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autocorrelation 20-25 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 08:18:37 -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/t122961356453xnmoh5o8yyxlc.htm/, Retrieved Thu, 18 Dec 2008 16:19:24 +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/t122961356453xnmoh5o8yyxlc.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 «

40628 40167 43375 45610 46255 44375 35461 38096 40813 41582 44461 46390 45744 47990 51847 56641 55016 53119 44471 45200 46256 46922 48965 49447 51702 52837 56273 59070 57871 54862 44357 45264 47111 49050 50518 51824 53495 54623 58088 61321 60205 56527 45623 46127 48141 50648 52441 53661 54156 54245 58182 60436 59412 55903 43648 43555 45483 46956 49087 50433 50505 50890 53703 55276 53959 49732 37776 38437 40187 41626 42682 43647 43625 44352 49669 50986 48869 43127 33629 34948 36346 37607 38948 40274 40044 41139 45041 47433 48126 41639 33538 34742 37152 38399 41374 43363 44071 45080 48487 52140 52780 46700 38202 39915 42199 44356 46188 47883 48149 48201 51438 55796 55989 48794 39252 41414 43856 46086 48284 50101

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.03872	-0.4005	0.344786
2	0.053529	0.5537	0.290467
3	-0.04242	-0.4388	0.330849
4	0.071157	0.7361	0.231655
5	-0.002401	-0.0248	0.490118
6	0.027997	0.2896	0.386339
7	0.129702	1.3416	0.091276
8	-0.074284	-0.7684	0.221971
9	0.158189	1.6363	0.052355
10	-0.084056	-0.8695	0.193265
11	0.184923	1.9129	0.02922
12	-0.146706	-1.5175	0.06604
13	-0.003589	-0.0371	0.485226
14	0.039114	0.4046	0.343289
15	-0.04277	-0.4424	0.329542
16	-0.025205	-0.2607	0.397406
17	-0.08405	-0.8694	0.193281
18	-0.014195	-0.1468	0.441768
19	-0.101701	-1.052	0.147583
20	0.055882	0.578	0.282224
21	0.096293	0.9961	0.160733
22	0.058022	0.6002	0.274826
23	-0.026221	-0.2712	0.393366
24	-0.059108	-0.6114	0.271111
25	-0.065073	-0.6731	0.25116
26	-0.029364	-0.3037	0.380958
27	0.029604	0.3062	0.380014
28	0.013844	0.1432	0.4432
29	0.060917	0.6301	0.264975
30	-0.077531	-0.802	0.21217
31	-0.063653	-0.6584	0.255836
32	0.070771	0.7321	0.232867
33	-0.033307	-0.3445	0.365561
34	-0.052406	-0.5421	0.294443
35	0.030121	0.3116	0.377986
36	-0.073443	-0.7597	0.224553
37	0.017072	0.1766	0.43008
38	0.002267	0.0235	0.490666
39	-0.102154	-1.0567	0.146516
40	-0.071065	-0.7351	0.231942
41	-0.006617	-0.0684	0.472779
42	-0.041907	-0.4335	0.332767
43	0.092139	0.9531	0.171346
44	-0.043472	-0.4497	0.326925
45	-0.022642	-0.2342	0.407634
46	0.024578	0.2542	0.399901
47	-0.077507	-0.8017	0.212241
48	-0.06861	-0.7097	0.239714
49	-0.028721	-0.2971	0.383485
50	0.104455	1.0805	0.141177
51	-0.076732	-0.7937	0.214556
52	-0.017876	-0.1849	0.426825
53	-0.057685	-0.5967	0.275986
54	0.052407	0.5421	0.294438
55	0.008288	0.0857	0.465918
56	-0.022142	-0.229	0.409638
57	0.021982	0.2274	0.410281
58	-0.114165	-1.1809	0.120124
59	0.078137	0.8083	0.210369
60	0.016558	0.1713	0.432167

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.03872	-0.4005	0.344786
2	0.052108	0.539	0.295501
3	-0.0386	-0.3993	0.345241
4	0.065852	0.6812	0.248615
5	0.006454	0.0668	0.473448
6	0.019893	0.2058	0.418678
7	0.137874	1.4262	0.078364
8	-0.074154	-0.7671	0.222369
9	0.148013	1.5311	0.064353
10	-0.066826	-0.6913	0.245452
11	0.155472	1.6082	0.055367
12	-0.127473	-1.3186	0.095061
13	-0.047599	-0.4924	0.311736
14	0.061473	0.6359	0.263104
15	-0.077007	-0.7966	0.213734
16	-0.044079	-0.456	0.324674
17	-0.061097	-0.632	0.264371
18	-0.092452	-0.9563	0.170531
19	-0.016704	-0.1728	0.431573
20	-0.018754	-0.194	0.423276
21	0.179011	1.8517	0.033413
22	0.04221	0.4366	0.33163
23	0.019313	0.1998	0.421019
24	-0.023967	-0.2479	0.402337
25	-0.108535	-1.1227	0.13204
26	0.031499	0.3258	0.372596
27	0.006299	0.0652	0.474087
28	0.007477	0.0773	0.469247
29	0.075766	0.7837	0.217466
30	-0.132862	-1.3743	0.086104
31	-0.071331	-0.7378	0.231111
32	0.048069	0.4972	0.310024
33	-0.030572	-0.3162	0.376219
34	-0.017168	-0.1776	0.42969
35	0.019175	0.1983	0.421574
36	-0.090925	-0.9405	0.17453
37	0.049021	0.5071	0.306571
38	0.004758	0.0492	0.480421
39	-0.077084	-0.7974	0.213502
40	-0.038954	-0.4029	0.343899
41	-0.009479	-0.098	0.461039
42	-0.074732	-0.773	0.220602
43	0.073124	0.7564	0.225536
44	-0.041516	-0.4294	0.334232
45	0.057045	0.5901	0.278191
46	0.04438	0.4591	0.323557
47	-0.064746	-0.6697	0.252234
48	-0.092098	-0.9527	0.171452
49	-0.063703	-0.659	0.255671
50	0.121384	1.2556	0.105997
51	-0.044573	-0.4611	0.322842
52	-0.058738	-0.6076	0.272372
53	-0.013365	-0.1382	0.445153
54	-0.017953	-0.1857	0.426512
55	0.057333	0.5931	0.277197
56	-0.047376	-0.4901	0.312545
57	0.010993	0.1137	0.45484
58	-0.086707	-0.8969	0.185891
59	0.045991	0.4757	0.317618
60	0.103466	1.0703	0.143454

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961356453xnmoh5o8yyxlc/1vzh71229613512.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961356453xnmoh5o8yyxlc/1vzh71229613512.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961356453xnmoh5o8yyxlc/2bp4a1229613512.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t122961356453xnmoh5o8yyxlc/2bp4a1229613512.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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