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WS8 D=0 en 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: Wed, 25 Nov 2009 09:06:53 -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/25/t1259165389mbm2sl140w8t0z3.htm/, Retrieved Wed, 25 Nov 2009 17:09:51 +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/25/t1259165389mbm2sl140w8t0z3.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 «

7,55 7,55 7,59 7,59 7,59 7,57 7,57 7,59 7,6 7,64 7,64 7,76 7,76 7,76 7,77 7,83 7,94 7,94 7,94 8,09 8,18 8,26 8,28 8,28 8,28 8,29 8,3 8,3 8,31 8,33 8,33 8,34 8,48 8,59 8,67 8,67 8,67 8,71 8,72 8,72 8,72 8,74 8,74 8,74 8,74 8,79 8,85 8,86 8,87 8,92 8,96 8,97 8,99 8,98 8,98 9,01 9,01 9,03 9,05 9,05

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.96019	7.4376	0
2	0.916359	7.0981	0
3	0.873149	6.7634	0
4	0.828652	6.4187	0
5	0.781345	6.0523	0
6	0.731401	5.6654	0
7	0.680252	5.2692	1e-06
8	0.628525	4.8685	4e-06
9	0.576094	4.4624	1.8e-05
10	0.524062	4.0594	7.2e-05
11	0.472183	3.6575	0.000269
12	0.426873	3.3065	0.000799
13	0.378913	2.935	0.00236
14	0.327382	2.5359	0.006919
15	0.276397	2.141	0.018175
16	0.229288	1.7761	0.040397
17	0.18588	1.4398	0.077558
18	0.139491	1.0805	0.142123
19	0.090514	0.7011	0.242969
20	0.049032	0.3798	0.352717
21	0.011474	0.0889	0.464739
22	-0.023752	-0.184	0.427323
23	-0.059074	-0.4576	0.324453
24	-0.094166	-0.7294	0.234296
25	-0.130292	-1.0092	0.158457
26	-0.167445	-1.297	0.099794
27	-0.202251	-1.5666	0.061231
28	-0.233014	-1.8049	0.038053
29	-0.257489	-1.9945	0.025323
30	-0.281481	-2.1803	0.016582
31	-0.30746	-2.3816	0.010214
32	-0.333203	-2.581	0.006157
33	-0.351934	-2.7261	0.004195
34	-0.365663	-2.8324	0.00314
35	-0.375829	-2.9112	0.002524
36	-0.38656	-2.9943	0.001996

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.96019	7.4376	0
2	-0.071839	-0.5565	0.289981
3	-0.012369	-0.0958	0.461995
4	-0.040561	-0.3142	0.377236
5	-0.058846	-0.4558	0.325083
6	-0.057682	-0.4468	0.328313
7	-0.042109	-0.3262	0.372713
8	-0.036612	-0.2836	0.388848
9	-0.038937	-0.3016	0.381999
10	-0.025376	-0.1966	0.422419
11	-0.031127	-0.2411	0.405145
12	0.051882	0.4019	0.344602
13	-0.073148	-0.5666	0.286549
14	-0.075724	-0.5866	0.279851
15	-0.03106	-0.2406	0.405348
16	0.004948	0.0383	0.484778
17	0.004644	0.036	0.485711
18	-0.077275	-0.5986	0.275856
19	-0.070053	-0.5426	0.294697
20	0.053439	0.4139	0.340199
21	0.001451	0.0112	0.495534
22	-0.010765	-0.0834	0.466912
23	-0.035681	-0.2764	0.391601
24	-0.04688	-0.3631	0.358891
25	-0.066885	-0.5181	0.303151
26	-0.057453	-0.445	0.328949
27	-0.010441	-0.0809	0.467904
28	0.006457	0.05	0.480138
29	0.025046	0.194	0.423413
30	-0.045222	-0.3503	0.363674
31	-0.045577	-0.353	0.362649
32	-0.039204	-0.3037	0.381214
33	0.032945	0.2552	0.399725
34	0.002265	0.0175	0.493031
35	0.00635	0.0492	0.480468
36	-0.040173	-0.3112	0.378372

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259165389mbm2sl140w8t0z3/1dcve1259165211.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259165389mbm2sl140w8t0z3/1dcve1259165211.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259165389mbm2sl140w8t0z3/22fat1259165211.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259165389mbm2sl140w8t0z3/22fat1259165211.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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