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paper:8 ACF (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, 11 Dec 2009 08:39:41 -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/t1260546034yzriy8eokqp0gez.htm/, Retrieved Fri, 11 Dec 2009 16:40:36 +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/t1260546034yzriy8eokqp0gez.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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.522543	-3.6203	0.000354
2	-0.077373	-0.5361	0.297198
3	0.417831	2.8948	0.002847
4	-0.447255	-3.0987	0.001623
5	0.112119	0.7768	0.22055
6	0.167584	1.1611	0.125681
7	-0.294356	-2.0394	0.02347
8	0.330962	2.293	0.013136
9	-0.138835	-0.9619	0.170467
10	-0.043515	-0.3015	0.382174
11	0.172211	1.1931	0.119345
12	-0.299081	-2.0721	0.021826
13	0.088337	0.612	0.271707
14	0.10097	0.6995	0.243795
15	-0.131818	-0.9133	0.182834
16	0.068387	0.4738	0.318895
17	0.095805	0.6638	0.255011
18	-0.086115	-0.5966	0.276783
19	-0.069418	-0.4809	0.316372
20	0.115731	0.8018	0.213308
21	-0.084837	-0.5878	0.279722
22	-0.03875	-0.2685	0.394745
23	0.212825	1.4745	0.073438
24	-0.208725	-1.4461	0.077326
25	0.050046	0.3467	0.365155
26	0.08899	0.6165	0.270225
27	-0.123334	-0.8545	0.198541
28	0.011899	0.0824	0.46732
29	0.06011	0.4165	0.339466
30	-0.119137	-0.8254	0.206613
31	0.152632	1.0575	0.147796
32	-0.097371	-0.6746	0.251581
33	0.014199	0.0984	0.461024
34	0.044208	0.3063	0.380356
35	-0.083169	-0.5762	0.283582
36	0.051287	0.3553	0.361949

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.522543	-3.6203	0.000354
2	-0.482047	-3.3397	0.000814
3	0.189992	1.3163	0.097161
4	-0.16467	-1.1409	0.129793
5	-0.184144	-1.2758	0.104085
6	-0.088362	-0.6122	0.271651
7	-0.123388	-0.8549	0.198438
8	0.204829	1.4191	0.081166
9	0.023546	0.1631	0.43555
10	0.107156	0.7424	0.230733
11	0.044307	0.307	0.380099
12	-0.179285	-1.2421	0.110113
13	-0.237292	-1.644	0.053355
14	-0.161785	-1.1209	0.133958
15	0.07893	0.5468	0.29351
16	-0.134561	-0.9323	0.177932
17	0.016285	0.1128	0.455321
18	0.083113	0.5758	0.283711
19	-0.122751	-0.8504	0.199651
20	0.043074	0.2984	0.383333
21	0.019478	0.1349	0.446609
22	0.037483	0.2597	0.398106
23	0.163437	1.1323	0.131562
24	-0.112163	-0.7771	0.220461
25	-0.181758	-1.2593	0.107013
26	-0.204323	-1.4156	0.081676
27	0.111499	0.7725	0.221807
28	-0.122468	-0.8485	0.200189
29	-0.038728	-0.2683	0.394803
30	-0.105989	-0.7343	0.233166
31	-0.073563	-0.5097	0.306312
32	-0.027897	-0.1933	0.42378
33	0.026985	0.187	0.42624
34	0.032811	0.2273	0.410569
35	0.025208	0.1746	0.431046
36	-0.007293	-0.0505	0.479956

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260546034yzriy8eokqp0gez/1goqv1260545979.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260546034yzriy8eokqp0gez/1goqv1260545979.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260546034yzriy8eokqp0gez/24vxq1260545979.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260546034yzriy8eokqp0gez/24vxq1260545979.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 = 1 ; 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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