Home » date » 2009 » Dec » 19 »

d=0,D=0 en lambda = 1,3

*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 05:07:23 -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/t1261224505eqog30mpuz68g6h.htm/, Retrieved Sat, 19 Dec 2009 13:08:28 +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/19/t1261224505eqog30mpuz68g6h.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 «

113 110 107 103 98 98 137 148 147 139 130 128 127 123 118 114 108 111 151 159 158 148 138 137 136 133 126 120 114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116

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	0.732334	5.6726	0
2	0.295836	2.2915	0.012729
3	-0.090217	-0.6988	0.243682
4	-0.293002	-2.2696	0.01342
5	-0.34325	-2.6588	0.00502
6	-0.348115	-2.6965	0.004541
7	-0.32012	-2.4796	0.007989
8	-0.256534	-1.9871	0.025741
9	-0.075983	-0.5886	0.279182
10	0.220932	1.7113	0.046093
11	0.543298	4.2084	4.4e-05
12	0.717619	5.5587	0
13	0.488746	3.7858	0.000178
14	0.128044	0.9918	0.162633
15	-0.186235	-1.4426	0.07717
16	-0.340227	-2.6354	0.00534
17	-0.367087	-2.8434	0.003046
18	-0.351019	-2.719	0.004275
19	-0.313215	-2.4262	0.009141
20	-0.259092	-2.0069	0.024635
21	-0.121655	-0.9423	0.1749
22	0.098908	0.7661	0.2233
23	0.336248	2.6046	0.00579
24	0.467934	3.6246	0.000299
25	0.301705	2.337	0.011398
26	0.034799	0.2695	0.394216
27	-0.199084	-1.5421	0.064154
28	-0.306587	-2.3748	0.010386
29	-0.313856	-2.4311	0.009028
30	-0.2802	-2.1704	0.016972
31	-0.230016	-1.7817	0.03993
32	-0.175202	-1.3571	0.089915
33	-0.072739	-0.5634	0.28762
34	0.072318	0.5602	0.288723
35	0.227042	1.7587	0.041867
36	0.31356	2.4288	0.00908

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.732334	5.6726	0
2	-0.518621	-4.0172	8.3e-05
3	-0.116305	-0.9009	0.185624
4	0.006655	0.0515	0.479529
5	-0.114	-0.883	0.190369
6	-0.221356	-1.7146	0.045789
7	-0.062998	-0.488	0.313672
8	-0.063737	-0.4937	0.311659
9	0.187002	1.4485	0.07634
10	0.276971	2.1454	0.017989
11	0.328075	2.5413	0.006824
12	0.202488	1.5685	0.061016
13	-0.526695	-4.0798	6.8e-05
14	0.216284	1.6753	0.049537
15	-0.001622	-0.0126	0.495009
16	-0.115832	-0.8972	0.18659
17	-0.050161	-0.3885	0.349494
18	0.013856	0.1073	0.457443
19	-0.093683	-0.7257	0.235433
20	-0.115395	-0.8938	0.187488
21	-0.070453	-0.5457	0.29364
22	-0.031767	-0.2461	0.403236
23	-0.105843	-0.8199	0.207771
24	0.022305	0.1728	0.431706
25	-0.037831	-0.293	0.385253
26	-0.011768	-0.0912	0.463836
27	-0.031761	-0.246	0.403255
28	-0.018665	-0.1446	0.442764
29	-0.009227	-0.0715	0.47163
30	0.017837	0.1382	0.445286
31	0.006366	0.0493	0.480418
32	0.019805	0.1534	0.439294
33	-0.04714	-0.3651	0.358145
34	-0.065189	-0.505	0.307721
35	-0.023955	-0.1856	0.426711
36	-0.032655	-0.2529	0.400589

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261224505eqog30mpuz68g6h/116151261224441.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261224505eqog30mpuz68g6h/116151261224441.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261224505eqog30mpuz68g6h/25l841261224441.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261224505eqog30mpuz68g6h/25l841261224441.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1.3 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1.3 ; par3 = 0 ; 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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