Home » date » 2009 » Dec » 19 »

D=1, 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 05:36:40 -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/t126122631276m1bpcnni5vyec.htm/, Retrieved Sat, 19 Dec 2009 13:38:35 +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/t126122631276m1bpcnni5vyec.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	0.180555	1.2378	0.110965
2	-0.078275	-0.5366	0.297029
3	-0.076284	-0.523	0.301723
4	-0.298003	-2.043	0.023341
5	-0.068361	-0.4687	0.320739
6	0.188628	1.2932	0.101137
7	0.2404	1.6481	0.053001
8	-0.016315	-0.1118	0.45571
9	-0.151272	-1.0371	0.152505
10	-0.237795	-1.6302	0.054868
11	-0.036985	-0.2536	0.400471
12	-0.106013	-0.7268	0.235481
13	0.011959	0.082	0.467502
14	0.157615	1.0806	0.142705
15	-0.047655	-0.3267	0.372671
16	-0.169994	-1.1654	0.124865
17	-0.148102	-1.0153	0.157573
18	-0.185826	-1.274	0.104471
19	-0.15769	-1.0811	0.142592
20	0.102557	0.7031	0.242733
21	0.256343	1.7574	0.042681
22	0.16355	1.1212	0.13394
23	-0.042241	-0.2896	0.386703
24	0.019945	0.1367	0.445913
25	-0.120439	-0.8257	0.206576
26	-0.059544	-0.4082	0.342487
27	0.200964	1.3777	0.087405
28	0.152985	1.0488	0.149813
29	0.045651	0.313	0.377846
30	-0.083733	-0.574	0.284337
31	-0.053962	-0.3699	0.356544
32	-0.0533	-0.3654	0.358223
33	0.033796	0.2317	0.408891
34	0.067805	0.4648	0.322094
35	0.115811	0.794	0.215605
36	0.000181	0.0012	0.499509

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.180555	1.2378	0.110965
2	-0.114611	-0.7857	0.217983
3	-0.041729	-0.2861	0.388038
4	-0.297782	-2.0415	0.023419
5	0.035747	0.2451	0.403736
6	0.152244	1.0437	0.150973
7	0.18325	1.2563	0.107608
8	-0.171295	-1.1743	0.123087
9	-0.128193	-0.8789	0.191977
10	-0.142751	-0.9786	0.166382
11	0.186304	1.2772	0.103896
12	-0.256188	-1.7563	0.042772
13	-0.075881	-0.5202	0.302677
14	-0.000983	-0.0067	0.497326
15	0.078526	0.5383	0.296439
16	-0.219235	-1.503	0.069764
17	-0.157167	-1.0775	0.143382
18	-0.248774	-1.7055	0.04735
19	-0.053166	-0.3645	0.358564
20	-0.048391	-0.3318	0.370776
21	0.159683	1.0947	0.139607
22	-0.065454	-0.4487	0.327844
23	-0.057037	-0.391	0.348772
24	0.120171	0.8239	0.207092
25	-0.032107	-0.2201	0.413367
26	-0.045158	-0.3096	0.379122
27	-0.000154	-0.0011	0.49958
28	-0.045031	-0.3087	0.37945
29	-0.023774	-0.163	0.435614
30	-0.079442	-0.5446	0.294293
31	0.018732	0.1284	0.449182
32	-0.017561	-0.1204	0.452343
33	0.023433	0.1606	0.436529
34	-0.090058	-0.6174	0.269973
35	-0.002234	-0.0153	0.493922
36	0.00336	0.023	0.490861

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t126122631276m1bpcnni5vyec/1zdkq1261226198.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t126122631276m1bpcnni5vyec/1zdkq1261226198.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t126122631276m1bpcnni5vyec/2nlsd1261226198.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t126122631276m1bpcnni5vyec/2nlsd1261226198.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1.3 ; 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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