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Paper PAF ICP 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: Sat, 12 Dec 2009 12:45:42 -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/12/t1260647480q73m72gfuxlljjg.htm/, Retrieved Sat, 12 Dec 2009 20:51:22 +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/12/t1260647480q73m72gfuxlljjg.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 «

100.00 102.04 102.51 102.71 103.00 103.39 102.32 103.88 104.65 104.46 104.65 104.36 102.71 104.55 104.76 105.72 106.20 106.50 105.14 106.50 106.69 106.50 106.50 106.39 105.43 107.18 107.37 107.46 107.66 107.37 106.30 107.85 107.95 107.85 107.66 107.76 106.69 108.92 109.22 109.02 108.62 109.02 107.76 109.60 109.80 109.41 109.60 109.60 108.15 110.18 110.27 110.87 111.25 111.15 109.99 111.83 111.73 112.31 112.12 111.73 110.27 112.71 113.38 113.57 113.77 114.15 112.99 115.03 115.03 114.84 114.75 114.84 113.32 115.92 115.84 116.49 116.90 116.99 115.74 117.73 117.17 116.83 117.08 117.23 115.25 117.98 117.97 118.56 118.42 118.51 117.25 119.08 118.85 119.41 120.43 120.87 119.31 122.24 123.14 123.39 124.46 125.33 124.17 125.48 125.35 125.15 124.31 124.14 121.81 124.62 123.93 124.29 124.16 124.02 122.00 124.58 124.06

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	0.137575	1.403	0.081798
2	0.153133	1.5617	0.060703
3	0.096245	0.9815	0.16431
4	0.185107	1.8877	0.030925
5	0.014925	0.1522	0.43966
6	0.086839	0.8856	0.188943
7	0.063029	0.6428	0.260894
8	0.017701	0.1805	0.42855
9	-0.12913	-1.3169	0.095387
10	-0.092996	-0.9484	0.172569
11	0.066261	0.6757	0.250354
12	-0.440948	-4.4968	9e-06
13	-0.168454	-1.7179	0.044395
14	-0.071745	-0.7317	0.233012
15	-0.005435	-0.0554	0.477954
16	-0.113582	-1.1583	0.124694
17	-0.133577	-1.3622	0.088035
18	-0.054782	-0.5587	0.288795
19	0.008426	0.0859	0.465844
20	-0.039502	-0.4028	0.343946
21	0.035722	0.3643	0.358188
22	0.077777	0.7932	0.214742
23	-0.0955	-0.9739	0.16618
24	-0.024975	-0.2547	0.39973
25	0.05217	0.532	0.297918
26	0.047944	0.4889	0.31296
27	-0.00317	-0.0323	0.487138
28	0.012134	0.1237	0.450878
29	0.065401	0.667	0.253137
30	0.045942	0.4685	0.320196
31	-0.034858	-0.3555	0.361474
32	0.032856	0.3351	0.369125
33	0.037697	0.3844	0.350722
34	-0.001309	-0.0134	0.494686
35	-0.055675	-0.5678	0.285707
36	0.112413	1.1464	0.127131

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.137575	1.403	0.081798
2	0.136796	1.395	0.082987
3	0.061534	0.6275	0.265845
4	0.152432	1.5545	0.061551
5	-0.044988	-0.4588	0.323671
6	0.044833	0.4572	0.324236
7	0.032138	0.3277	0.371883
8	-0.034841	-0.3553	0.361538
9	-0.149515	-1.5248	0.065178
10	-0.096702	-0.9862	0.163169
11	0.116529	1.1884	0.118698
12	-0.470052	-4.7936	3e-06
13	-0.042512	-0.4335	0.332761
14	0.091213	0.9302	0.177212
15	0.045009	0.459	0.323595
16	0.069722	0.711	0.23933
17	-0.159908	-1.6307	0.052984
18	0.059678	0.6086	0.272057
19	0.100366	1.0235	0.154214
20	0.025235	0.2574	0.398708
21	-0.05021	-0.512	0.304853
22	-0.054314	-0.5539	0.290418
23	0.014408	0.1469	0.441733
24	-0.253956	-2.5899	0.005489
25	-0.010529	-0.1074	0.457351
26	0.024248	0.2473	0.402588
27	0.034083	0.3476	0.364427
28	0.099421	1.0139	0.156493
29	-0.107293	-1.0942	0.138203
30	0.065301	0.6659	0.253462
31	0.03895	0.3972	0.346013
32	0.068736	0.701	0.242442
33	-0.014107	-0.1439	0.442942
34	-0.038768	-0.3954	0.346693
35	-0.096829	-0.9875	0.162853
36	-0.009452	-0.0964	0.461696

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260647480q73m72gfuxlljjg/1dh721260647140.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260647480q73m72gfuxlljjg/1dh721260647140.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260647480q73m72gfuxlljjg/2qvvn1260647140.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t1260647480q73m72gfuxlljjg/2qvvn1260647140.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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