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Workshop8 Review 1: d=1 D=0

*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: Sun, 29 Nov 2009 09:16:26 -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/29/t12595114570j2h16py10089yj.htm/, Retrieved Sun, 29 Nov 2009 17:17:39 +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/29/t12595114570j2h16py10089yj.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 «
130 136.7 138.1 139.5 140.4 144.6 151.4 147.9 141.5 143.8 143.6 150.5 150.1 154.9 162.1 176.7 186.6 194.8 196.3 228.8 267.2 237.2 254.7 258.2 257.9 269.6 266.9 269.6 253.9 258.6 274.2 301.5 304.5 285.1 287.7 265.5 264.1 276.1 258.9 239.1 250.1 276.8 297.6 295.4 283 275.8 279.7 254.6 234.6 176.9 148.1 122.7 124.9 121.6 128.4 144.5 151.8 167.1 173.8 203.7 199.8
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3343552.58990.006016
20.1921261.48820.070968
30.0967370.74930.228295
40.0634550.49150.312427
50.0854740.66210.255228
6-0.085708-0.66390.25465
7-0.177845-1.37760.086725
8-0.346687-2.68540.004677
9-0.161423-1.25040.108009
10-0.056285-0.4360.332206
110.175411.35870.089661
120.1026080.79480.214932
13-0.049971-0.38710.350037
140.1126140.87230.19326
150.0555240.43010.334336
160.024750.19170.424308
170.0548960.42520.336097
18-0.036973-0.28640.387783
19-0.183589-1.42210.080091
20-0.181699-1.40740.082229
210.030890.23930.405856
220.0388060.30060.382385
230.0277040.21460.415406
24-0.097179-0.75270.227273
25-0.016484-0.12770.449413
260.0287060.22240.412396
27-0.043616-0.33780.368328
280.0236430.18310.427652
29-0.155651-1.20570.116339
30-0.134279-1.04010.151228
31-0.157925-1.22330.113003
32-0.086616-0.67090.252423
33-0.107029-0.8290.205182
34-0.112864-0.87420.192737
35-0.013518-0.10470.458477
36-0.007793-0.06040.476032


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3343552.58990.006016
20.0904440.70060.243139
30.0091590.07090.471838
40.0161340.1250.450482
50.0586870.45460.325525
6-0.15522-1.20230.11698
7-0.149398-1.15720.125882
8-0.272488-2.11070.019488
90.0564440.43720.331762
100.0756240.58580.28011
110.3132092.42610.009143
120.0541480.41940.338199
13-0.142674-1.10510.136754
140.0284950.22070.413029
15-0.139702-1.08210.141763
16-0.210109-1.62750.054436
170.0992070.76850.222615
180.0873430.67660.250644
19-0.026243-0.20330.419803
20-0.033694-0.2610.397496
210.1690861.30970.097639
22-0.002775-0.02150.49146
23-0.088089-0.68230.248828
24-0.160846-1.24590.108821
25-0.015395-0.11930.452737
26-0.061174-0.47380.318664
27-0.074033-0.57350.284238
280.0414690.32120.374581
29-0.084291-0.65290.258153
300.0962890.74590.229334
31-0.032099-0.24860.402244
32-0.177963-1.37850.086585
33-0.157437-1.21950.113714
34-0.019174-0.14850.441216
350.0232540.18010.428832
360.0318980.24710.402844
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/29/t12595114570j2h16py10089yj/1uss81259511384.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/29/t12595114570j2h16py10089yj/1uss81259511384.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/29/t12595114570j2h16py10089yj/2cypq1259511384.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/29/t12595114570j2h16py10089yj/2cypq1259511384.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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')
 





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