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acf, 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 14:04:04 -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/t1259269494nwrdfzsyk0xb4zc.htm/, Retrieved Thu, 26 Nov 2009 22:04:57 +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/t1259269494nwrdfzsyk0xb4zc.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 «

6,3 6,2 6,1 6,3 6,5 6,6 6,5 6,2 6,2 5,9 6,1 6,1 6,1 6,1 6,1 6,4 6,7 6,9 7 7 6,8 6,4 5,9 5,5 5,5 5,6 5,8 5,9 6,1 6,1 6 6 5,9 5,5 5,6 5,4 5,2 5,2 5,2 5,5 5,8 5,8 5,5 5,3 5,1 5,2 5,8 5,8 5,5 5 4,9 5,3 6,1 6,5 6,8 6,6 6,4 6,4

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	0.857353	5.8148	0
2	0.621199	4.2132	5.8e-05
3	0.37881	2.5692	0.00675
4	0.212374	1.4404	0.078265
5	0.170217	1.1545	0.127135
6	0.171478	1.163	0.125409
7	0.169603	1.1503	0.127981
8	0.126522	0.8581	0.197639
9	0.048295	0.3276	0.372367
10	-0.054296	-0.3683	0.357188
11	-0.132698	-0.9	0.186404
12	-0.187486	-1.2716	0.104955
13	-0.186962	-1.268	0.105583
14	-0.167821	-1.1382	0.130461
15	-0.158764	-1.0768	0.143595
16	-0.162925	-1.105	0.13745
17	-0.168723	-1.1443	0.129202
18	-0.154006	-1.0445	0.150852
19	-0.132654	-0.8997	0.186482
20	-0.125271	-0.8496	0.199966
21	-0.185444	-1.2577	0.107416
22	-0.282887	-1.9186	0.030624
23	-0.389401	-2.641	0.005626
24	-0.426947	-2.8957	0.002885
25	-0.369787	-2.508	0.007866
26	-0.279379	-1.8948	0.032204
27	-0.196706	-1.3341	0.094365
28	-0.147192	-0.9983	0.161677
29	-0.137073	-0.9297	0.178697
30	-0.139997	-0.9495	0.173662
31	-0.119445	-0.8101	0.211022
32	-0.078202	-0.5304	0.299195
33	0.005883	0.0399	0.484173
34	0.098939	0.671	0.252776
35	0.189559	1.2857	0.1025
36	0.233575	1.5842	0.060002

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.857353	5.8148	0
2	-0.429728	-2.9146	0.002743
3	-0.065804	-0.4463	0.328735
4	0.1488	1.0092	0.159076
5	0.239478	1.6242	0.055581
6	-0.151033	-1.0244	0.155512
7	-0.069252	-0.4697	0.320398
8	-0.053468	-0.3626	0.359269
9	0.004145	0.0281	0.488847
10	-0.158261	-1.0734	0.14435
11	0.028781	0.1952	0.423047
12	-0.097592	-0.6619	0.255669
13	0.125822	0.8534	0.198939
14	-0.13036	-0.8841	0.190608
15	-0.037862	-0.2568	0.399242
16	-0.04095	-0.2777	0.391229
17	0.136077	0.9229	0.180433
18	-0.01909	-0.1295	0.448774
19	-0.068539	-0.4649	0.322113
20	-0.151685	-1.0288	0.154481
21	-0.228258	-1.5481	0.064223
22	-0.09245	-0.627	0.266871
23	-0.091401	-0.6199	0.269187
24	0.104624	0.7096	0.240768
25	0.0594	0.4029	0.344456
26	-0.1401	-0.9502	0.173487
27	-0.093527	-0.6343	0.264504
28	0.127438	0.8643	0.195946
29	0.01503	0.1019	0.459624
30	-0.013348	-0.0905	0.46413
31	-0.002638	-0.0179	0.492902
32	0.012499	0.0848	0.466404
33	0.042493	0.2882	0.387245
34	-0.018415	-0.1249	0.450574
35	0.098435	0.6676	0.253855
36	-0.073691	-0.4998	0.309799

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259269494nwrdfzsyk0xb4zc/1af1d1259269443.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259269494nwrdfzsyk0xb4zc/1af1d1259269443.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259269494nwrdfzsyk0xb4zc/2x4gl1259269443.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259269494nwrdfzsyk0xb4zc/2x4gl1259269443.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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