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ACF JDB (d=0, D=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: Mon, 21 Dec 2009 07:52:43 -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/21/t1261407420wyxq46d1xl0reun.htm/, Retrieved Mon, 21 Dec 2009 15:57:02 +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/21/t1261407420wyxq46d1xl0reun.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 «

102.9 105.9 117.6 113.6 115.9 118.9 77.6 81.2 123.1 136.6 112.1 95.1 96.3 105.7 115.8 105.7 105.7 111.1 82.4 60 107.3 99.3 113.5 108.9 100.2 103.9 138.7 120.2 100.2 143.2 70.9 85.2 133 136.6 117.9 106.3 122.3 125.5 148.4 126.3 99.6 140.4 80.3 92.6 138.5 110.9 119.6 105 109 129.4 148.6 101.4 134.8 143.7 81.6 90.3 141.5 140.7 140.2 100.2 125.7 119.6 134.7 109 116.3 146.9 97.4 89.4 132.1 139.8 129 112.5 121.9 121.7 123.1 131.6 119.3 132.5 98.3 85.1 131.7 129.3 90.7 78.6 68.9 79.1 83.5 74.1 59.7 93.3 61.3 56.6 98.5

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	0.565697	5.0913	1e-06
2	0.542685	4.8842	3e-06
3	0.5271	4.7439	4e-06
4	0.446058	4.0145	6.6e-05
5	0.42327	3.8094	0.000135
6	0.328976	2.9608	0.002012
7	0.151444	1.363	0.088331
8	0.148982	1.3408	0.09186
9	0.095877	0.8629	0.195372
10	0.077979	0.7018	0.242404
11	0.017952	0.1616	0.436024
12	-0.147388	-1.3265	0.094203
13	-0.005648	-0.0508	0.479793
14	0.016487	0.1484	0.441205
15	0.006585	0.0593	0.476443
16	-0.037975	-0.3418	0.366704
17	-0.038049	-0.3424	0.366452
18	-0.013657	-0.1229	0.451241
19	0.032622	0.2936	0.384907
20	0.056017	0.5041	0.307763
21	0.041585	0.3743	0.354592
22	-0.056707	-0.5104	0.305592
23	0.086731	0.7806	0.218662
24	0.012118	0.1091	0.456711
25	-0.031175	-0.2806	0.389875
26	0.017038	0.1533	0.439254
27	-0.054662	-0.492	0.31204
28	-0.052969	-0.4767	0.317421
29	-0.025912	-0.2332	0.408095
30	-0.118333	-1.065	0.145021
31	-0.108436	-0.9759	0.166004
32	-0.112519	-1.0127	0.157117
33	-0.089838	-0.8085	0.210574
34	-0.002688	-0.0242	0.49038
35	-0.09717	-0.8745	0.192209
36	-0.069368	-0.6243	0.267089

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.565697	5.0913	1e-06
2	0.327465	2.9472	0.002094
3	0.22302	2.0072	0.024033
4	0.045401	0.4086	0.341952
5	0.051144	0.4603	0.323267
6	-0.076088	-0.6848	0.247714
7	-0.276225	-2.486	0.007487
8	-0.064835	-0.5835	0.280584
9	-0.011692	-0.1052	0.458227
10	0.083435	0.7509	0.227441
11	0.00684	0.0616	0.475531
12	-0.219204	-1.9728	0.025963
13	0.199992	1.7999	0.037797
14	0.161524	1.4537	0.074944
15	0.087329	0.786	0.217092
16	-0.122592	-1.1033	0.136575
17	-0.038412	-0.3457	0.365231
18	-0.00752	-0.0677	0.473103
19	-0.063786	-0.5741	0.283755
20	0.076051	0.6845	0.247818
21	0.055062	0.4956	0.310775
22	-0.14329	-1.2896	0.100428
23	0.135225	1.217	0.113565
24	-0.177733	-1.5996	0.056791
25	-0.039446	-0.355	0.36175
26	0.136688	1.2302	0.111094
27	-0.008272	-0.0745	0.470418
28	-0.09645	-0.8681	0.193966
29	-0.051797	-0.4662	0.321173
30	-0.050183	-0.4516	0.326367
31	-0.013111	-0.118	0.453181
32	0.057763	0.5199	0.302288
33	0.132359	1.1912	0.118521
34	0.072285	0.6506	0.258584
35	-0.017072	-0.1536	0.439135
36	-0.121571	-1.0941	0.138568

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407420wyxq46d1xl0reun/19zqr1261407161.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407420wyxq46d1xl0reun/19zqr1261407161.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407420wyxq46d1xl0reun/2sp4q1261407161.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407420wyxq46d1xl0reun/2sp4q1261407161.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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