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Model 1 (d = 0, D = 0)

*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 10:17:24 -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/t1259083179iimwqpwzysfzwxa.htm/, Retrieved Tue, 24 Nov 2009 18:19:42 +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/t1259083179iimwqpwzysfzwxa.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 «

8.2 8 7.5 6.8 6.5 6.6 7.6 8 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 7.9 7.7 7.4 7.5 8 8.1 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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.830854	6.9016	0
2	0.539975	4.4854	1.4e-05
3	0.310379	2.5782	0.006035
4	0.272556	2.264	0.01336
5	0.367642	3.0539	0.001604
6	0.443825	3.6867	0.000224
7	0.376713	3.1292	0.001284
8	0.227099	1.8864	0.031723
9	0.107046	0.8892	0.188494
10	0.101833	0.8459	0.200269
11	0.181307	1.506	0.06831
12	0.252577	2.0981	0.019782
13	0.210898	1.7518	0.042121
14	0.118556	0.9848	0.164082
15	0.01113	0.0925	0.463303
16	-0.052707	-0.4378	0.331444
17	-0.08423	-0.6997	0.243243
18	-0.09473	-0.7869	0.217022
19	-0.127358	-1.0579	0.146892
20	-0.17287	-1.436	0.077765
21	-0.221018	-1.8359	0.03534
22	-0.268574	-2.2309	0.014469
23	-0.283483	-2.3548	0.010692
24	-0.263505	-2.1888	0.015998
25	-0.225023	-1.8692	0.032921
26	-0.166031	-1.3792	0.08615
27	-0.139095	-1.1554	0.125954
28	-0.164097	-1.3631	0.088643
29	-0.2362	-1.962	0.026897
30	-0.309127	-2.5678	0.006202
31	-0.349149	-2.9002	0.002499
32	-0.347084	-2.8831	0.002623
33	-0.306495	-2.5459	0.006568
34	-0.253496	-2.1057	0.019436
35	-0.19916	-1.6543	0.0513
36	-0.160872	-1.3363	0.09292

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.830854	6.9016	0
2	-0.485482	-4.0327	7e-05
3	0.199823	1.6599	0.050741
4	0.390188	3.2411	0.000917
5	0.067561	0.5612	0.288237
6	-0.118398	-0.9835	0.164401
7	-0.190406	-1.5816	0.059153
8	0.139262	1.1568	0.125673
9	0.062261	0.5172	0.303343
10	0.007941	0.066	0.4738
11	-0.006541	-0.0543	0.478413
12	0.025948	0.2155	0.414991
13	-0.147395	-1.2244	0.112491
14	0.167227	1.3891	0.084635
15	-0.201885	-1.677	0.049035
16	-0.148121	-1.2304	0.111365
17	-0.096724	-0.8035	0.212236
18	0.071687	0.5955	0.276738
19	-0.079452	-0.66	0.255734
20	-0.12805	-1.0637	0.145595
21	-0.021105	-0.1753	0.430675
22	-0.120653	-1.0022	0.15987
23	0.116418	0.967	0.16845
24	-0.009149	-0.076	0.469819
25	0.015937	0.1324	0.447532
26	0.063691	0.5291	0.299233
27	-0.017628	-0.1464	0.442006
28	-0.065654	-0.5454	0.293631
29	-0.103439	-0.8592	0.196594
30	-0.096354	-0.8004	0.213121
31	-0.035094	-0.2915	0.385767
32	-0.117575	-0.9766	0.166078
33	0.126645	1.052	0.148237
34	0.12501	1.0384	0.151352
35	0.025562	0.2123	0.416236
36	0.016244	0.1349	0.44653

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259083179iimwqpwzysfzwxa/1ddz81259083042.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259083179iimwqpwzysfzwxa/1ddz81259083042.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259083179iimwqpwzysfzwxa/227n51259083042.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259083179iimwqpwzysfzwxa/227n51259083042.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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