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ACF JDB (d=1, 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 07:58:16 -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/t1261407895j1cy59h9c4y4feq.htm/, Retrieved Mon, 21 Dec 2009 16:04:57 +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/t1261407895j1cy59h9c4y4feq.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	4 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.482689	-4.3173	2.2e-05
2	-0.017914	-0.1602	0.436554
3	0.074485	0.6662	0.253595
4	-0.090387	-0.8084	0.210617
5	0.086519	0.7738	0.220651
6	0.117291	1.0491	0.148649
7	-0.213169	-1.9066	0.030079
8	0.0496	0.4436	0.329252
9	-0.024419	-0.2184	0.413834
10	0.048454	0.4334	0.33295
11	0.153622	1.374	0.086633
12	-0.354903	-3.1743	0.001066
13	0.137305	1.2281	0.111507
14	0.045099	0.4034	0.343875
15	0.024563	0.2197	0.413335
16	-0.036966	-0.3306	0.370891
17	-0.00613	-0.0548	0.478206
18	-0.064299	-0.5751	0.283415
19	0.043833	0.3921	0.348031
20	0.03854	0.3447	0.365608
21	0.116296	1.0402	0.150695
22	-0.31344	-2.8035	0.003171
23	0.268217	2.399	0.009383
24	-0.043957	-0.3932	0.347621
25	-0.100341	-0.8975	0.18608
26	0.157905	1.4123	0.080864
27	-0.100157	-0.8958	0.186516
28	-0.052819	-0.4724	0.318953
29	0.167745	1.5004	0.068729
30	-0.142257	-1.2724	0.103461
31	0.020209	0.1808	0.428508
32	-0.005224	-0.0467	0.481426
33	-0.100725	-0.9009	0.185169
34	0.243432	2.1773	0.016202
35	-0.135772	-1.2144	0.114088
36	-0.049887	-0.4462	0.32833

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.482689	-4.3173	2.2e-05
2	-0.327117	-2.9258	0.002235
3	-0.138532	-1.2391	0.109471
4	-0.169122	-1.5127	0.067152
5	-0.042254	-0.3779	0.353241
6	0.200933	1.7972	0.038039
7	-0.006814	-0.061	0.475775
8	-0.071454	-0.6391	0.262289
9	-0.143839	-1.2865	0.100983
10	-0.054656	-0.4889	0.31314
11	0.201248	1.8	0.037814
12	-0.219716	-1.9652	0.026431
13	-0.168378	-1.506	0.068001
14	-0.083422	-0.7461	0.228883
15	0.082355	0.7366	0.23176
16	-0.043319	-0.3875	0.349725
17	-0.041142	-0.368	0.356928
18	0.031889	0.2852	0.388105
19	-0.085204	-0.7621	0.224124
20	-0.09195	-0.8224	0.206641
21	0.156497	1.3997	0.082727
22	-0.178856	-1.5997	0.0568
23	0.173159	1.5488	0.062691
24	0.031668	0.2832	0.388859
25	-0.127452	-1.14	0.128851
26	0.043198	0.3864	0.350124
27	0.078155	0.699	0.243278
28	-0.007666	-0.0686	0.472753
29	0.041878	0.3746	0.354485
30	-0.036568	-0.3271	0.372234
31	-0.09182	-0.8213	0.206967
32	-0.153659	-1.3744	0.086583
33	-0.046552	-0.4164	0.339126
34	0.020816	0.1862	0.426385
35	0.145953	1.3054	0.097741
36	0.047052	0.4208	0.337498

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407895j1cy59h9c4y4feq/1xwjc1261407490.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407895j1cy59h9c4y4feq/1xwjc1261407490.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407895j1cy59h9c4y4feq/2zdi61261407490.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261407895j1cy59h9c4y4feq/2zdi61261407490.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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