Home » date » 2009 » Nov » 28 »

ws8: ACF d=2, 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 01:47:07 -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/t1259398171fyp7vdaynd0n59u.htm/, Retrieved Sat, 28 Nov 2009 09:49:33 +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/t1259398171fyp7vdaynd0n59u.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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.663315	-4.4988	2.3e-05
2	0.317667	2.1545	0.018235
3	-0.12437	-0.8435	0.201651
4	-0.104787	-0.7107	0.24043
5	0.112608	0.7637	0.224461
6	-0.032425	-0.2199	0.413455
7	-0.034801	-0.236	0.407227
8	0.010033	0.068	0.473022
9	0.161982	1.0986	0.138826
10	-0.138899	-0.9421	0.175542
11	0.053547	0.3632	0.35907
12	-0.035949	-0.2438	0.404227
13	-0.157351	-1.0672	0.145723
14	0.201178	1.3645	0.089532
15	-0.095362	-0.6468	0.260495
16	0.058135	0.3943	0.347594
17	0.022065	0.1497	0.440847
18	-0.01464	-0.0993	0.460668
19	-0.042861	-0.2907	0.386295
20	-0.004752	-0.0322	0.487213
21	0.059887	0.4062	0.34325
22	-0.19154	-1.2991	0.100194
23	0.278572	1.8894	0.032578
24	-0.199573	-1.3536	0.091244
25	0.123498	0.8376	0.203292
26	-0.003888	-0.0264	0.489539
27	-0.091807	-0.6227	0.26829
28	0.030492	0.2068	0.418538
29	0.034397	0.2333	0.408284
30	-0.055327	-0.3752	0.3546
31	0.061138	0.4147	0.340159
32	-0.02334	-0.1583	0.437458
33	-0.026832	-0.182	0.428198
34	0.036649	0.2486	0.402401
35	-0.009278	-0.0629	0.475048
36	-0.037403	-0.2537	0.400436
37	0.034558	0.2344	0.407865
38	-0.031951	-0.2167	0.414699
39	0.009767	0.0662	0.473737
40	0.037167	0.2521	0.401052
41	-0.060942	-0.4133	0.340644
42	0.033236	0.2254	0.411327
43	-0.015784	-0.1071	0.457606
44	0.002486	0.0169	0.49331
45	0.018118	0.1229	0.451367
46	NA	NA	NA
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	-0.663315	-4.4988	2.3e-05
2	-0.218425	-1.4814	0.072655
3	-0.023471	-0.1592	0.43711
4	-0.274102	-1.859	0.034712
5	-0.232173	-1.5747	0.061092
6	-0.03535	-0.2398	0.405794
7	-0.117708	-0.7983	0.214389
8	-0.25453	-1.7263	0.045502
9	0.190639	1.293	0.101238
10	0.261416	1.773	0.041424
11	-0.030661	-0.208	0.418092
12	-0.010526	-0.0714	0.471699
13	-0.15787	-1.0707	0.14494
14	-0.166191	-1.1272	0.132759
15	-0.05483	-0.3719	0.355847
16	0.037443	0.2539	0.400334
17	0.004865	0.033	0.486911
18	0.024819	0.1683	0.433529
19	-0.027461	-0.1862	0.426535
20	-0.167264	-1.1344	0.131243
21	0.128171	0.8693	0.194598
22	-0.031954	-0.2167	0.414691
23	-0.016604	-0.1126	0.455413
24	0.02942	0.1995	0.421363
25	-0.026614	-0.1805	0.428774
26	-0.084182	-0.5709	0.285406
27	-0.002163	-0.0147	0.49418
28	-0.011607	-0.0787	0.468798
29	0.049428	0.3352	0.369485
30	0.062492	0.4238	0.336828
31	0.057033	0.3868	0.350338
32	-0.102225	-0.6933	0.245796
33	-0.10283	-0.6974	0.244522
34	-0.046864	-0.3178	0.376021
35	-0.078108	-0.5298	0.299415
36	0.036866	0.25	0.401837
37	0.023088	0.1566	0.438127
38	-0.115272	-0.7818	0.219166
39	-0.136179	-0.9236	0.180255
40	-0.04155	-0.2818	0.389678
41	-0.101757	-0.6901	0.246784
42	-0.03837	-0.2602	0.397922
43	0.038731	0.2627	0.396982
44	-0.120314	-0.816	0.209351
45	-0.101	-0.685	0.248385
46	NA	NA	NA
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/t1259398171fyp7vdaynd0n59u/1tly81259398025.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259398171fyp7vdaynd0n59u/1tly81259398025.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259398171fyp7vdaynd0n59u/2y68v1259398025.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t1259398171fyp7vdaynd0n59u/2y68v1259398025.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; 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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