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paper:4 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: Fri, 11 Dec 2009 08:01:14 -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/11/t1260543728lkcigtaqb7z6zc4.htm/, Retrieved Fri, 11 Dec 2009 16:02:10 +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/11/t1260543728lkcigtaqb7z6zc4.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 «

118.7 110.1 110.3 112.9 102.2 99.4 116.1 103.8 101.8 113.7 89.7 99.5 122.9 108.6 114.4 110.5 104.1 103.6 121.6 101.1 116.0 120.1 96.0 105.0 124.7 123.9 123.6 114.8 108.8 106.1 123.2 106.2 115.2 120.6 109.5 114.4 121.4 129.5 124.3 112.6 125.1 117.9 116.4 126.4 93.3 102.9 97.8 97.1 110.7 109.3 103.2 106.2 81.3 84.5 92.7 85.0 79.1 92.6 78.1 76.9 92.5

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	-0.402133	-3.1149	0.00141
2	-0.226814	-1.7569	0.042019
3	0.400886	3.1052	0.001451
4	-0.34663	-2.685	0.004682
5	-0.06968	-0.5397	0.295687
6	0.403334	3.1242	0.001373
7	-0.21625	-1.6751	0.049563
8	-0.051543	-0.3993	0.345562
9	0.154543	1.1971	0.117992
10	-0.188616	-1.461	0.074614
11	-0.103204	-0.7994	0.213602
12	0.359736	2.7865	0.003561
13	-0.111755	-0.8657	0.195064
14	-0.075649	-0.586	0.280046
15	0.084913	0.6577	0.256612
16	-0.151482	-1.1734	0.122642
17	0.025782	0.1997	0.421193
18	0.12385	0.9593	0.170619
19	-0.032708	-0.2534	0.40043
20	-0.132388	-1.0255	0.154628
21	0.059008	0.4571	0.324634
22	-0.009639	-0.0747	0.470365
23	-0.094769	-0.7341	0.232881
24	0.14454	1.1196	0.133673
25	0.107628	0.8337	0.203884
26	-0.214699	-1.6631	0.050759
27	0.078822	0.6106	0.2719
28	0.00545	0.0422	0.483233
29	-0.080968	-0.6272	0.266463
30	0.072791	0.5638	0.287484
31	0.126739	0.9817	0.165091
32	-0.238999	-1.8513	0.034526
33	0.032959	0.2553	0.399681
34	0.107536	0.833	0.204082
35	-0.197234	-1.5278	0.065912
36	0.148238	1.1482	0.127712

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.402133	-3.1149	0.00141
2	-0.463475	-3.5901	0.000333
3	0.123096	0.9535	0.172081
4	-0.266513	-2.0644	0.021655
5	-0.258007	-1.9985	0.025099
6	0.099172	0.7682	0.222696
7	0.102678	0.7953	0.214776
8	0.041943	0.3249	0.373197
9	-0.059697	-0.4624	0.322729
10	-0.048027	-0.372	0.355597
11	-0.241406	-1.8699	0.033188
12	0.12817	0.9928	0.162397
13	0.139088	1.0774	0.142813
14	0.146444	1.1344	0.130579
15	-0.099158	-0.7681	0.222727
16	-0.083711	-0.6484	0.259594
17	0.06005	0.4651	0.321756
18	-0.012827	-0.0994	0.460593
19	0.036172	0.2802	0.390149
20	-0.294147	-2.2785	0.013137
21	-0.162771	-1.2608	0.106128
22	-0.059831	-0.4634	0.32236
23	0.026896	0.2083	0.417836
24	-0.066727	-0.5169	0.303576
25	0.084615	0.6554	0.257349
26	-0.054763	-0.4242	0.336473
27	0.016913	0.131	0.448104
28	0.03651	0.2828	0.389151
29	0.06504	0.5038	0.308125
30	-0.125809	-0.9745	0.166858
31	-0.003262	-0.0253	0.489964
32	-0.059615	-0.4618	0.322957
33	-0.058249	-0.4512	0.326737
34	-0.020199	-0.1565	0.438097
35	-0.179141	-1.3876	0.085193
36	-0.067941	-0.5263	0.30032

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260543728lkcigtaqb7z6zc4/1dsa81260543672.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260543728lkcigtaqb7z6zc4/1dsa81260543672.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260543728lkcigtaqb7z6zc4/2j30u1260543672.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260543728lkcigtaqb7z6zc4/2j30u1260543672.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 12 ;

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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