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AC d=1 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: Fri, 04 Dec 2009 05:17:39 -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/04/t1259929123f3a1r0wc77gtnqf.htm/, Retrieved Fri, 04 Dec 2009 13:18:45 +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/04/t1259929123f3a1r0wc77gtnqf.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 «

564 581 597 587 536 524 537 536 533 528 516 502 506 518 534 528 478 469 490 493 508 517 514 510 527 542 565 555 499 511 526 532 549 561 557 566 588 620 626 620 573 573 574 580 590 593 597 595 612 628 629 621 569 567 573 584 589 591 595 594

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	0.13543	0.9285	0.178956
2	0.240985	1.6521	0.052589
3	0.33581	2.3022	0.0129
4	0.22256	1.5258	0.066881
5	0.063804	0.4374	0.331906
6	0.185662	1.2728	0.104668
7	0.018785	0.1288	0.44904
8	0.140643	0.9642	0.16994
9	0.013149	0.0901	0.464277
10	-0.086975	-0.5963	0.276928
11	0.283014	1.9402	0.029181
12	-0.157775	-1.0816	0.142463
13	-0.077121	-0.5287	0.299746
14	0.096843	0.6639	0.254991
15	0.071789	0.4922	0.312449
16	-0.103472	-0.7094	0.240799
17	0.075741	0.5193	0.303011
18	-0.159112	-1.0908	0.140458
19	-0.028258	-0.1937	0.423611
20	-0.14691	-1.0072	0.159506
21	-0.206068	-1.4127	0.082161
22	-0.089551	-0.6139	0.271111
23	-0.19182	-1.3151	0.097437
24	-0.199386	-1.3669	0.089077
25	-0.086828	-0.5953	0.277262
26	-0.114773	-0.7868	0.217662
27	-0.240275	-1.6472	0.05309
28	-0.107912	-0.7398	0.231548
29	-0.127552	-0.8745	0.193158
30	-0.090425	-0.6199	0.269152
31	-0.045048	-0.3088	0.379407
32	-0.064645	-0.4432	0.329832
33	-0.04346	-0.2979	0.383527
34	0.002699	0.0185	0.492658
35	-0.007403	-0.0508	0.479869
36	-0.00188	-0.0129	0.494887

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.13543	0.9285	0.178956
2	0.226804	1.5549	0.063341
3	0.300548	2.0605	0.022457
4	0.144633	0.9916	0.163247
5	-0.098278	-0.6738	0.251883
6	0.01888	0.1294	0.448784
7	-0.108703	-0.7452	0.229922
8	0.102722	0.7042	0.242382
9	-0.034444	-0.2361	0.407177
10	-0.159775	-1.0954	0.139469
11	0.322187	2.2088	0.01605
12	-0.24632	-1.6887	0.048952
13	-0.065444	-0.4487	0.327868
14	0.054841	0.376	0.354314
15	0.129157	0.8855	0.190209
16	0.017091	0.1172	0.453612
17	-0.088068	-0.6038	0.274451
18	-0.183061	-1.255	0.107841
19	-0.092463	-0.6339	0.264612
20	-0.073654	-0.5049	0.307977
21	-0.065705	-0.4505	0.327228
22	-0.091282	-0.6258	0.267238
23	0.009461	0.0649	0.474279
24	0.04207	0.2884	0.387147
25	-0.048718	-0.334	0.369934
26	-0.032655	-0.2239	0.411914
27	-0.074429	-0.5103	0.306129
28	-0.084505	-0.5793	0.282563
29	0.100379	0.6882	0.247366
30	-0.052645	-0.3609	0.35989
31	0.097916	0.6713	0.252665
32	0.008034	0.0551	0.478155
33	-0.032521	-0.223	0.41227
34	0.037386	0.2563	0.399417
35	0.044881	0.3077	0.37984
36	0.03366	0.2308	0.40925

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259929123f3a1r0wc77gtnqf/152fv1259929058.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259929123f3a1r0wc77gtnqf/152fv1259929058.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259929123f3a1r0wc77gtnqf/2ewze1259929058.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259929123f3a1r0wc77gtnqf/2ewze1259929058.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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