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Methode 1 ACF D=1

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 26 Nov 2009 07:08:23 -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/26/t12592445903vejjs4tnnppj6y.htm/, Retrieved Thu, 26 Nov 2009 15:09:52 +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/26/t12592445903vejjs4tnnppj6y.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 «

91.2 80.8 72.3 99.7 90.1 83.1 71.9 78.6 87.2 90.6 80 73.1 85.6 73.8 70.6 91.8 81.3 85.2 69.6 83.3 89.8 99.5 78.9 83.8 92 80.9 74.6 97.9 88.3 88.1 66.4 92.3 95.6 99.7 78.9 79.4 87.8 80.5 71.8 89.2 96.4 83.5 64.3 85.9 89.2 81.8 79.5 68.7 76.4 73.6 57.7 78.3 75.5 62.4 55.6 62.9 66.7 66.8 59.9 52 61.2

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	0.668232	4.6776	1.2e-05
2	0.71095	4.9766	4e-06
3	0.691204	4.8384	7e-06
4	0.605185	4.2363	5e-05
5	0.510416	3.5729	0.000402
6	0.497814	3.4847	0.000524
7	0.39128	2.739	0.004285
8	0.38375	2.6863	0.004919
9	0.283439	1.9841	0.026432
10	0.196291	1.374	0.087842
11	0.17543	1.228	0.112655
12	0.094172	0.6592	0.256425
13	0.048797	0.3416	0.367063
14	0.049009	0.3431	0.36651
15	-0.004793	-0.0335	0.486687
16	-0.117315	-0.8212	0.207753
17	-0.050532	-0.3537	0.362531
18	-0.163197	-1.1424	0.129423
19	-0.146784	-1.0275	0.154617
20	-0.18857	-1.32	0.096486
21	-0.19069	-1.3348	0.094051
22	-0.253291	-1.773	0.041219
23	-0.194564	-1.3619	0.089721
24	-0.356863	-2.498	0.007947
25	-0.32171	-2.252	0.01442
26	-0.32357	-2.265	0.013985
27	-0.367728	-2.5741	0.006562
28	-0.37317	-2.6122	0.005955
29	-0.338945	-2.3726	0.010816
30	-0.325696	-2.2799	0.013503
31	-0.351047	-2.4573	0.008792
32	-0.327432	-2.292	0.01312
33	-0.302923	-2.1205	0.019527
34	-0.268349	-1.8784	0.033138
35	-0.247672	-1.7337	0.04463
36	-0.206415	-1.4449	0.077425

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.668232	4.6776	1.2e-05
2	0.477745	3.3442	0.000794
3	0.289942	2.0296	0.023923
4	-0.004486	-0.0314	0.487538
5	-0.212149	-1.485	0.071969
6	-0.05236	-0.3665	0.357779
7	-0.09676	-0.6773	0.250694
8	0.084045	0.5883	0.279512
9	-0.067214	-0.4705	0.320043
10	-0.186768	-1.3074	0.098593
11	-0.036104	-0.2527	0.400767
12	-0.033922	-0.2375	0.406646
13	0.058739	0.4112	0.34137
14	0.116123	0.8129	0.210115
15	0.016017	0.1121	0.455595
16	-0.297957	-2.0857	0.021118
17	0.013094	0.0917	0.463671
18	-0.042124	-0.2949	0.38467
19	0.134162	0.9391	0.176134
20	-0.008002	-0.056	0.47778
21	-0.063082	-0.4416	0.33037
22	-0.212082	-1.4846	0.072031
23	0.062624	0.4384	0.331523
24	-0.188869	-1.3221	0.09614
25	-0.091632	-0.6414	0.262117
26	0.068524	0.4797	0.316799
27	0.03152	0.2206	0.413145
28	-0.024224	-0.1696	0.433025
29	0.012902	0.0903	0.464203
30	0.176187	1.2333	0.111672
31	-0.104453	-0.7312	0.234078
32	-0.079055	-0.5534	0.291257
33	0.039445	0.2761	0.391812
34	-0.008377	-0.0586	0.47674
35	0.104496	0.7315	0.233987
36	-0.014328	-0.1003	0.460258

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592445903vejjs4tnnppj6y/1rh6p1259244502.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592445903vejjs4tnnppj6y/1rh6p1259244502.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592445903vejjs4tnnppj6y/2e0y31259244502.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592445903vejjs4tnnppj6y/2e0y31259244502.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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