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d=0 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: Mon, 07 Dec 2009 14:44:54 -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/07/t1260222417bhxk144q120uc5m.htm/, Retrieved Mon, 07 Dec 2009 22:46:59 +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/07/t1260222417bhxk144q120uc5m.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 «

95.1 97.0 112.7 102.9 97.4 111.4 87.4 96.8 114.1 110.3 103.9 101.6 94.6 95.9 104.7 102.8 98.1 113.9 80.9 95.7 113.2 105.9 108.8 102.3 99.0 100.7 115.5 100.7 109.9 114.6 85.4 100.5 114.8 116.5 112.9 102.0 106.0 105.3 118.8 106.1 109.3 117.2 92.5 104.2 112.5 122.4 113.3 100.0 110.7 112.8 109.8 117.3 109.1 115.9 96.0 99.8 116.8 115.7 99.4 94.3

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	0.041108	0.2848	0.38851
2	0.219631	1.5216	0.067329
3	0.293878	2.036	0.023642
4	0.042183	0.2923	0.385677
5	0.144612	1.0019	0.160708
6	0.152207	1.0545	0.148461
7	-0.044488	-0.3082	0.379624
8	0.055212	0.3825	0.351881
9	0.100799	0.6984	0.244161
10	-0.123143	-0.8532	0.198904
11	0.047452	0.3288	0.371884
12	-0.039094	-0.2709	0.393833
13	-0.057409	-0.3977	0.346291
14	-0.081314	-0.5634	0.287907
15	-0.005151	-0.0357	0.48584
16	-0.176523	-1.223	0.113653
17	-0.040313	-0.2793	0.390609
18	-0.034305	-0.2377	0.406574
19	-0.174644	-1.21	0.116107
20	-0.068567	-0.475	0.318453
21	-0.084081	-0.5825	0.281469
22	-0.260341	-1.8037	0.038778
23	0.106441	0.7374	0.23222
24	-0.248063	-1.7186	0.046063
25	-0.135165	-0.9364	0.176865
26	-0.011126	-0.0771	0.46944
27	-0.140499	-0.9734	0.167616
28	-0.09311	-0.6451	0.260973
29	-0.07098	-0.4918	0.312563
30	-0.131806	-0.9132	0.182856
31	-0.130914	-0.907	0.184469
32	-0.025343	-0.1756	0.430681
33	-0.17395	-1.2052	0.117025
34	-0.013034	-0.0903	0.464212
35	-0.057134	-0.3958	0.34699
36	0.035625	0.2468	0.403051

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.041108	0.2848	0.38851
2	0.21831	1.5125	0.068483
3	0.292245	2.0247	0.024239
4	-0.007371	-0.0511	0.47974
5	0.023204	0.1608	0.436477
6	0.073638	0.5102	0.306132
7	-0.095722	-0.6632	0.255193
8	-0.047185	-0.3269	0.37258
9	0.079359	0.5498	0.292497
10	-0.108123	-0.7491	0.228727
11	-0.012015	-0.0832	0.467003
12	-0.03491	-0.2419	0.404959
13	0.008492	0.0588	0.476665
14	-0.110892	-0.7683	0.223041
15	0.035069	0.243	0.404534
16	-0.10953	-0.7588	0.225827
17	-0.020886	-0.1447	0.442775
18	0.029431	0.2039	0.419646
19	-0.068815	-0.4768	0.317846
20	-0.074285	-0.5147	0.304575
21	-0.016331	-0.1131	0.455195
22	-0.18575	-1.2869	0.102148
23	0.187096	1.2962	0.100546
24	-0.193888	-1.3433	0.092747
25	-0.019917	-0.138	0.445413
26	-0.043053	-0.2983	0.383389
27	0.03478	0.241	0.405305
28	-0.070912	-0.4913	0.31273
29	-0.073819	-0.5114	0.305696
30	-0.060764	-0.421	0.337822
31	-0.085881	-0.595	0.277319
32	-0.068911	-0.4774	0.317613
33	-0.032155	-0.2228	0.412329
34	-0.026405	-0.1829	0.427809
35	-0.001314	-0.0091	0.496387
36	0.052288	0.3623	0.359373

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260222417bhxk144q120uc5m/1pa7v1260222293.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260222417bhxk144q120uc5m/1pa7v1260222293.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260222417bhxk144q120uc5m/2chbh1260222293.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260222417bhxk144q120uc5m/2chbh1260222293.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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