Home » date » 2009 » Nov » 28 »

ws8: ACF D=d=1, L=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: Sat, 28 Nov 2009 01:44:04 -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/28/t1259397906jd909z7bgdl5vok.htm/, Retrieved Sat, 28 Nov 2009 09:45:08 +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/28/t1259397906jd909z7bgdl5vok.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 «

27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566

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	-0.341901	-2.344	0.01168
2	0.136241	0.934	0.177534
3	-0.178837	-1.226	0.113145
4	-0.212798	-1.4589	0.075626
5	0.071152	0.4878	0.313982
6	-0.031824	-0.2182	0.414119
7	-0.010913	-0.0748	0.470339
8	0.151071	1.0357	0.152824
9	0.191273	1.3113	0.098063
10	-0.092572	-0.6346	0.264369
11	-0.111194	-0.7623	0.224843
12	-0.180068	-1.2345	0.111579
13	-0.158046	-1.0835	0.142056
14	0.210459	1.4428	0.077849
15	-0.001604	-0.011	0.495637
16	0.092178	0.6319	0.265245
17	0.078177	0.536	0.297258
18	-0.048814	-0.3346	0.369689
19	-0.068914	-0.4724	0.319396
20	-0.050276	-0.3447	0.365938
21	0.005359	0.0367	0.485423
22	-0.102079	-0.6998	0.243746
23	0.245243	1.6813	0.049669
24	-0.095555	-0.6551	0.257801
25	0.110958	0.7607	0.225321
26	0.010257	0.0703	0.472118
27	-0.141722	-0.9716	0.168112
28	0.038344	0.2629	0.396899
29	0.016312	0.1118	0.455717
30	-0.020058	-0.1375	0.445608
31	0.042207	0.2894	0.38679
32	-0.048621	-0.3333	0.370185
33	-0.008345	-0.0572	0.477309
34	0.055008	0.3771	0.353893
35	-0.024472	-0.1678	0.433741
36	-0.067821	-0.465	0.322054
37	0.032259	0.2212	0.412964
38	-0.044086	-0.3022	0.381901
39	0.041385	0.2837	0.388935
40	0.011944	0.0819	0.467543
41	-0.063356	-0.4343	0.333011
42	0.05099	0.3496	0.364111
43	0.006195	0.0425	0.483153
44	0.02086	0.143	0.443448
45	0.017307	0.1187	0.453028
46	-0.031303	-0.2146	0.415503
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.341901	-2.344	0.01168
2	0.021906	0.1502	0.440634
3	-0.142506	-0.977	0.166793
4	-0.366878	-2.5152	0.007687
5	-0.141947	-0.9731	0.167732
6	-0.075739	-0.5192	0.303015
7	-0.216247	-1.4825	0.072439
8	-0.03064	-0.2101	0.417265
9	0.329704	2.2603	0.014237
10	0.072153	0.4947	0.311573
11	-0.215518	-1.4775	0.073104
12	-0.144268	-0.9891	0.163851
13	-0.228258	-1.5649	0.062163
14	-0.093467	-0.6408	0.262389
15	-0.056864	-0.3898	0.349208
16	-0.090129	-0.6179	0.269815
17	-0.068597	-0.4703	0.320166
18	-0.052452	-0.3596	0.36038
19	-0.127907	-0.8769	0.192505
20	-0.025451	-0.1745	0.431119
21	0.246482	1.6898	0.048845
22	-0.110449	-0.7572	0.226355
23	-0.077607	-0.532	0.2986
24	-0.04731	-0.3243	0.373558
25	-0.073833	-0.5062	0.30755
26	-0.021911	-0.1502	0.440619
27	0.03566	0.2445	0.403964
28	0.019779	0.1356	0.446359
29	0.098633	0.6762	0.251115
30	0.072584	0.4976	0.31054
31	-0.027472	-0.1883	0.425712
32	-0.059438	-0.4075	0.342751
33	0.045793	0.3139	0.377478
34	0.009859	0.0676	0.473199
35	-0.067924	-0.4657	0.321803
36	-0.016983	-0.1164	0.453904
37	-0.060355	-0.4138	0.34046
38	-0.110098	-0.7548	0.22707
39	-0.007669	-0.0526	0.479145
40	0.053129	0.3642	0.358658
41	-0.003391	-0.0232	0.490775
42	0.016614	0.1139	0.454902
43	-0.059015	-0.4046	0.343808
44	-0.101338	-0.6947	0.24532
45	0.071322	0.489	0.313572
46	0.000312	0.0021	0.499152
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259397906jd909z7bgdl5vok/1yge31259397842.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259397906jd909z7bgdl5vok/1yge31259397842.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259397906jd909z7bgdl5vok/2zw5u1259397842.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259397906jd909z7bgdl5vok/2zw5u1259397842.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; 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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