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Paper Y3 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: Mon, 14 Dec 2009 03:16:18 -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/14/t12607863145ba2le4a8co8x7k.htm/, Retrieved Mon, 14 Dec 2009 11:25:17 +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/14/t12607863145ba2le4a8co8x7k.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 «

98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29 103.69 103.68 104.2 104.08 104.16 103.05 104.66 104.46 104.95 105.85 106.23 104.86 107.44 108.23 108.45 109.39 110.15 109.13 110.28 110.17 109.99 109.26 109.11 107.06 109.53 108.92 109.24 109.12 109 107.23 109.49 109.04 109.02 109.23

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	-0.4646	-3.5687	0.00036
2	0.082903	0.6368	0.263363
3	0.021796	0.1674	0.433807
4	0.067589	0.5192	0.302794
5	-0.443152	-3.4039	6e-04
6	0.742897	5.7063	0
7	-0.443367	-3.4056	0.000597
8	0.047605	0.3657	0.357963
9	-0.00783	-0.0601	0.476122
10	0.003307	0.0254	0.48991
11	-0.349352	-2.6834	0.004721
12	0.661041	5.0775	2e-06
13	-0.41685	-3.2019	0.0011
14	0.036309	0.2789	0.390651
15	0.024365	0.1872	0.426092
16	-0.015664	-0.1203	0.452321
17	-0.347246	-2.6672	0.004928
18	0.582644	4.4754	1.8e-05
19	-0.352368	-2.7066	0.004438
20	0.022052	0.1694	0.433037
21	0.001811	0.0139	0.494475
22	0.049612	0.3811	0.352259
23	-0.304188	-2.3365	0.01144
24	0.539537	4.1443	5.5e-05
25	-0.27112	-2.0825	0.02082
26	0.057475	0.4415	0.330242
27	-0.011754	-0.0903	0.464183
28	0.020411	0.1568	0.437978
29	-0.255292	-1.9609	0.027306
30	0.423683	3.2544	0.000942
31	-0.245612	-1.8866	0.03207
32	0.034728	0.2668	0.395295
33	0.026149	0.2009	0.420753
34	0.012149	0.0933	0.462985
35	-0.198625	-1.5257	0.066218
36	0.373451	2.8685	0.002856

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.4646	-3.5687	0.00036
2	-0.169548	-1.3023	0.098934
3	-0.015663	-0.1203	0.452324
4	0.114228	0.8774	0.191915
5	-0.470711	-3.6156	0.000311
6	0.56138	4.312	3.1e-05
7	-0.05212	-0.4003	0.345175
8	-0.146071	-1.122	0.133205
9	-0.132763	-1.0198	0.156
10	-0.222023	-1.7054	0.046691
11	-0.010307	-0.0792	0.468582
12	0.215702	1.6568	0.05143
13	-0.021216	-0.163	0.435551
14	-0.134812	-1.0355	0.152329
15	-0.074546	-0.5726	0.284545
16	-0.052006	-0.3995	0.345495
17	-0.185586	-1.4255	0.07964
18	-0.075974	-0.5836	0.280867
19	0.022669	0.1741	0.431183
20	-0.033768	-0.2594	0.398124
21	-0.144985	-1.1137	0.134972
22	0.050562	0.3884	0.349569
23	-0.035085	-0.2695	0.394246
24	0.001545	0.0119	0.495284
25	0.097872	0.7518	0.22759
26	0.050933	0.3912	0.348521
27	-0.058223	-0.4472	0.328177
28	-0.148966	-1.1442	0.128575
29	0.015928	0.1223	0.451521
30	-0.152452	-1.171	0.123152
31	-0.080454	-0.618	0.269483
32	0.015612	0.1199	0.452477
33	0.08683	0.667	0.253702
34	0.011924	0.0916	0.463667
35	0.042356	0.3253	0.373035
36	0.011312	0.0869	0.465527

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t12607863145ba2le4a8co8x7k/1geoe1260785776.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t12607863145ba2le4a8co8x7k/1geoe1260785776.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t12607863145ba2le4a8co8x7k/24bqk1260785776.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t12607863145ba2le4a8co8x7k/24bqk1260785776.ps (open in new window)

Parameters (Session):

par1 = 0 ; par2 = 36 ;

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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