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ACF 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: Wed, 02 Dec 2009 12:11:03 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/02/t1259781291ffoj3xdg4d1cf8l.htm/, Retrieved Wed, 02 Dec 2009 20:14:57 +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/2009/Dec/02/t1259781291ffoj3xdg4d1cf8l.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

111.5 108.1 124.5 106.3 111.1 121.3 116.5 117.4 123.6 98.4 107.2 118.9 111.9 115.2 124.4 104.6 117 126.2 117.5 122.2 124.1 105.8 107.5 125.6 112.1 120.1 130.6 109.8 122.1 129.5 132.1 133.3 128.4 114.7 114.1 136.9 123.4 134 137 127.8 140.1 140.4 157.8 151.8 141.1 138.8 141.1 139.5 150.7 144.4 146 143.6 143.1 156.4 164.8 145.1 153.4 133.2 131.4 145.9

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	-0.390671	-3.0008	0.001971
2	-0.200669	-1.5414	0.064287
3	0.331742	2.5482	0.006727
4	-0.390005	-2.9957	0.002
5	-0.068009	-0.5224	0.301678
6	0.499878	3.8396	0.000152
7	-0.216718	-1.6646	0.050643
8	-0.178	-1.3672	0.088368
9	0.199603	1.5332	0.065289
10	-0.244205	-1.8758	0.032818
11	-0.041266	-0.317	0.376193
12	0.484791	3.7238	0.00022
13	-0.191708	-1.4725	0.073096
14	-0.083281	-0.6397	0.262424
15	0.07091	0.5447	0.294016
16	-0.148517	-1.1408	0.129286
17	-0.068376	-0.5252	0.300704
18	0.276464	2.1236	0.018955
19	-0.013554	-0.1041	0.458718
20	-0.251601	-1.9326	0.029046
21	0.147401	1.1322	0.131063
22	-0.140995	-1.083	0.141606
23	-0.01471	-0.113	0.455212
24	0.274565	2.109	0.019601
25	-0.03665	-0.2815	0.389651
26	-0.097022	-0.7452	0.229543
27	-0.032199	-0.2473	0.402759
28	0.012459	0.0957	0.462042
29	-0.07431	-0.5708	0.285155
30	0.151486	1.1636	0.124639
31	0.021917	0.1683	0.433444
32	-0.163345	-1.2547	0.107272
33	0.035673	0.274	0.392517
34	-0.009553	-0.0734	0.470877
35	-0.013723	-0.1054	0.458206
36	0.093315	0.7168	0.238173

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.390671	-3.0008	0.001971
2	-0.416925	-3.2025	0.001099
3	0.082535	0.634	0.264277
4	-0.373986	-2.8726	0.002824
5	-0.430939	-3.3101	0.000797
6	0.12801	0.9833	0.164746
7	0.177749	1.3653	0.088668
8	-0.196748	-1.5113	0.068031
9	-0.294192	-2.2597	0.013772
10	-0.188041	-1.4444	0.076962
11	-0.192744	-1.4805	0.072031
12	0.141465	1.0866	0.140813
13	0.140036	1.0756	0.143234
14	0.190379	1.4623	0.074479
15	-0.063633	-0.4888	0.313406
16	0.143676	1.1036	0.137125
17	-0.000811	-0.0062	0.497526
18	-0.096882	-0.7442	0.229865
19	0.048957	0.376	0.354115
20	-0.115165	-0.8846	0.189982
21	-0.050208	-0.3857	0.350569
22	-0.202185	-1.553	0.062884
23	-0.015895	-0.1221	0.45162
24	-0.132523	-1.0179	0.156434
25	-0.097558	-0.7494	0.228309
26	0.009813	0.0754	0.470085
27	-0.131739	-1.0119	0.157858
28	0.026078	0.2003	0.420964
29	0.031326	0.2406	0.405343
30	0.034677	0.2664	0.395445
31	-0.128599	-0.9878	0.163646
32	-0.013833	-0.1063	0.457871
33	0.052555	0.4037	0.343954
34	0.078353	0.6018	0.274793
35	-0.005121	-0.0393	0.484378
36	-0.081084	-0.6228	0.267901

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259781291ffoj3xdg4d1cf8l/1jp6c1259781061.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259781291ffoj3xdg4d1cf8l/1jp6c1259781061.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259781291ffoj3xdg4d1cf8l/2w2jf1259781061.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/02/t1259781291ffoj3xdg4d1cf8l/2w2jf1259781061.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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