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Model 1: D=0, 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 10:41:01 -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/t1259170940xopzes7s3whhqmz.htm/, Retrieved Wed, 25 Nov 2009 18:42:22 +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/t1259170940xopzes7s3whhqmz.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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.265845	2.042	0.022815
2	0.028044	0.2154	0.415096
3	0.157741	1.2116	0.115242
4	-0.004965	-0.0381	0.484855
5	-0.039569	-0.3039	0.381122
6	0.07079	0.5437	0.294331
7	0.064149	0.4927	0.312012
8	0.056319	0.4326	0.333442
9	0.121435	0.9328	0.177372
10	0.001153	0.0089	0.49648
11	-0.140274	-1.0775	0.142829
12	0.080325	0.617	0.269808
13	-0.078007	-0.5992	0.275673
14	-0.097949	-0.7524	0.227413
15	0.095004	0.7297	0.234219
16	0.001291	0.0099	0.496062
17	0.070211	0.5393	0.295854
18	0.101344	0.7784	0.219711
19	-0.050104	-0.3849	0.350865
20	-0.173124	-1.3298	0.094353
21	0.043336	0.3329	0.370205
22	0.030024	0.2306	0.409204
23	-0.173069	-1.3294	0.094422
24	-0.047749	-0.3668	0.357554
25	-0.149976	-1.152	0.126987
26	-0.260397	-2.0001	0.025047
27	-0.172949	-1.3284	0.094573
28	-0.10524	-0.8084	0.211065
29	-0.013	-0.0999	0.4604
30	-0.004592	-0.0353	0.485992
31	-0.008581	-0.0659	0.473834
32	0.050227	0.3858	0.350517
33	-0.005102	-0.0392	0.484437
34	0.007358	0.0565	0.47756
35	-0.037437	-0.2876	0.387346
36	0.077099	0.5922	0.277987

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.265845	2.042	0.022815
2	-0.045872	-0.3523	0.362917
3	0.174837	1.3429	0.092217
4	-0.104466	-0.8024	0.212765
5	0.000487	0.0037	0.498514
6	0.0594	0.4563	0.324939
7	0.045029	0.3459	0.365334
8	0.045185	0.3471	0.364886
9	0.081592	0.6267	0.266631
10	-0.072123	-0.554	0.290842
11	-0.133757	-1.0274	0.154211
12	0.146597	1.126	0.132356
13	-0.161144	-1.2378	0.110352
14	0.030406	0.2336	0.408069
15	0.054682	0.42	0.337999
16	-0.036724	-0.2821	0.389433
17	0.139629	1.0725	0.143929
18	-0.006481	-0.0498	0.480233
19	-0.064313	-0.494	0.31157
20	-0.150548	-1.1564	0.126093
21	0.134075	1.0298	0.153642
22	-0.020405	-0.1567	0.437995
23	-0.119787	-0.9201	0.180633
24	-0.076843	-0.5902	0.278641
25	-0.190295	-1.4617	0.074567
26	-0.108243	-0.8314	0.204541
27	-0.143537	-1.1025	0.137355
28	0.083287	0.6397	0.262408
29	0.058967	0.4529	0.326129
30	-0.0295	-0.2266	0.410761
31	0.018113	0.1391	0.444912
32	0.156128	1.1992	0.117614
33	-0.060889	-0.4677	0.320862
34	0.046736	0.359	0.360444
35	0.030487	0.2342	0.407829
36	0.049598	0.381	0.352298

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259170940xopzes7s3whhqmz/1fcyi1259170859.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259170940xopzes7s3whhqmz/1fcyi1259170859.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259170940xopzes7s3whhqmz/2wf9x1259170859.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259170940xopzes7s3whhqmz/2wf9x1259170859.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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