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ACF (d=0;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: Wed, 16 Dec 2009 06:38:30 -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/16/t1260970765alppsmx88uxp2vk.htm/, Retrieved Wed, 16 Dec 2009 14:39:28 +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/16/t1260970765alppsmx88uxp2vk.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 «

8715.1 8919.9 10085.8 9511.7 8991.3 10311.2 8895.4 7449.8 10084.0 9859.4 9100.1 8920.8 8502.7 8599.6 10394.4 9290.4 8742.2 10217.3 8639.0 8139.6 10779.1 10427.7 10349.1 10036.4 9492.1 10638.8 12054.5 10324.7 11817.3 11008.9 9996.6 9419.5 11958.8 12594.6 11890.6 10871.7 11835.7 11542.2 13093.7 11180.2 12035.7 12112.0 10875.2 9897.3 11672.1 12385.7 11405.6 9830.9 11025.1 10853.8 12252.6 11839.4 11669.1 11601.4 11178.4 9516.4 12102.8 12989.0 11610.2 10205.5 11356.2 11307.1 12648.6 11947.2 11714.1 12192.5 11268.8 9097.4 12639.8 13040.1 11687.3 11191.7 11391.9 11793.1 13933.2 12778.1 11810.3 13698.4 11956.6 10723.8 13938.9 13979.8 13807.4 12973.9 12509.8 12934.1 14908.3 13772.1 13012.6 14049.9 11816.5 11593.2 14466.2 13615.9 14733.9 13880.7 13527.5 13584.0 16170.2 13260.6 14741.9 15486.5 13154.5 12621.2 15031.6 15452.4 15428.0 13105.9 14716.8 14180.0 16202.2 14392.4 15140.6 15960.1 14351.3 13230.2 15 etc...

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	0.794844	9.1321	0
2	0.698478	8.0249	0
3	0.750541	8.6231	0
4	0.746736	8.5793	0
5	0.719335	8.2645	0
6	0.74308	8.5373	0
7	0.660969	7.594	0
8	0.646761	7.4307	0
9	0.583652	6.7056	0
10	0.509939	5.8588	0
11	0.576531	6.6238	0
12	0.684812	7.8679	0
13	0.510815	5.8688	0
14	0.421576	4.8435	2e-06
15	0.445051	5.1132	1e-06
16	0.453464	5.2099	0
17	0.432333	4.9671	1e-06
18	0.442057	5.0789	1e-06
19	0.379142	4.356	1.3e-05
20	0.366704	4.2131	2.3e-05
21	0.298552	3.4301	0.000403
22	0.253529	2.9128	0.002104
23	0.32529	3.7373	0.000138
24	0.399016	4.5843	5e-06
25	0.272863	3.135	0.001059
26	0.196777	2.2608	0.012704
27	0.210838	2.4223	0.008389
28	0.244099	2.8045	0.002901
29	0.225339	2.5889	0.005353
30	0.235244	2.7027	0.003891
31	0.203501	2.338	0.010444
32	0.176374	2.0264	0.02237
33	0.123726	1.4215	0.078765
34	0.104441	1.1999	0.116156
35	0.154393	1.7738	0.039198
36	0.229726	2.6394	0.004653

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.794844	9.1321	0
2	0.181144	2.0812	0.019675
3	0.426647	4.9018	1e-06
4	0.152957	1.7573	0.040589
5	0.150551	1.7297	0.043011
6	0.20321	2.3347	0.010534
7	-0.204815	-2.3532	0.010046
8	0.094329	1.0838	0.140224
9	-0.369489	-4.2451	2e-05
10	-0.188913	-2.1704	0.015881
11	0.217244	2.4959	0.006897
12	0.461332	5.3003	0
13	-0.290797	-3.341	0.000543
14	-0.178488	-2.0507	0.021139
15	-0.150493	-1.729	0.04307
16	0.101555	1.1668	0.122701
17	0.026874	0.3088	0.378998
18	0.036405	0.4183	0.338219
19	0.002814	0.0323	0.487129
20	-0.004976	-0.0572	0.477249
21	-0.042024	-0.4828	0.315013
22	0.002773	0.0319	0.487315
23	0.040868	0.4695	0.319732
24	0.033602	0.3861	0.350038
25	0.060503	0.6951	0.244099
26	-0.085206	-0.9789	0.164698
27	-0.038414	-0.4413	0.329845
28	0.01357	0.1559	0.438171
29	-0.056905	-0.6538	0.257193
30	0.05595	0.6428	0.260728
31	0.018476	0.2123	0.416112
32	-0.056632	-0.6506	0.258203
33	0.047234	0.5427	0.294134
34	-0.037985	-0.4364	0.331623
35	-0.058894	-0.6766	0.24991
36	0.102752	1.1805	0.119957

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260970765alppsmx88uxp2vk/19ubs1260970708.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260970765alppsmx88uxp2vk/19ubs1260970708.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260970765alppsmx88uxp2vk/27xrb1260970708.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t1260970765alppsmx88uxp2vk/27xrb1260970708.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 0.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 0.0 ; par3 = 0 ; 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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