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paper acf met D=1

*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, 10 Dec 2010 11:19:24 +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/10/t1291979876etegzjwtx5gc3pb.htm/, Retrieved Fri, 10 Dec 2010 12:17:57 +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/10/t1291979876etegzjwtx5gc3pb.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 «

1.579 2.146 2.462 3.695 4.831 5.134 6.250 5.760 6.249 2.917 1.741 2.359 1.511 2.059 2.635 2.867 4.403 5.720 4.502 5.749 5.627 2.846 1.762 2.429 1.169 2.154 2.249 2.687 4.359 5.382 4.459 6.398 4.596 3.024 1.887 2.070 1.351 2.218 2.461 3.028 4.784 4.975 4.607 6.249 4.809 3.157 1.910 2.228 1.594 2.467 2.222 3.607 4.685 4.962 5.770 5.480 5.000 3.228 1.993 2.288 1.580 2.111 2.192 3.601 4.665 4.876 5.813 5.589 5.331 3.075 2.002 2.306 1.507 1.992 2.487 3.490 4.647 5.594 5.611 5.788 6.204 3.013 1.931 2.549 1.504 2.090 2.702 2.939 4.500 6.208 6.415 5.657 5.964 3.163 1.997 2.422 1.376 2.202 2.683 3.303 5.202 5.231 4.880 7.998 4.977 3.531 2.025 2.205 1.442 2.238 2.179 3.218 5.139 4.990 4.914 6.084 5.672 3.548 1.793 2.086

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.336919	-3.5014	0.000337
2	-0.021308	-0.2214	0.412582
3	0.219673	2.2829	0.012197
4	-0.055926	-0.5812	0.281158
5	0.068436	0.7112	0.239246
6	0.129951	1.3505	0.089841
7	-0.118369	-1.2301	0.110661
8	0.042655	0.4433	0.329223
9	0.13818	1.436	0.076945
10	-0.016509	-0.1716	0.43205
11	0.083592	0.8687	0.193464
12	-0.213401	-2.2177	0.014334
13	0.119086	1.2376	0.109278
14	0.217512	2.2605	0.012899
15	-0.120758	-1.255	0.106102
16	-0.08323	-0.8649	0.194492
17	0.120586	1.2532	0.106426
18	-0.04952	-0.5146	0.303932
19	-0.063965	-0.6647	0.253815
20	0.087255	0.9068	0.183272
21	-0.082208	-0.8543	0.197405
22	-0.153687	-1.5972	0.056576
23	0.242071	2.5157	0.006676
24	-0.117789	-1.2241	0.111789
25	-0.147477	-1.5326	0.064146
26	0.140365	1.4587	0.073773
27	-0.064521	-0.6705	0.251977
28	-1.9e-05	-2e-04	0.499923
29	0.032957	0.3425	0.36632
30	-0.082775	-0.8602	0.195786
31	-0.001277	-0.0133	0.494719
32	0.063026	0.655	0.256934
33	-0.08358	-0.8686	0.193499
34	-0.049817	-0.5177	0.302859
35	0.004465	0.0464	0.481539
36	-0.094242	-0.9794	0.164788
37	0.138058	1.4347	0.077125
38	-0.114847	-1.1935	0.11764
39	-0.024991	-0.2597	0.39779
40	0.065538	0.6811	0.248637
41	0.013557	0.1409	0.444112
42	-0.041328	-0.4295	0.334211
43	0.055629	0.5781	0.282197
44	-0.020026	-0.2081	0.417765
45	-0.039133	-0.4067	0.342524
46	0.121556	1.2633	0.10461
47	-0.027017	-0.2808	0.389711
48	-0.190156	-1.9762	0.025343

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.336919	-3.5014	0.000337
2	-0.152087	-1.5805	0.058454
3	0.184948	1.922	0.028618
4	0.100154	1.0408	0.150139
5	0.122698	1.2751	0.102502
6	0.177936	1.8492	0.033585
7	-0.022325	-0.232	0.408485
8	-0.049764	-0.5172	0.303048
9	0.07832	0.8139	0.208741
10	0.095438	0.9918	0.16175
11	0.133413	1.3865	0.08423
12	-0.245835	-2.5548	0.006009
13	-0.081206	-0.8439	0.200291
14	0.224446	2.3325	0.010764
15	0.136138	1.4148	0.080003
16	-0.141195	-1.4673	0.072595
17	-0.073178	-0.7605	0.224308
18	0.013927	0.1447	0.442594
19	-0.154714	-1.6078	0.055395
20	-0.086164	-0.8954	0.18627
21	0.088618	0.9209	0.179565
22	-0.143346	-1.4897	0.069609
23	0.034467	0.3582	0.360451
24	-0.058938	-0.6125	0.270747
25	-0.083085	-0.8634	0.194903
26	0.14365	1.4929	0.069195
27	0.04257	0.4424	0.329543
28	-0.060725	-0.6311	0.264663
29	0.007052	0.0733	0.470859
30	0.060606	0.6298	0.265066
31	-0.057117	-0.5936	0.277018
32	0.020348	0.2115	0.416463
33	0.077146	0.8017	0.212236
34	-0.203159	-2.1113	0.018527
35	-0.039344	-0.4089	0.341722
36	-0.039254	-0.4079	0.342061
37	0.021756	0.2261	0.410777
38	0.02766	0.2874	0.387159
39	0.078902	0.82	0.20702
40	-0.046735	-0.4857	0.314086
41	0.041933	0.4358	0.331933
42	0.088768	0.9225	0.179162
43	-0.008184	-0.0851	0.466189
44	0.039263	0.408	0.342028
45	0.057098	0.5934	0.277083
46	-0.102629	-1.0666	0.144276
47	0.062662	0.6512	0.258151
48	-0.142765	-1.4837	0.070407

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291979876etegzjwtx5gc3pb/1sdfw1291979961.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291979876etegzjwtx5gc3pb/1sdfw1291979961.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291979876etegzjwtx5gc3pb/2k4ez1291979961.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291979876etegzjwtx5gc3pb/2k4ez1291979961.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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