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Bestedingen consument ACF of Y[t] (d=D=0,Lambda=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: Tue, 24 Nov 2009 08:33:55 -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/Nov/24/t1259076913kqikd5mo32pxjos.htm/, Retrieved Tue, 24 Nov 2009 16:35:15 +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/Nov/24/t1259076913kqikd5mo32pxjos.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:

Uitleg in Word document

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

96.96 93.11 95.62 98.30 96.38 100.82 99.06 94.03 102.07 99.31 98.64 101.82 99.14 97.63 100.06 101.32 101.49 105.43 105.09 99.48 108.53 104.34 106.10 107.35 103.00 104.50 105.17 104.84 106.18 108.86 107.77 102.74 112.63 106.26 108.86 111.38 106.85 107.86 107.94 111.38 111.29 113.72 111.88 109.87 113.72 111.71 114.81 112.05 111.54 110.87 110.87 115.48 111.63 116.24 113.56 106.01 110.45 107.77 108.61 108.19

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.785284	6.0828	0
2	0.765401	5.9288	0
3	0.761673	5.8999	0
4	0.637242	4.9361	3e-06
5	0.671186	5.199	1e-06
6	0.654345	5.0685	2e-06
7	0.588281	4.5568	1.3e-05
8	0.484376	3.752	0.000199
9	0.50575	3.9175	0.000116
10	0.427658	3.3126	0.000785
11	0.375836	2.9112	0.002523
12	0.452412	3.5044	0.000436
13	0.272173	2.1082	0.019597
14	0.24667	1.9107	0.030413
15	0.195546	1.5147	0.067551
16	0.103187	0.7993	0.21364
17	0.115861	0.8975	0.186531
18	0.099114	0.7677	0.222827
19	0.055318	0.4285	0.334913
20	-0.03418	-0.2648	0.396053
21	0.00344	0.0266	0.489416
22	-0.06138	-0.4754	0.318098
23	-0.078771	-0.6102	0.272031
24	-0.020429	-0.1582	0.4374
25	-0.15007	-1.1624	0.12483
26	-0.157671	-1.2213	0.113372
27	-0.19041	-1.4749	0.072732
28	-0.24457	-1.8944	0.031495
29	-0.234553	-1.8168	0.037118
30	-0.23961	-1.856	0.034182
31	-0.264478	-2.0486	0.02244
32	-0.330069	-2.5567	0.006558
33	-0.298684	-2.3136	0.012067
34	-0.339541	-2.6301	0.005415
35	-0.348644	-2.7006	0.004491
36	-0.304441	-2.3582	0.01082

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.785284	6.0828	0
2	0.387996	3.0054	0.001934
3	0.273743	2.1204	0.019058
4	-0.196398	-1.5213	0.066719
5	0.183345	1.4202	0.080364
6	0.116635	0.9035	0.184949
7	-0.034332	-0.2659	0.395601
8	-0.43129	-3.3408	0.000721
9	0.222454	1.7231	0.045009
10	-0.002504	-0.0194	0.492295
11	-0.048848	-0.3784	0.353244
12	0.120439	0.9329	0.1773
13	-0.325834	-2.5239	0.007136
14	-0.033197	-0.2571	0.398975
15	-0.180117	-1.3952	0.084053
16	0.097847	0.7579	0.225732
17	-0.001687	-0.0131	0.494808
18	0.121542	0.9415	0.175122
19	-0.067505	-0.5229	0.301487
20	-0.061401	-0.4756	0.318039
21	0.11483	0.8895	0.188651
22	0.013548	0.1049	0.458385
23	-0.006331	-0.049	0.480526
24	-0.104429	-0.8089	0.210883
25	-0.053705	-0.416	0.339448
26	-0.100788	-0.7807	0.219023
27	-0.007204	-0.0558	0.477842
28	-0.084626	-0.6555	0.257323
29	0.001925	0.0149	0.494075
30	-0.051867	-0.4018	0.344643
31	0.000978	0.0076	0.49699
32	-0.037813	-0.2929	0.385304
33	-0.034651	-0.2684	0.394655
34	0.072907	0.5647	0.287179
35	-0.095143	-0.737	0.232006
36	-0.003217	-0.0249	0.490101

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259076913kqikd5mo32pxjos/1ji251259076831.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259076913kqikd5mo32pxjos/1ji251259076831.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259076913kqikd5mo32pxjos/2wlsh1259076831.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259076913kqikd5mo32pxjos/2wlsh1259076831.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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