Home » date » 2010 » Dec » 03 »

W9 ACF 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: Fri, 03 Dec 2010 09:41:48 +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/t1291369486b5ymuighelguaoa.htm/, Retrieved Fri, 03 Dec 2010 10:44:48 +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/t1291369486b5ymuighelguaoa.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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.122616	-1.3376	0.091791
2	-0.193619	-2.1121	0.018383
3	-0.202678	-2.211	0.014475
4	-0.012103	-0.132	0.447592
5	-0.002106	-0.023	0.490855
6	0.232131	2.5323	0.006318
7	0.015142	0.1652	0.434541
8	-0.127109	-1.3866	0.084078
9	-0.185287	-2.0212	0.022749
10	-0.071027	-0.7748	0.219993
11	-0.04161	-0.4539	0.325359
12	0.517239	5.6424	0
13	-0.019102	-0.2084	0.417646
14	-0.067878	-0.7405	0.230239
15	-0.234136	-2.5541	0.005954
16	0.036319	0.3962	0.346336
17	-0.044174	-0.4819	0.315387
18	0.219466	2.3941	0.009112
19	0.000709	0.0077	0.496921
20	-0.084239	-0.9189	0.179992
21	-0.184552	-2.0132	0.023174
22	-0.044526	-0.4857	0.314029
23	0.03469	0.3784	0.352893
24	0.323857	3.5329	0.000293
25	-0.017666	-0.1927	0.423756
26	-0.134182	-1.4638	0.072948
27	-0.117044	-1.2768	0.10208
28	0.054342	0.5928	0.277218
29	-0.077467	-0.8451	0.199884
30	0.159872	1.744	0.041871
31	-0.0355	-0.3873	0.349628
32	-0.037147	-0.4052	0.343019
33	-0.131641	-1.436	0.076809
34	-0.031364	-0.3421	0.366424
35	0.034571	0.3771	0.353375
36	0.251608	2.7447	0.003498
37	0.043285	0.4722	0.318829
38	-0.189026	-2.062	0.020691
39	-0.000354	-0.0039	0.498462
40	0.032249	0.3518	0.362808
41	-0.115675	-1.2619	0.104732
42	0.149567	1.6316	0.052706
43	-0.021836	-0.2382	0.406065
44	-0.053563	-0.5843	0.280063
45	-0.134347	-1.4655	0.072704
46	0.028934	0.3156	0.376416
47	-0.03498	-0.3816	0.351726
48	0.24878	2.7139	0.003819

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.122616	-1.3376	0.091791
2	-0.211839	-2.3109	0.01128
3	-0.273632	-2.985	0.001722
4	-0.156732	-1.7097	0.04496
5	-0.168195	-1.8348	0.034517
6	0.116764	1.2737	0.102618
7	0.031932	0.3483	0.364101
8	-0.061082	-0.6663	0.253247
9	-0.154401	-1.6843	0.047371
10	-0.199448	-2.1757	0.015776
11	-0.278084	-3.0335	0.001484
12	0.34866	3.8034	0.000113
13	0.068313	0.7452	0.228807
14	0.187541	2.0458	0.021488
15	-0.001023	-0.0112	0.495558
16	0.061671	0.6727	0.251207
17	-0.091878	-1.0023	0.159124
18	0.003081	0.0336	0.486622
19	-0.058917	-0.6427	0.260826
20	0.016543	0.1805	0.428547
21	-0.02811	-0.3066	0.379823
22	-0.026955	-0.294	0.38462
23	0.033837	0.3691	0.356347
24	0.065598	0.7156	0.237824
25	-0.002636	-0.0288	0.488554
26	-0.153344	-1.6728	0.048498
27	0.021649	0.2362	0.406855
28	-0.036649	-0.3998	0.345013
29	-0.074647	-0.8143	0.208549
30	-0.069245	-0.7554	0.225758
31	-0.093781	-1.023	0.154184
32	-0.037467	-0.4087	0.34174
33	-0.012428	-0.1356	0.446195
34	-0.087223	-0.9515	0.171643
35	-0.019744	-0.2154	0.41492
36	0.037387	0.4078	0.342059
37	0.086946	0.9485	0.172406
38	-0.07229	-0.7886	0.21596
39	0.136802	1.4923	0.069129
40	0.017924	0.1955	0.422659
41	-0.09402	-1.0256	0.153572
42	0.027221	0.2969	0.383512
43	-0.041396	-0.4516	0.326197
44	-0.003702	-0.0404	0.483927
45	-0.049948	-0.5449	0.293431
46	-0.01248	-0.1361	0.445972
47	-0.110013	-1.2001	0.116243
48	0.099643	1.087	0.139623

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369486b5ymuighelguaoa/1yd4q1291369305.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369486b5ymuighelguaoa/1yd4q1291369305.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369486b5ymuighelguaoa/2yd4q1291369305.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291369486b5ymuighelguaoa/2yd4q1291369305.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 = 1 ; 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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