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ACF met: d=1, D=1, lambda=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: Wed, 16 Dec 2009 15:44:49 -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/t126100352305qfcd1mx22fnci.htm/, Retrieved Wed, 16 Dec 2009 23:45:25 +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/t126100352305qfcd1mx22fnci.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 «

441 449 452 462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412 406 398 397 385 390 413 413 401 397 397 409 419 424 428 430 424 433 456

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.22722	1.5742	0.061002
2	0.246655	1.7089	0.046967
3	0.376308	2.6071	0.006065
4	0.193796	1.3427	0.092849
5	0.14851	1.0289	0.154341
6	0.159915	1.1079	0.136708
7	0.010006	0.0693	0.47251
8	0.221655	1.5357	0.065593
9	-0.053923	-0.3736	0.355176
10	-0.078163	-0.5415	0.295324
11	0.265116	1.8368	0.03622
12	0.022749	0.1576	0.437712
13	-0.033485	-0.232	0.408765
14	0.187287	1.2976	0.10032
15	0.092366	0.6399	0.26263
16	0.054136	0.3751	0.354631
17	0.066271	0.4591	0.324103
18	-0.045803	-0.3173	0.376184
19	0.125456	0.8692	0.194535
20	-0.061557	-0.4265	0.335832
21	-0.190298	-1.3184	0.096809
22	-0.090328	-0.6258	0.267201
23	-0.072354	-0.5013	0.309232
24	-0.279562	-1.9369	0.02933
25	-0.132512	-0.9181	0.181586
26	-0.212348	-1.4712	0.073883
27	-0.200456	-1.3888	0.085652
28	-0.178345	-1.2356	0.111308
29	-0.12059	-0.8355	0.203796
30	-0.091423	-0.6334	0.26474
31	-0.031235	-0.2164	0.414796
32	-0.160219	-1.11	0.136258
33	-0.015967	-0.1106	0.456188
34	-0.015024	-0.1041	0.458765
35	-0.021989	-0.1523	0.439777
36	-0.025669	-0.1778	0.429798

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.22722	1.5742	0.061002
2	0.205643	1.4247	0.080352
3	0.313853	2.1744	0.017316
4	0.051414	0.3562	0.361622
5	-0.014259	-0.0988	0.460859
6	-0.011845	-0.0821	0.467467
7	-0.126377	-0.8756	0.192813
8	0.196864	1.3639	0.089478
9	-0.171326	-1.187	0.120538
10	-0.103718	-0.7186	0.237942
11	0.284735	1.9727	0.027152
12	0.014131	0.0979	0.461208
13	-0.050961	-0.3531	0.362793
14	0.074706	0.5176	0.303566
15	0.075693	0.5244	0.301202
16	-0.057824	-0.4006	0.345239
17	-0.042201	-0.2924	0.385629
18	-0.087685	-0.6075	0.273192
19	0.009465	0.0656	0.473993
20	-0.057601	-0.3991	0.345804
21	-0.121133	-0.8392	0.20275
22	-0.2118	-1.4674	0.074395
23	0.06782	0.4699	0.320287
24	-0.070418	-0.4879	0.313933
25	-0.065216	-0.4518	0.326713
26	-0.115095	-0.7974	0.214573
27	-0.059753	-0.414	0.340367
28	0.003572	0.0247	0.49018
29	0.124432	0.8621	0.196462
30	-0.019541	-0.1354	0.446438
31	-0.011133	-0.0771	0.469418
32	0.005899	0.0409	0.483786
33	0.073976	0.5125	0.305318
34	-0.049541	-0.3432	0.366462
35	0.130913	0.907	0.184472
36	0.035969	0.2492	0.402133

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t126100352305qfcd1mx22fnci/1thwg1261003485.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t126100352305qfcd1mx22fnci/1thwg1261003485.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t126100352305qfcd1mx22fnci/2z3qb1261003485.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t126100352305qfcd1mx22fnci/2z3qb1261003485.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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