Home » date » 2009 » Dec » 19 »

d=0, D=1 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 05:25:49 -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/19/t1261225617kaq7ops0q4w2erp.htm/, Retrieved Sat, 19 Dec 2009 13:27:00 +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/t1261225617kaq7ops0q4w2erp.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	0.892705	6.1848	0
2	0.785396	5.4414	1e-06
3	0.68975	4.7787	9e-06
4	0.623297	4.3183	3.9e-05
5	0.579141	4.0124	0.000105
6	0.534495	3.7031	0.000275
7	0.491115	3.4025	0.000678
8	0.444144	3.0771	0.001724
9	0.382245	2.6483	0.005458
10	0.321992	2.2308	0.0152
11	0.280839	1.9457	0.028779
12	0.226623	1.5701	0.061482
13	0.18532	1.2839	0.102664
14	0.140804	0.9755	0.167098
15	0.092953	0.644	0.261321
16	0.039275	0.2721	0.393354
17	-0.01618	-0.1121	0.455606
18	-0.057452	-0.398	0.346184
19	-0.073027	-0.5059	0.307606
20	-0.083191	-0.5764	0.283531
21	-0.108743	-0.7534	0.227446
22	-0.148312	-1.0275	0.154659
23	-0.213156	-1.4768	0.073132
24	-0.26673	-1.848	0.035387
25	-0.28217	-1.9549	0.028214
26	-0.275241	-1.9069	0.031262
27	-0.276612	-1.9164	0.030638
28	-0.282488	-1.9571	0.02808
29	-0.303418	-2.1021	0.020406
30	-0.331933	-2.2997	0.012929
31	-0.336414	-2.3307	0.012008
32	-0.329458	-2.2826	0.013464
33	-0.326075	-2.2591	0.014228
34	-0.324195	-2.2461	0.014669
35	-0.315515	-2.186	0.016864
36	-0.316203	-2.1907	0.01668

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.892705	6.1848	0
2	-0.05676	-0.3932	0.347939
3	-0.002487	-0.0172	0.493161
4	0.087234	0.6044	0.27422
5	0.069952	0.4846	0.315068
6	-0.020781	-0.144	0.443061
7	0.002095	0.0145	0.494239
8	-0.020735	-0.1437	0.443186
9	-0.093844	-0.6502	0.259342
10	-0.029432	-0.2039	0.419643
11	0.049692	0.3443	0.366072
12	-0.117272	-0.8125	0.210264
13	0.017882	0.1239	0.450959
14	-0.036664	-0.254	0.400284
15	-0.057986	-0.4017	0.344829
16	-0.074057	-0.5131	0.305125
17	-0.042646	-0.2955	0.384459
18	0.005321	0.0369	0.485374
19	0.06438	0.446	0.328788
20	0.004329	0.03	0.4881
21	-0.086004	-0.5959	0.277037
22	-0.080422	-0.5572	0.289996
23	-0.140108	-0.9707	0.168282
24	-0.030946	-0.2144	0.415571
25	0.110723	0.7671	0.223386
26	0.03774	0.2615	0.397425
27	-0.085609	-0.5931	0.277944
28	-0.003204	-0.0222	0.49119
29	-0.058233	-0.4034	0.344205
30	-0.083944	-0.5816	0.281785
31	0.094744	0.6564	0.257349
32	0.025629	0.1776	0.429908
33	-0.107705	-0.7462	0.229592
34	-0.016356	-0.1133	0.455125
35	0.048011	0.3326	0.370431
36	-0.088466	-0.6129	0.271414

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261225617kaq7ops0q4w2erp/1ilmm1261225548.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261225617kaq7ops0q4w2erp/1ilmm1261225548.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261225617kaq7ops0q4w2erp/2hrch1261225548.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261225617kaq7ops0q4w2erp/2hrch1261225548.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1.3 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

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