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Model 1 (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, 10 Dec 2009 10:28:06 -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/10/t1260466128kqfr3drl661fk40.htm/, Retrieved Thu, 10 Dec 2009 18:28:51 +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/10/t1260466128kqfr3drl661fk40.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 «

8.2 8 7.5 6.8 6.5 6.6 7.6 8 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 7.9 7.7 7.4 7.5 8 8.1 8

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	0.441379	3.6397	0.000264
2	-0.147727	-1.2182	0.113681
3	-0.545574	-4.4989	1.4e-05
4	-0.422258	-3.482	0.000437
5	0.027372	0.2257	0.41105
6	0.368668	3.0401	0.001678
7	0.261644	2.1576	0.017248
8	-0.060217	-0.4966	0.310551
9	-0.27402	-2.2596	0.013526
10	-0.237703	-1.9601	0.027039
11	-0.011093	-0.0915	0.463692
12	0.298994	2.4656	0.008104
13	0.140669	1.16	0.125056
14	0.06199	0.5112	0.305441
15	-0.016932	-0.1396	0.444686
16	-0.08629	-0.7116	0.239584
17	-0.055531	-0.4579	0.324236
18	0.003123	0.0258	0.489764
19	0.007956	0.0656	0.473943
20	-0.002644	-0.0218	0.491334
21	0.01365	0.1126	0.455356
22	-0.087401	-0.7207	0.236775
23	-0.155516	-1.2824	0.102025
24	-0.098036	-0.8084	0.210833
25	-0.102697	-0.8469	0.20002
26	0.102749	0.8473	0.199902
27	0.20946	1.7272	0.044332
28	0.162749	1.3421	0.09202
29	0.053861	0.4442	0.329172
30	-0.059894	-0.4939	0.311485
31	-0.131323	-1.0829	0.141335
32	-0.155974	-1.2862	0.101369
33	-0.05748	-0.474	0.318511
34	-0.007077	-0.0584	0.476816
35	0.05389	0.4444	0.329087
36	0.100737	0.8307	0.204526

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.441379	3.6397	0.000264
2	-0.42542	-3.5081	0.000402
3	-0.401631	-3.3119	0.000743
4	-0.037018	-0.3053	0.380551
5	0.138315	1.1406	0.129024
6	0.057762	0.4763	0.317687
7	-0.183808	-1.5157	0.067112
8	-0.087585	-0.7222	0.236309
9	0.040835	0.3367	0.368679
10	-0.036486	-0.3009	0.382215
11	-0.071649	-0.5908	0.278295
12	0.208345	1.7181	0.045168
13	-0.27354	-2.2557	0.013656
14	0.256104	2.1119	0.019187
15	0.215444	1.7766	0.040054
16	-0.185698	-1.5313	0.065167
17	-0.018722	-0.1544	0.438882
18	0.111624	0.9205	0.18029
19	0.038127	0.3144	0.377088
20	-0.107078	-0.883	0.190178
21	0.000829	0.0068	0.497283
22	-0.139828	-1.1531	0.126463
23	-0.145093	-1.1965	0.117835
24	-0.06157	-0.5077	0.306648
25	-0.08525	-0.703	0.242231
26	-0.012483	-0.1029	0.459158
27	-0.04849	-0.3999	0.345256
28	0.146563	1.2086	0.115503
29	0.081585	0.6728	0.251689
30	-0.037878	-0.3123	0.377867
31	0.023441	0.1933	0.423651
32	-0.140069	-1.155	0.126059
33	-0.086125	-0.7102	0.240004
34	0.054913	0.4528	0.326058
35	-0.006105	-0.0503	0.479998
36	-0.020857	-0.172	0.431977

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260466128kqfr3drl661fk40/10wu31260466084.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260466128kqfr3drl661fk40/10wu31260466084.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260466128kqfr3drl661fk40/2vh981260466084.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/10/t1260466128kqfr3drl661fk40/2vh981260466084.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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