Home » date » 2009 » Dec » 19 »

d=2,D=2

*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 09:21:26 -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/t1261239726anfcl51v3n59czh.htm/, Retrieved Sat, 19 Dec 2009 17:22:08 +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/t1261239726anfcl51v3n59czh.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 «

12.6 15.7 13.2 20.3 12.8 8 0.9 3.6 14.1 21.7 24.5 18.9 13.9 11 5.8 15.5 22.4 31.7 30.3 31.4 20.2 19.7 10.8 13.2 15.1 15.6 15.5 12.7 10.9 10 9.1 10.3 16.9 22 27.6 28.9 31 32.9 38.1 28.8 29 21.8 28.8 25.6 28.2 20.2 17.9 16.3 13.2 8.1 4.5 -0.1 0 2.3 2.8 2.9 0.1 3.5 8.6 13.8

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	-0.42143	-2.4573	0.009627
2	0.423306	2.4683	0.009382
3	-0.553668	-3.2284	0.001379
4	0.104905	0.6117	0.272403
5	-0.254529	-1.4841	0.073492
6	0.216451	1.2621	0.107749
7	-0.160242	-0.9344	0.178352
8	0.238666	1.3916	0.086533
9	-0.022316	-0.1301	0.448617
10	0.092541	0.5396	0.296493
11	-0.011256	-0.0656	0.474027
12	-0.219296	-1.2787	0.10483
13	0.016428	0.0958	0.462124
14	-0.121732	-0.7098	0.241329
15	0.160141	0.9338	0.178502
16	-0.068939	-0.402	0.345107
17	0.182733	1.0655	0.147077
18	-0.182004	-1.0613	0.148027
19	0.26661	1.5546	0.064652
20	-0.271469	-1.5829	0.061349
21	0.281301	1.6403	0.055086
22	-0.314365	-1.833	0.037782
23	0.198648	1.1583	0.127405
24	-0.204375	-1.1917	0.120815
25	0.184739	1.0772	0.144486
26	-0.041333	-0.241	0.405498
27	0.079589	0.4641	0.322775
28	-0.07004	-0.4084	0.342771
29	-0.014465	-0.0843	0.466638
30	-0.055334	-0.3226	0.374469
31	0.023806	0.1388	0.445209
32	0.015925	0.0929	0.463281
33	0.001003	0.0058	0.497685
34	NA	NA	NA
35	NA	NA	NA
36	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.42143	-2.4573	0.009627
2	0.298764	1.7421	0.045268
3	-0.404096	-2.3563	0.012182
4	-0.379915	-2.2153	0.016771
5	-0.082064	-0.4785	0.317674
6	-0.016105	-0.0939	0.462867
7	-0.329889	-1.9236	0.031407
8	-0.091005	-0.5306	0.299557
9	0.275152	1.6044	0.058938
10	-0.091506	-0.5336	0.298557
11	-0.040299	-0.235	0.407816
12	-0.137336	-0.8008	0.214404
13	-0.047315	-0.2759	0.392152
14	-0.040006	-0.2333	0.408475
15	-0.090745	-0.5291	0.300076
16	-0.206611	-1.2047	0.118312
17	0.016865	0.0983	0.46112
18	-0.118987	-0.6938	0.246259
19	0.006775	0.0395	0.484359
20	-0.057957	-0.3379	0.368741
21	0.156101	0.9102	0.184558
22	0.013824	0.0806	0.468113
23	-0.083869	-0.489	0.313978
24	0.023989	0.1399	0.444791
25	0.014363	0.0837	0.466874
26	0.163262	0.952	0.173915
27	-0.104907	-0.6117	0.272401
28	-0.093046	-0.5425	0.29549
29	0.055806	0.3254	0.373436
30	-0.064708	-0.3773	0.354143
31	-0.014763	-0.0861	0.465952
32	-0.001598	-0.0093	0.496309
33	0.104546	0.6096	0.273088
34	NA	NA	NA
35	NA	NA	NA
36	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261239726anfcl51v3n59czh/1p8ns1261239684.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261239726anfcl51v3n59czh/1p8ns1261239684.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261239726anfcl51v3n59czh/2nm9j1261239684.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261239726anfcl51v3n59czh/2nm9j1261239684.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; 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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