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deel2 D=0, 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: Sun, 13 Dec 2009 10:08:02 -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/13/t1260724119ow0xyzkcm2w788t.htm/, Retrieved Sun, 13 Dec 2009 18:08:43 +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/13/t1260724119ow0xyzkcm2w788t.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 «

2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45 1862.83 1905.41 1810.99 1670.07 1864.44 2052.02 2029.6 2070.83 2293.41 2443.27 2513.17

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	4 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.297675	2.4727	0.007939
2	0.104953	0.8718	0.19317
3	0.233744	1.9416	0.028134
4	0.244153	2.0281	0.023207
5	0.261635	2.1733	0.016596
6	-0.01147	-0.0953	0.462187
7	-0.024756	-0.2056	0.418841
8	0.152832	1.2695	0.104261
9	0.043499	0.3613	0.35948
10	-0.129461	-1.0754	0.142975
11	0.135835	1.1283	0.131544
12	0.010857	0.0902	0.4642
13	-0.03486	-0.2896	0.386508
14	0.081812	0.6796	0.24952
15	-0.024039	-0.1997	0.421157
16	0.063505	0.5275	0.299766
17	-0.108857	-0.9042	0.184509
18	-0.16865	-1.4009	0.08286
19	0.012525	0.104	0.458718
20	-0.100136	-0.8318	0.204197
21	-0.165216	-1.3724	0.087194
22	-0.151732	-1.2604	0.105889
23	-0.117461	-0.9757	0.16631
24	-0.093199	-0.7742	0.220737
25	-0.023928	-0.1988	0.421516
26	-0.099543	-0.8269	0.205582
27	-0.021525	-0.1788	0.42931
28	0.060382	0.5016	0.308783
29	-0.020575	-0.1709	0.432397
30	-0.020746	-0.1723	0.431843
31	-0.054127	-0.4496	0.327199
32	-0.023291	-0.1935	0.42358
33	-0.057827	-0.4803	0.31625
34	-0.085801	-0.7127	0.239213
35	-0.139468	-1.1585	0.125325
36	-0.04181	-0.3473	0.364712
37	-0.021887	-0.1818	0.428135
38	-0.065426	-0.5435	0.29428
39	-0.058594	-0.4867	0.314002
40	-0.073899	-0.6138	0.270667
41	-0.009586	-0.0796	0.468383
42	0.001797	0.0149	0.494067
43	-0.016125	-0.1339	0.446919
44	-0.025179	-0.2092	0.417472
45	-0.067207	-0.5583	0.289236
46	-0.053759	-0.4466	0.328296
47	-0.074171	-0.6161	0.269923
48	-0.059867	-0.4973	0.310282
49	-0.071667	-0.5953	0.276792
50	-0.0079	-0.0656	0.473935
51	-0.021461	-0.1783	0.429517
52	-0.021203	-0.1761	0.430357
53	0.002529	0.021	0.49165
54	-7e-06	-1e-04	0.499976
55	0.045069	0.3744	0.354637
56	-0.004356	-0.0362	0.48562
57	0.016652	0.1383	0.445196
58	0.021067	0.175	0.430799
59	0.024679	0.205	0.419089
60	0.016735	0.139	0.444924

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.297675	2.4727	0.007939
2	0.017931	0.1489	0.441014
3	0.217018	1.8027	0.037902
4	0.134656	1.1185	0.133608
5	0.174517	1.4497	0.075843
6	-0.194225	-1.6134	0.055616
7	-0.056242	-0.4672	0.32092
8	0.07953	0.6606	0.255527
9	-0.050041	-0.4157	0.339469
10	-0.152563	-1.2673	0.104657
11	0.290474	2.4129	0.009245
12	-0.141157	-1.1725	0.122506
13	-0.026611	-0.221	0.412854
14	0.151575	1.2591	0.106122
15	-0.056824	-0.472	0.319203
16	-0.065759	-0.5462	0.293333
17	-0.110342	-0.9166	0.18128
18	-0.071339	-0.5926	0.277697
19	-0.035567	-0.2954	0.384272
20	-0.08208	-0.6818	0.248823
21	0.053343	0.4431	0.32954
22	-0.12905	-1.072	0.143735
23	0.014743	0.1225	0.451445
24	0.005756	0.0478	0.481002
25	0.075857	0.6301	0.26535
26	-0.011587	-0.0963	0.461799
27	0.020808	0.1728	0.43164
28	0.094524	0.7852	0.21752
29	-0.010588	-0.0879	0.465087
30	-0.14751	-1.2253	0.112313
31	0.049766	0.4134	0.340302
32	-0.040672	-0.3378	0.368252
33	-0.132738	-1.1026	0.137016
34	0.028633	0.2378	0.406353
35	-0.073532	-0.6108	0.271668
36	0.01877	0.1559	0.438278
37	0.032974	0.2739	0.392487
38	0.062796	0.5216	0.301802
39	-0.115003	-0.9553	0.171384
40	-0.07779	-0.6462	0.260157
41	0.039896	0.3314	0.370672
42	-0.040534	-0.3367	0.368683
43	-0.022518	-0.187	0.426087
44	0.035445	0.2944	0.384658
45	-0.106339	-0.8833	0.190067
46	0.01308	0.1087	0.456897
47	-0.079016	-0.6564	0.256889
48	0.01847	0.1534	0.439258
49	0.015438	0.1282	0.449168
50	0.070252	0.5836	0.280711
51	-0.006136	-0.051	0.47975
52	-0.001237	-0.0103	0.495917
53	-0.049363	-0.41	0.341525
54	0.024556	0.204	0.419487
55	-0.044989	-0.3737	0.354885
56	-0.029658	-0.2464	0.40307
57	-0.070096	-0.5823	0.281145
58	0.042981	0.357	0.361082
59	0.015708	0.1305	0.448284
60	0.024319	0.202	0.420252

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724119ow0xyzkcm2w788t/1kiqz1260724074.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724119ow0xyzkcm2w788t/1kiqz1260724074.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724119ow0xyzkcm2w788t/2malw1260724074.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260724119ow0xyzkcm2w788t/2malw1260724074.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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