Home » date » 2009 » Dec » 19 »

ACF met: d=1, D=0, 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: Sat, 19 Dec 2009 04:29:26 -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/19/t1261222196csbs2sz7xebe1xa.htm/, Retrieved Sat, 19 Dec 2009 12:29:59 +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/19/t1261222196csbs2sz7xebe1xa.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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.181873	1.4088	0.08203
2	-0.220581	-1.7086	0.046346
3	-0.178471	-1.3824	0.085982
4	-0.086299	-0.6685	0.253199
5	0.198939	1.541	0.064291
6	0.367041	2.8431	0.003049
7	0.201558	1.5613	0.061861
8	-0.124912	-0.9676	0.168573
9	-0.237579	-1.8403	0.035337
10	-0.291435	-2.2574	0.013816
11	0.231152	1.7905	0.039209
12	0.603121	4.6718	9e-06
13	-0.013461	-0.1043	0.458653
14	-0.243965	-1.8897	0.031813
15	-0.193106	-1.4958	0.069974
16	-0.158719	-1.2294	0.111855
17	0.081803	0.6336	0.26436
18	0.191365	1.4823	0.071746
19	0.12255	0.9493	0.173147
20	-0.212237	-1.644	0.052705
21	-0.254752	-1.9733	0.026536
22	-0.226036	-1.7509	0.04254
23	0.166185	1.2873	0.101473
24	0.298698	2.3137	0.012063
25	-0.090309	-0.6995	0.243462
26	-0.239321	-1.8538	0.034345
27	-0.202503	-1.5686	0.061002
28	-0.164335	-1.2729	0.103975
29	0.008249	0.0639	0.474632
30	0.092051	0.713	0.239299
31	0.05337	0.4134	0.340393
32	-0.214506	-1.6616	0.05091
33	-0.163161	-1.2638	0.105588
34	-0.064346	-0.4984	0.310004
35	0.083666	0.6481	0.259704
36	0.175082	1.3562	0.090062
37	-0.03652	-0.2829	0.389119
38	-0.081304	-0.6298	0.265616
39	-0.097951	-0.7587	0.225495
40	-0.033321	-0.2581	0.398606
41	0.018348	0.1421	0.443729
42	0.079143	0.613	0.271082
43	0.016107	0.1248	0.450564
44	-0.082087	-0.6358	0.263649
45	-0.028258	-0.2189	0.413742
46	0.001647	0.0128	0.494931
47	0.042245	0.3272	0.372317
48	0.07674	0.5944	0.27723
49	-0.019401	-0.1503	0.440524
50	-0.007696	-0.0596	0.476332
51	-0.011219	-0.0869	0.465518
52	0.02927	0.2267	0.410703
53	0.024667	0.1911	0.424559
54	0.033294	0.2579	0.398686
55	0.008708	0.0675	0.473222
56	-0.017983	-0.1393	0.44484
57	0.04265	0.3304	0.371137
58	0.028163	0.2182	0.414025
59	0.038087	0.295	0.384499
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.181873	1.4088	0.08203
2	-0.262337	-2.0321	0.023291
3	-0.088981	-0.6892	0.246662
4	-0.097025	-0.7516	0.227629
5	0.193326	1.4975	0.069753
6	0.274844	2.1289	0.018687
7	0.191835	1.4859	0.071264
8	-0.018808	-0.1457	0.44233
9	-0.079247	-0.6138	0.27082
10	-0.328721	-2.5463	0.006737
11	0.196317	1.5207	0.066798
12	0.417428	3.2334	0.000995
13	-0.232995	-1.8048	0.038065
14	-0.074012	-0.5733	0.284293
15	0.008596	0.0666	0.473568
16	-0.094874	-0.7349	0.232634
17	-0.10059	-0.7792	0.219472
18	-0.213079	-1.6505	0.052033
19	0.068389	0.5297	0.299124
20	-0.127837	-0.9902	0.163021
21	0.097041	0.7517	0.227593
22	0.022841	0.1769	0.430081
23	-0.089004	-0.6894	0.246609
24	-0.053638	-0.4155	0.339638
25	0.020237	0.1568	0.437983
26	-0.151613	-1.1744	0.122439
27	-0.062235	-0.4821	0.315756
28	-0.112795	-0.8737	0.192881
29	-0.000406	-0.0031	0.498752
30	-0.157943	-1.2234	0.112978
31	0.02719	0.2106	0.416953
32	-0.035236	-0.2729	0.39292
33	0.099286	0.7691	0.222436
34	0.085777	0.6644	0.254481
35	-0.084438	-0.6541	0.257789
36	-0.015932	-0.1234	0.451099
37	0.087356	0.6767	0.250613
38	0.060751	0.4706	0.319825
39	0.002529	0.0196	0.492217
40	-0.03385	-0.2622	0.397032
41	0.006135	0.0475	0.481127
42	-0.082464	-0.6388	0.262705
43	-0.098182	-0.7605	0.224963
44	0.051382	0.398	0.346019
45	-0.119623	-0.9266	0.178924
46	-0.062155	-0.4815	0.315974
47	0.055094	0.4268	0.335541
48	-0.103282	-0.8	0.213427
49	-0.030561	-0.2367	0.406839
50	-0.013416	-0.1039	0.458789
51	0.050897	0.3942	0.3474
52	-0.040493	-0.3137	0.377435
53	-0.008527	-0.0661	0.473778
54	0.081448	0.6309	0.265253
55	-0.059638	-0.462	0.322892
56	-0.077665	-0.6016	0.274857
57	0.009186	0.0712	0.471756
58	-0.066686	-0.5165	0.303686
59	0.033621	0.2604	0.397714
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261222196csbs2sz7xebe1xa/1xbns1261222164.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261222196csbs2sz7xebe1xa/1xbns1261222164.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261222196csbs2sz7xebe1xa/2l7ea1261222164.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261222196csbs2sz7xebe1xa/2l7ea1261222164.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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