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degree of non-seasonal differencing Oef 2

*Unverified author*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 26 Apr 2010 16:15:41 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Apr/26/t1272298704d9dw4q6f7z3gt7g.htm/, Retrieved Mon, 26 Apr 2010 18:18:26 +0200

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/2010/Apr/26/t1272298704d9dw4q6f7z3gt7g.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

164 96 73 49 39 59 169 169 210 278 298 245 200 188 90 79 78 91 167 169 289 247 275 203 223 104 107 85 75 99 135 211 335 488 326 346 261 224 141 148 145 223 272 445 560 612 467 404 518 404 300 210 196 186 247 343 464 680 711 610 513 292 273 322 189 257 324 404 677 858 895 664 628 308 324 248 272

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	0.866168	7.6006	0
2	0.656374	5.7597	0
3	0.385934	3.3866	0.000559
4	0.14865	1.3044	0.097992
5	-0.021896	-0.1921	0.424072
6	-0.083725	-0.7347	0.232381
7	-0.052388	-0.4597	0.323514
8	0.066224	0.5811	0.28143
9	0.250068	2.1943	0.015613
10	0.422818	3.7102	0.000195
11	0.566696	4.9727	2e-06
12	0.618873	5.4306	0
13	0.554915	4.8694	3e-06
14	0.406916	3.5707	0.000309
15	0.22274	1.9545	0.027134
16	0.018794	0.1649	0.434722
17	-0.113368	-0.9948	0.161476
18	-0.174979	-1.5354	0.064388
19	-0.14975	-1.3141	0.096365
20	-0.054376	-0.4771	0.317305
21	0.069926	0.6136	0.270645
22	0.193559	1.6985	0.046728
23	0.291334	2.5564	0.006271
24	0.352595	3.094	0.001376
25	0.327419	2.8731	0.002625
26	0.228836	2.008	0.024074
27	0.082039	0.7199	0.236885
28	-0.086293	-0.7572	0.225616
29	-0.216986	-1.904	0.03032
30	-0.286629	-2.5152	0.006991
31	-0.297029	-2.6064	0.00549
32	-0.249949	-2.1933	0.015652
33	-0.151165	-1.3265	0.094303
34	-0.051289	-0.4501	0.326966
35	0.039124	0.3433	0.366149
36	0.077623	0.6811	0.248913
37	0.061207	0.5371	0.296376
38	-0.021755	-0.1909	0.424554
39	-0.120975	-1.0616	0.145878
40	-0.245702	-2.156	0.017102
41	-0.327835	-2.8767	0.002598
42	-0.365361	-3.206	0.00098
43	-0.362453	-3.1805	0.00106
44	-0.313407	-2.7501	0.00371
45	-0.233788	-2.0515	0.02181
46	-0.149697	-1.3136	0.096444
47	-0.086059	-0.7552	0.226226
48	-0.040632	-0.3565	0.361204

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.866168	7.6006	0
2	-0.375865	-3.2982	0.000737
3	-0.329768	-2.8937	0.002475
4	0.057273	0.5026	0.30835
5	0.090923	0.7978	0.213707
6	0.170483	1.496	0.069373
7	0.107006	0.939	0.175341
8	0.170615	1.4971	0.069222
9	0.273232	2.3976	0.009463
10	0.032532	0.2855	0.388027
11	0.140535	1.2332	0.110628
12	-0.014899	-0.1307	0.44816
13	-0.185487	-1.6276	0.053844
14	-0.015012	-0.1317	0.447771
15	0.027318	0.2397	0.405593
16	-0.179636	-1.5763	0.059528
17	0.114863	1.0079	0.158324
18	-0.036633	-0.3215	0.374368
19	-0.025212	-0.2212	0.412747
20	0.008746	0.0767	0.469513
21	-0.136013	-1.1935	0.118167
22	0.035542	0.3119	0.377986
23	0.037471	0.3288	0.371596
24	0.095216	0.8355	0.203005
25	-0.032862	-0.2884	0.386922
26	-0.18703	-1.6412	0.052419
27	0.04138	0.3631	0.358758
28	-0.071064	-0.6236	0.267371
29	-0.058888	-0.5167	0.30341
30	0.030638	0.2688	0.394384
31	-0.135134	-1.1858	0.119674
32	-0.060775	-0.5333	0.297682
33	0.113499	0.996	0.161197
34	-0.149839	-1.3148	0.096235
35	-0.010882	-0.0955	0.462086
36	-0.125373	-1.1001	0.137349
37	-0.031224	-0.274	0.392413
38	-0.023364	-0.205	0.41905
39	-0.008987	-0.0789	0.468674
40	-0.01815	-0.1593	0.436937
41	0.100947	0.8858	0.18924
42	-0.035273	-0.3095	0.378883
43	-0.02448	-0.2148	0.415241
44	-0.079489	-0.6975	0.243792
45	0.002825	0.0248	0.490145
46	0.070309	0.617	0.269542
47	-0.052521	-0.4609	0.323095
48	0.061802	0.5423	0.294586

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Apr/26/t1272298704d9dw4q6f7z3gt7g/1arhv1272298539.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/26/t1272298704d9dw4q6f7z3gt7g/1arhv1272298539.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/26/t1272298704d9dw4q6f7z3gt7g/2arhv1272298539.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Apr/26/t1272298704d9dw4q6f7z3gt7g/2arhv1272298539.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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