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Model 1: 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: Wed, 25 Nov 2009 10:09:22 -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/t12591691061f6uqjqfxg9cqoc.htm/, Retrieved Wed, 25 Nov 2009 18:11:49 +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/t12591691061f6uqjqfxg9cqoc.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 «

3030.29 2803.47 2767.63 2882.6 2863.36 2897.06 3012.61 3142.95 3032.93 3045.78 3110.52 3013.24 2987.1 2995.55 2833.18 2848.96 2794.83 2845.26 2915.02 2892.63 2604.42 2641.65 2659.81 2638.53 2720.25 2745.88 2735.7 2811.7 2799.43 2555.28 2304.98 2214.95 2065.81 1940.49 2042 1995.37 1946.81 1765.9 1635.25 1833.42 1910.43 1959.67 1969.6 2061.41 2093.48 2120.88 2174.56 2196.72 2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44

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	0.464672	3.1856	0.001283
2	0.127364	0.8732	0.193507
3	-0.014734	-0.101	0.459987
4	-0.033258	-0.228	0.410315
5	-0.076335	-0.5233	0.301602
6	-0.050936	-0.3492	0.364251
7	0.050025	0.343	0.366582
8	0.129025	0.8845	0.190451
9	-0.000415	-0.0028	0.498871
10	-0.097418	-0.6679	0.253744
11	-0.201709	-1.3828	0.086623
12	-0.376057	-2.5781	0.006564
13	-0.120301	-0.8247	0.206842
14	0.013114	0.0899	0.464372
15	0.175731	1.2048	0.117166
16	0.110467	0.7573	0.226317
17	0.111553	0.7648	0.224115
18	0.0688	0.4717	0.319674
19	-0.067842	-0.4651	0.322003
20	-0.197129	-1.3514	0.091511
21	0.02704	0.1854	0.426866
22	0.082047	0.5625	0.288229
23	-0.021127	-0.1448	0.442729
24	-0.07533	-0.5164	0.303986
25	-0.105828	-0.7255	0.235865
26	-0.092335	-0.633	0.264895
27	-0.154581	-1.0598	0.147336
28	-0.109712	-0.7522	0.227856
29	-0.106042	-0.727	0.235419
30	-0.061767	-0.4235	0.336948
31	0.025588	0.1754	0.43075
32	0.090475	0.6203	0.269039
33	0.003995	0.0274	0.489132
34	-0.031281	-0.2145	0.415562
35	0.022405	0.1536	0.439291
36	0.06575	0.4508	0.327118

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.464672	3.1856	0.001283
2	-0.112943	-0.7743	0.221316
3	-0.036326	-0.249	0.402209
4	0.004104	0.0281	0.488836
5	-0.07459	-0.5114	0.305745
6	0.017745	0.1217	0.451845
7	0.0916	0.628	0.26653
8	0.074471	0.5105	0.30603
9	-0.137587	-0.9433	0.175188
10	-0.057171	-0.3919	0.348436
11	-0.148497	-1.018	0.156934
12	-0.295739	-2.0275	0.024152
13	0.278972	1.9125	0.030956
14	-0.043216	-0.2963	0.384163
15	0.172062	1.1796	0.122048
16	-0.081872	-0.5613	0.288634
17	0.076843	0.5268	0.300402
18	-0.012549	-0.086	0.465904
19	-0.102289	-0.7013	0.243299
20	-0.048704	-0.3339	0.369972
21	0.167831	1.1506	0.127861
22	-0.085377	-0.5853	0.280569
23	-0.218002	-1.4945	0.070858
24	-0.086814	-0.5952	0.277294
25	0.003506	0.024	0.490463
26	-0.023887	-0.1638	0.43531
27	0.103325	0.7084	0.24111
28	-0.060948	-0.4178	0.338983
29	-0.119186	-0.8171	0.208997
30	-0.03884	-0.2663	0.395597
31	0.061639	0.4226	0.337266
32	-0.035797	-0.2454	0.403604
33	0.114944	0.788	0.217322
34	-0.083101	-0.5697	0.285794
35	-0.000357	-0.0024	0.499028
36	-0.115428	-0.7913	0.216362

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591691061f6uqjqfxg9cqoc/1fh6n1259168960.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591691061f6uqjqfxg9cqoc/1fh6n1259168960.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591691061f6uqjqfxg9cqoc/25hr21259168960.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t12591691061f6uqjqfxg9cqoc/25hr21259168960.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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