0.203736
28	0.134584	1.3921	0.083382
29	0.075588	0.7819	0.218004
30	-0.153273	-1.5855	0.057906
31	-0.024906	-0.2576	0.398595
32	0.059871	0.6193	0.268515
33	0.066851	0.6915	0.245371
34	-0.095329	-0.9861	0.163156
35	-0.066564	-0.6885	0.246301
36	-0.059316	-0.6136	0.270399
37	0.052903	0.5472	0.29268
38	0.04996	0.5168	0.303186
39	-0.049732	-0.5144	0.304006
40	-0.000257	-0.0027	0.498943
41	-0.084318	-0.8722	0.192529
42	2.6e-05	3e-04	0.499892
43	-0.040924	-0.4233	0.336456
44	0.002634	0.0272	0.489158
45	-0.055714	-0.5763	0.282809
46	0.025026	0.2589	0.398118
47	-0.017787	-0.184	0.427186
48	0.053072	0.549	0.292081
49	-0.054314	-0.5618	0.287705
50	0.058423	0.6043	0.273451
51	-0.014669	-0.1517	0.439839
52	-0.059305	-0.6135	0.270439
53	-0.093103	-0.9631	0.168843
54	0.072559	0.7506	0.227283
55	0.073204	0.7572	0.225288
56	0.013221	0.1368	0.44574
57	0.010163	0.1051	0.458236
58	-0.098	-1.0137	0.156503
59	0.039348	0.407	0.342404
60	-0.029857	-0.3088	0.379022

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.0782	-0.8089	0.210182
2	-0.019352	-0.2002	0.420861
3	-0.215426	-2.2284	0.013973
4	-0.049403	-0.511	0.305191
5	-0.004647	-0.0481	0.480877
6	0.071915	0.7439	0.229284
7	0.135753	1.4042	0.081571
8	-0.037938	-0.3924	0.34776
9	0.191475	1.9806	0.025099
10	-0.042562	-0.4403	0.330315
11	0.102609	1.0614	0.145451
12	-0.21449	-2.2187	0.014309
13	-0.032055	-0.3316	0.370427
14	0.009687	0.1002	0.460186
15	-0.107047	-1.1073	0.135324
16	-0.08741	-0.9042	0.183968
17	-0.078717	-0.8143	0.208653
18	-0.059705	-0.6176	0.269076
19	0.001126	0.0116	0.495366
20	-0.162781	-1.6838	0.047566
21	0.107546	1.1125	0.134216
22	0.190119	1.9666	0.025909
23	0.028634	0.2962	0.383829
24	-0.085659	-0.8861	0.188784
25	-0.034297	-0.3548	0.36173
26	-0.033945	-0.3511	0.36309
27	0.021748	0.225	0.41122
28	0.015086	0.156	0.438144
29	0.055669	0.5758	0.282964
30	-0.150783	-1.5597	0.060891
31	-0.002417	-0.025	0.490049
32	0.065745	0.6801	0.248964
33	0.043247	0.4473	0.327764
34	-0.068663	-0.7103	0.239545
35	-0.110551	-1.1436	0.127681
36	-0.135215	-1.3987	0.082401
37	0.026656	0.2757	0.391645
38	-0.048722	-0.504	0.307656
39	-0.051239	-0.53	0.298597
40	0.012951	0.134	0.44684
41	-0.017859	-0.1847	0.426894
42	-0.047833	-0.4948	0.310883
43	-0.063257	-0.6543	0.257148
44	-0.018792	-0.1944	0.423121
45	0.022206	0.2297	0.40938
46	-0.024512	-0.2536	0.400162
47	-0.027834	-0.2879	0.386983
48	0.065031	0.6727	0.251297
49	-0.062419	-0.6457	0.259939
50	0.019506	0.2018	0.420238
51	-0.061743	-0.6387	0.262199
52	0.005726	0.0592	0.476439
53	-0.146013	-1.5104	0.066948
54	-0.046407	-0.48	0.316091
55	-0.003751	-0.0388	0.484559
56	-0.013551	-0.1402	0.444395
57	0.010473	0.1083	0.456968
58	-0.031645	-0.3273	0.372025
59	-0.038377	-0.397	0.346088
60	-0.045047	-0.466	0.321094

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611676qp83q8ugg836bu5/1nzym1229611609.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611676qp83q8ugg836bu5/1nzym1229611609.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611676qp83q8ugg836bu5/2khfk1229611609.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611676qp83q8ugg836bu5/2khfk1229611609.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 = 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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