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acf na d=1 bakmeel

*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: Tue, 07 Dec 2010 10:13:35 +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/07/t1291716704am4uigv4f70yyvm.htm/, Retrieved Tue, 07 Dec 2010 11:11:44 +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/07/t1291716704am4uigv4f70yyvm.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 «

1.88 1.87 1.88 1.87 1.88 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.88 1.88 1.87 1.87 1.87 1.87 1.87 1.87 1.87 1.86 1.86 1.85 1.84 1.83 1.82 1.78 1.75 1.74 1.74 1.74 1.73 1.73 1.73 1.71 1.7 1.7 1.69 1.68 1.68 1.68 1.68 1.67 1.66 1.65 1.65 1.65

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.345975	2.5658	0.006524
2	0.203954	1.5126	0.068058
3	0.119181	0.8839	0.190307
4	0.190917	1.4159	0.081224
5	0.05536	0.4106	0.341496
6	0.050919	0.3776	0.353581
7	0.148048	1.098	0.138504
8	0.169	1.2533	0.107692
9	0.048216	0.3576	0.361013
10	0.029002	0.2151	0.415249
11	0.075346	0.5588	0.289289
12	0.005347	0.0397	0.484256
13	-0.028641	-0.2124	0.416287
14	-0.033082	-0.2453	0.403554
15	-0.139092	-1.0315	0.153403
16	-0.031344	-0.2325	0.408525
17	-0.010392	-0.0771	0.469424
18	-0.014833	-0.11	0.456404
19	-0.135617	-1.0058	0.159468
20	-0.169605	-1.2578	0.106885
21	-0.030001	-0.2225	0.412377
22	-0.063989	-0.4746	0.318492
23	-0.159381	-1.182	0.121146
24	-0.077025	-0.5712	0.285084
25	-0.121632	-0.902	0.185483
26	-0.10068	-0.7467	0.229224
27	-0.170679	-1.2658	0.105462
28	-0.07355	-0.5455	0.293821
29	-0.092764	-0.688	0.247185
30	0.004365	0.0324	0.487146
31	-0.116419	-0.8634	0.195837
32	-0.084848	-0.6293	0.265894
33	-0.154848	-1.1484	0.127891
34	-0.036481	-0.2706	0.393874
35	0.026945	0.1998	0.421174
36	-0.032435	-0.2405	0.405401
37	-0.000865	-0.0064	0.497454
38	-0.005305	-0.0393	0.484379
39	-0.035138	-0.2606	0.397691
40	-0.003568	-0.0265	0.489494
41	-0.0334	-0.2477	0.402643
42	-0.012449	-0.0923	0.463389
43	0.004348	0.0322	0.487196
44	-0.014866	-0.1103	0.456306
45	-0.019307	-0.1432	0.443335
46	0.037656	0.2793	0.390544
47	-0.00695	-0.0515	0.479539
48	0.014002	0.1038	0.458838
49	-0.041224	-0.3057	0.380484
50	0.00512	0.038	0.484923
51	-0.003475	-0.0258	0.489766
52	0.017477	0.1296	0.448674
53	0.008881	0.0659	0.473863
54	-0.006178	-0.0458	0.481811
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	0.345975	2.5658	0.006524
2	0.095712	0.7098	0.240409
3	0.025518	0.1892	0.425298
4	0.145928	1.0822	0.141937
5	-0.068662	-0.5092	0.306319
6	0.0127	0.0942	0.462653
7	0.142907	1.0598	0.146927
8	0.066383	0.4923	0.312231
9	-0.061551	-0.4565	0.324924
10	-0.004421	-0.0328	0.486981
11	0.036889	0.2736	0.392718
12	-0.069085	-0.5123	0.30523
13	-0.015705	-0.1165	0.453853
14	-0.026707	-0.1981	0.421862
15	-0.192386	-1.4268	0.079649
16	0.088667	0.6576	0.256779
17	0.043328	0.3213	0.37459
18	-0.048447	-0.3593	0.360376
19	-0.110845	-0.822	0.2073
20	-0.11116	-0.8244	0.20664
21	0.10424	0.7731	0.221398
22	-0.003861	-0.0286	0.48863
23	-0.100664	-0.7465	0.229258
24	0.023035	0.1708	0.43249
25	-0.139683	-1.0359	0.152388
26	0.0411	0.3048	0.380833
27	-0.042085	-0.3121	0.378068
28	-0.000732	-0.0054	0.497843
29	-0.059366	-0.4403	0.330734
30	0.093277	0.6918	0.246
31	-0.06369	-0.4723	0.319279
32	-0.057622	-0.4273	0.335403
33	-0.080482	-0.5969	0.276522
34	0.046898	0.3478	0.364657
35	0.077254	0.5729	0.284512
36	-0.000464	-0.0034	0.498632
37	0.014756	0.1094	0.45663
38	-0.082275	-0.6102	0.272131
39	-0.051923	-0.3851	0.350835
40	0.083669	0.6205	0.268744
41	-0.02874	-0.2131	0.416002
42	-0.084309	-0.6253	0.267195
43	0.016189	0.1201	0.452438
44	-0.020264	-0.1503	0.440545
45	-0.018862	-0.1399	0.444631
46	0.025744	0.1909	0.424644
47	-0.079738	-0.5913	0.278354
48	-0.039223	-0.2909	0.386117
49	0.01341	0.0994	0.460572
50	0.070039	0.5194	0.302776
51	-0.08936	-0.6627	0.255142
52	-0.032789	-0.2432	0.404388
53	0.013751	0.102	0.459571
54	-0.04463	-0.331	0.370958
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/2010/Dec/07/t1291716704am4uigv4f70yyvm/1uvnp1291716811.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291716704am4uigv4f70yyvm/1uvnp1291716811.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291716704am4uigv4f70yyvm/2uvnp1291716811.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291716704am4uigv4f70yyvm/2uvnp1291716811.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

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 (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='lags',ylab='ACF')

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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