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acf paper d=1 D=0

*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 11:54:33 -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/18/t1229626513qzcrefj6at1ady6.htm/, Retrieved Thu, 18 Dec 2008 19:55:15 +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/18/t1229626513qzcrefj6at1ady6.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 «

565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945

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	0.237631	1.8253	0.036511
2	-0.203087	-1.5599	0.062061
3	-0.26534	-2.0381	0.023015
4	-0.236783	-1.8188	0.037012
5	0.025914	0.1991	0.421454
6	0.157581	1.2104	0.115475
7	0.052835	0.4058	0.343168
8	-0.272589	-2.0938	0.020292
9	-0.252946	-1.9429	0.028401
10	-0.146413	-1.1246	0.132652
11	0.250648	1.9253	0.029511
12	0.730813	5.6135	0
13	0.119979	0.9216	0.180252
14	-0.179419	-1.3781	0.086681
15	-0.245376	-1.8848	0.032195
16	-0.186613	-1.4334	0.078511
17	0.026024	0.1999	0.421125
18	0.114412	0.8788	0.191533
19	0.030625	0.2352	0.40742
20	-0.267467	-2.0545	0.022185
21	-0.195125	-1.4988	0.06963
22	-0.072676	-0.5582	0.289397
23	0.182443	1.4014	0.083171
24	0.483188	3.7114	0.000229
25	0.094624	0.7268	0.235106
26	-0.161252	-1.2386	0.1102
27	-0.212972	-1.6359	0.053596
28	-0.121828	-0.9358	0.1766
29	0.020213	0.1553	0.438574
30	0.078273	0.6012	0.274997
31	0.013049	0.1002	0.460251
32	-0.206606	-1.587	0.058932
33	-0.119513	-0.918	0.181178
34	-0.061981	-0.4761	0.317887
35	0.119851	0.9206	0.180505
36	0.336572	2.5853	0.006111
37	0.06247	0.4798	0.316557
38	-0.14187	-1.0897	0.140133
39	-0.11253	-0.8644	0.195445
40	-0.042262	-0.3246	0.373308
41	0.017935	0.1378	0.445449
42	0.059848	0.4597	0.323711
43	0.01316	0.1011	0.459914
44	-0.135433	-1.0403	0.151227
45	-0.056441	-0.4335	0.333105
46	-0.010623	-0.0816	0.467623
47	0.080659	0.6196	0.268969
48	0.166341	1.2777	0.103182
49	0.022004	0.169	0.43318
50	-0.063919	-0.491	0.312634
51	-0.035285	-0.271	0.393658
52	-0.00791	-0.0608	0.475879
53	0.001798	0.0138	0.494515
54	0.045432	0.349	0.364178
55	0.016293	0.1251	0.450416
56	-0.047856	-0.3676	0.357249
57	-0.011206	-0.0861	0.46585
58	0.012707	0.0976	0.461289
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.237631	1.8253	0.036511
2	-0.275089	-2.113	0.01942
3	-0.158731	-1.2192	0.113803
4	-0.207433	-1.5933	0.058216
5	0.042751	0.3284	0.371894
6	0.010667	0.0819	0.467487
7	-0.061931	-0.4757	0.318022
8	-0.329503	-2.531	0.007031
9	-0.132303	-1.0162	0.156833
10	-0.242065	-1.8593	0.033984
11	0.180963	1.39	0.084875
12	0.590885	4.5387	1.4e-05
13	-0.204486	-1.5707	0.060802
14	0.122817	0.9434	0.174667
15	-0.050027	-0.3843	0.351082
16	0.012006	0.0922	0.463419
17	-0.028698	-0.2204	0.413146
18	-0.124353	-0.9552	0.171694
19	-0.010778	-0.0828	0.46715
20	-0.032772	-0.2517	0.401062
21	0.015559	0.1195	0.452639
22	0.008004	0.0615	0.475591
23	-0.196396	-1.5085	0.068376
24	-0.047296	-0.3633	0.358845
25	0.071591	0.5499	0.292231
26	-0.146065	-1.1219	0.133216
27	0.031816	0.2444	0.40389
28	-0.077992	-0.5991	0.27571
29	-0.029604	-0.2274	0.410453
30	0.008883	0.0682	0.472917
31	-0.097053	-0.7455	0.229471
32	0.047331	0.3636	0.358743
33	-0.026924	-0.2068	0.418436
34	-0.133405	-1.0247	0.154843
35	0.045921	0.3527	0.362775
36	-0.096661	-0.7425	0.230376
37	-0.062142	-0.4773	0.317448
38	-0.01603	-0.1231	0.451212
39	0.025707	0.1975	0.422074
40	0.034746	0.2669	0.395241
41	-0.021614	-0.166	0.434355
42	-0.022669	-0.1741	0.431183
43	0.026752	0.2055	0.418951
44	-0.030883	-0.2372	0.406656
45	0.056263	0.4322	0.333599
46	0.061406	0.4717	0.319452
47	-0.083605	-0.6422	0.261621
48	-0.084815	-0.6515	0.258635
49	0.02502	0.1922	0.42413
50	0.040373	0.3101	0.378784
51	-0.045155	-0.3468	0.364971
52	-0.035555	-0.2731	0.392864
53	-0.035669	-0.274	0.39253
54	0.054656	0.4198	0.33807
55	-0.003407	-0.0262	0.489606
56	0.070262	0.5397	0.295719
57	-0.061611	-0.4732	0.318893
58	0.008495	0.0653	0.474097
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/18/t1229626513qzcrefj6at1ady6/1mnrw1229626471.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626513qzcrefj6at1ady6/1mnrw1229626471.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626513qzcrefj6at1ady6/2u7w81229626471.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626513qzcrefj6at1ady6/2u7w81229626471.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')

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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