Home » date » 2009 » Dec » 04 »

ACF met: d=0, D=1, lambda=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 07:13:45 -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/t1259936059av1h052uk9cz3z2.htm/, Retrieved Fri, 04 Dec 2009 15:14:21 +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/t1259936059av1h052uk9cz3z2.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 «

462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412 406 398 397 385 390 413 413 401 397 397 409 419 424 428 430 424 433 456 459 446 441

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	0.940542	6.5838	0
2	0.869198	6.0844	0
3	0.786067	5.5025	1e-06
4	0.683813	4.7867	8e-06
5	0.572741	4.0092	0.000104
6	0.460074	3.2205	0.001137
7	0.345287	2.417	0.009708
8	0.232312	1.6262	0.055163
9	0.124106	0.8687	0.194612
10	0.033895	0.2373	0.406722
11	-0.041679	-0.2918	0.385854
12	-0.118925	-0.8325	0.204589
13	-0.177152	-1.2401	0.110428
14	-0.225646	-1.5795	0.060325
15	-0.272084	-1.9046	0.031356
16	-0.324576	-2.272	0.013755
17	-0.377428	-2.642	0.005516
18	-0.40807	-2.8565	0.003134
19	-0.439736	-3.0782	0.001704
20	-0.466962	-3.2687	0.000989
21	-0.47987	-3.3591	0.00076
22	-0.486463	-3.4052	0.000664
23	-0.488814	-3.4217	0.000632
24	-0.472678	-3.3087	0.000881
25	-0.44689	-3.1282	0.001479
26	-0.398945	-2.7926	0.003718
27	-0.360478	-2.5233	0.007459
28	-0.308128	-2.1569	0.017973
29	-0.234488	-1.6414	0.053557
30	-0.168677	-1.1807	0.121703
31	-0.113138	-0.792	0.216099
32	-0.054289	-0.38	0.352785
33	-0.006593	-0.0462	0.481689
34	0.03579	0.2505	0.401612
35	0.077189	0.5403	0.295712
36	0.107889	0.7552	0.226866

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.940542	6.5838	0
2	-0.133655	-0.9356	0.177038
3	-0.132436	-0.9271	0.179222
4	-0.201393	-1.4098	0.082464
5	-0.114067	-0.7985	0.214226
6	-0.057603	-0.4032	0.34427
7	-0.069646	-0.4875	0.314032
8	-0.054272	-0.3799	0.352829
9	-0.048749	-0.3412	0.367189
10	0.068055	0.4764	0.317959
11	0.027931	0.1955	0.422898
12	-0.139985	-0.9799	0.165976
13	0.034068	0.2385	0.406253
14	-0.045145	-0.316	0.376666
15	-0.084823	-0.5938	0.277702
16	-0.191992	-1.3439	0.092578
17	-0.135889	-0.9512	0.17308
18	0.130159	0.9111	0.183348
19	-0.075048	-0.5253	0.30086
20	-0.040821	-0.2857	0.388137
21	-0.00537	-0.0376	0.485084
22	-0.020826	-0.1458	0.442345
23	-0.023889	-0.1672	0.433943
24	0.027078	0.1895	0.425224
25	-0.029672	-0.2077	0.418161
26	0.124757	0.8733	0.19338
27	-0.162103	-1.1347	0.131006
28	0.06671	0.467	0.321296
29	0.108506	0.7595	0.225583
30	-0.036092	-0.2526	0.400799
31	-0.106132	-0.7429	0.230537
32	-0.012828	-0.0898	0.464407
33	-0.07273	-0.5091	0.306479
34	0.019023	0.1332	0.447305
35	0.051953	0.3637	0.358835
36	-0.072351	-0.5065	0.307405

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936059av1h052uk9cz3z2/110ub1259936023.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936059av1h052uk9cz3z2/110ub1259936023.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936059av1h052uk9cz3z2/2zt1d1259936023.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259936059av1h052uk9cz3z2/2zt1d1259936023.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 = 0 ; 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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