Home » date » 2010 » Dec » 03 »

W9 ACF d=0 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: Fri, 03 Dec 2010 09:37:57 +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/Dec/03/t1291368957k78viyqnao1psbt.htm/, Retrieved Fri, 03 Dec 2010 10:35:59 +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/2010/Dec/03/t1291368957k78viyqnao1psbt.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 «

17848 19592 21092 20889 25890 24965 22225 20977 22897 22785 22769 19637 20203 20450 23083 21738 26766 25280 22574 22729 21378 22902 24989 21116 15169 15846 20927 18273 22538 15596 14034 11366 14861 15149 13577 13026 13190 13196 15826 14733 16307 15703 14589 12043 15057 14053 12698 10888 10045 11549 13767 12424 13116 14211 12266 12602 15714 13742 12745 10491 10057 10900 11771 11992 11993 14504 11727 11477 13578 11555 11846 11397 10066 10269 14279 13870 13695 14420 11424 9704 12464 14301 13464 9893 11572 12380 16692 16052 16459 14761 13654 13480 18068 16560 14530 10650 11651 13735 13360 17818 20613 16231 13862 12004 17734 15034 12609 12320 10833 11350 13648 14890 16325 18045 15616 11926 16855 15083 12520 12355

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	0.834379	9.1402	0
2	0.706562	7.74	0
3	0.643438	7.0485	0
4	0.648729	7.1065	0
5	0.644534	7.0605	0
6	0.647405	7.092	0
7	0.581794	6.3732	0
8	0.510002	5.5868	0
9	0.474836	5.2016	0
10	0.497701	5.452	0
11	0.53986	5.9139	0
12	0.598065	6.5515	0
13	0.490228	5.3702	0
14	0.388542	4.2563	2.1e-05
15	0.309291	3.3881	0.000476
16	0.311319	3.4103	0.000442
17	0.286921	3.1431	0.001053
18	0.281033	3.0786	0.001289
19	0.210574	2.3067	0.011393
20	0.14623	1.6019	0.055907
21	0.106391	1.1655	0.123074
22	0.117631	1.2886	0.100012
23	0.141206	1.5468	0.062269
24	0.154584	1.6934	0.046488
25	0.068248	0.7476	0.228076
26	-0.007361	-0.0806	0.467933
27	-0.042376	-0.4642	0.321672
28	-0.03425	-0.3752	0.354091
29	-0.055688	-0.61	0.271496
30	-0.043972	-0.4817	0.315451
31	-0.080588	-0.8828	0.189556
32	-0.100046	-1.0959	0.137649
33	-0.112067	-1.2276	0.110994
34	-0.080837	-0.8855	0.188823
35	-0.044211	-0.4843	0.314527
36	-0.019433	-0.2129	0.415894
37	-0.078928	-0.8646	0.194489
38	-0.147107	-1.6115	0.054852
39	-0.155895	-1.7077	0.045135
40	-0.166179	-1.8204	0.035595
41	-0.193026	-2.1145	0.018271
42	-0.179292	-1.964	0.025918
43	-0.208254	-2.2813	0.012147
44	-0.228352	-2.5015	0.006858
45	-0.234343	-2.5671	0.005742
46	-0.195127	-2.1375	0.017293
47	-0.169867	-1.8608	0.03261
48	-0.131598	-1.4416	0.076012

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.834379	9.1402	0
2	0.034143	0.374	0.354525
3	0.150064	1.6439	0.051411
4	0.234636	2.5703	0.005692
5	0.077014	0.8436	0.200274
6	0.141724	1.5525	0.061587
7	-0.133739	-1.465	0.072763
8	-0.063184	-0.6921	0.245092
9	0.029162	0.3194	0.374971
10	0.111289	1.2191	0.112596
11	0.158115	1.7321	0.042916
12	0.229705	2.5163	0.00659
13	-0.38805	-4.2509	2.1e-05
14	-0.08042	-0.881	0.190051
15	-0.200299	-2.1942	0.015075
16	-0.004819	-0.0528	0.478995
17	-0.095954	-1.0511	0.147656
18	0.048317	0.5293	0.298793
19	-0.048992	-0.5367	0.29624
20	0.03978	0.4358	0.331894
21	-0.031288	-0.3427	0.366194
22	-0.016768	-0.1837	0.427284
23	0.016394	0.1796	0.428889
24	-0.070564	-0.773	0.220523
25	-0.092838	-1.017	0.155601
26	-0.014747	-0.1615	0.435969
27	0.097645	1.0697	0.143461
28	-0.041885	-0.4588	0.323594
29	0.010325	0.1131	0.455067
30	0.068566	0.7511	0.22703
31	0.040029	0.4385	0.330908
32	0.072547	0.7947	0.214175
33	0.004428	0.0485	0.480698
34	0.015853	0.1737	0.431213
35	0.075649	0.8287	0.204463
36	0.005308	0.0581	0.476865
37	-0.090756	-0.9942	0.161066
38	-0.104611	-1.146	0.127046
39	0.021929	0.2402	0.405287
40	-0.203589	-2.2302	0.013797
41	-0.03788	-0.4149	0.33946
42	0.030758	0.3369	0.368378
43	-0.068117	-0.7462	0.228509
44	-0.00118	-0.0129	0.494855
45	-0.017272	-0.1892	0.425127
46	0.001938	0.0212	0.491548
47	-0.001612	-0.0177	0.492969
48	0.057906	0.6343	0.263537

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291368957k78viyqnao1psbt/1xouf1291369075.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291368957k78viyqnao1psbt/1xouf1291369075.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291368957k78viyqnao1psbt/2xouf1291369075.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291368957k78viyqnao1psbt/2xouf1291369075.ps (open in new window)

Parameters (Session):

par1 = Default ; 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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