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ACF (d=1 en 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: Thu, 26 Nov 2009 08:30:00 -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/t1259249437fmu3ybb6nib0z8q.htm/, Retrieved Thu, 26 Nov 2009 16:30:39 +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/t1259249437fmu3ybb6nib0z8q.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 «

1169 2154 2249 2687 4359 5382 4459 6398 4596 3024 1887 2070 1351 2218 2461 3028 4784 4975 4607 6249 4809 3157 1910 2228 1594 2467 2222 3607 4685 4962 5770 5480 5000 3228 1993 2288 1580 2111 2192 3601 4665 4876 5813 5589 5331 3075 2002 2306 1507 1992 2487 3490 4647 5594 5611 5788 6204 3013 1931 2549

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	-0.614537	-4.2131	5.7e-05
2	-0.020815	-0.1427	0.443569
3	0.319193	2.1883	0.016827
4	-0.269057	-1.8446	0.035704
5	0.054856	0.3761	0.354278
6	0.120005	0.8227	0.207414
7	-0.096924	-0.6645	0.254817
8	-0.08953	-0.6138	0.271158
9	0.186688	1.2799	0.103437
10	-0.092027	-0.6309	0.265579
11	-0.058995	-0.4045	0.343858
12	0.177596	1.2175	0.114739
13	-0.268125	-1.8382	0.036181
14	0.262561	1.8	0.039138
15	-0.106865	-0.7326	0.233711
16	-0.03937	-0.2699	0.394207
17	0.044855	0.3075	0.379907
18	0.036646	0.2512	0.401364
19	-0.138844	-0.9519	0.173018
20	0.157265	1.0782	0.143233
21	-0.002901	-0.0199	0.492107
22	-0.213272	-1.4621	0.075182
23	0.282911	1.9395	0.029225
24	-0.10651	-0.7302	0.234448
25	-0.190552	-1.3064	0.098894
26	0.321962	2.2073	0.016107
27	-0.202166	-1.386	0.086147
28	0.003951	0.0271	0.489252
29	0.102853	0.7051	0.242106
30	-0.073782	-0.5058	0.307672
31	-0.018516	-0.1269	0.449764
32	0.071637	0.4911	0.312813
33	-0.037687	-0.2584	0.398624
34	-0.030019	-0.2058	0.418918
35	0.066963	0.4591	0.324147
36	-0.067858	-0.4652	0.321965

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.614537	-4.2131	5.7e-05
2	-0.640273	-4.3895	3.2e-05
3	-0.25941	-1.7784	0.040901
4	-0.211616	-1.4508	0.076743
5	-0.206885	-1.4183	0.081346
6	-0.111736	-0.766	0.223747
7	0.074708	0.5122	0.305464
8	-0.139517	-0.9565	0.171862
9	-0.140542	-0.9635	0.170111
10	-0.075279	-0.5161	0.304107
11	-0.068668	-0.4708	0.319994
12	0.111535	0.7646	0.224153
13	-0.217643	-1.4921	0.07118
14	0.004089	0.028	0.488879
15	0.006082	0.0417	0.483458
16	0.123431	0.8462	0.200864
17	-0.047907	-0.3284	0.372022
18	0.113684	0.7794	0.219833
19	-0.1385	-0.9495	0.17361
20	-0.055987	-0.3838	0.351418
21	0.047846	0.328	0.372177
22	-0.05331	-0.3655	0.358199
23	0.071691	0.4915	0.312684
24	0.152468	1.0453	0.150623
25	-0.100498	-0.689	0.247111
26	-0.128088	-0.8781	0.19217
27	-0.070244	-0.4816	0.316173
28	-0.005938	-0.0407	0.483849
29	0.011176	0.0766	0.469627
30	-0.071218	-0.4882	0.313822
31	0.056076	0.3844	0.351194
32	-0.023191	-0.159	0.437179
33	0.020731	0.1421	0.443794
34	0.022427	0.1538	0.439231
35	0.044046	0.302	0.382005
36	-0.021533	-0.1476	0.441635

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249437fmu3ybb6nib0z8q/1uzey1259249399.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249437fmu3ybb6nib0z8q/1uzey1259249399.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249437fmu3ybb6nib0z8q/24nxv1259249399.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259249437fmu3ybb6nib0z8q/24nxv1259249399.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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