Statistiek: ACF D=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: Sun, 19 Dec 2010 10:44:26 +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/19/t12927553897mqm2lwf8nv2pny.htm/, Retrieved Sun, 19 Dec 2010 11:43:09 +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/19/t12927553897mqm2lwf8nv2pny.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 «

6.5 6.3 5.9 5.5 5.2 4.9 5.4 5.8 5.7 5.6 5.5 5.4 5.4 5.4 5.5 5.8 5.7 5.4 5.6 5.8 6.2 6.8 6.7 6.7 6.4 6.3 6.3 6.4 6.3 6 6.3 6.3 6.6 7.5 7.8 7.9 7.8 7.6 7.5 7.6 7.5 7.3 7.6 7.5 7.6 7.9 7.9 8.1 8.2 8 7.5 6.8 6.5 6.6 7.6 8 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 8 7.8 7.4 7.4 7.7 7.8 7.8 8 8.1 8.4

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 3 seconds R Server 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.918942 10.0665 0 2 0.784581 8.5947 0 3 0.660943 7.2403 0 4 0.59356 6.5021 0 5 0.582662 6.3827 0 6 0.580388 6.3578 0 7 0.552534 6.0527 0 8 0.499854 5.4756 0 9 0.442563 4.848 2e-06 10 0.398589 4.3663 1.3e-05 11 0.384167 4.2083 2.5e-05 12 0.381179 4.1756 2.8e-05 13 0.350276 3.8371 1e-04 14 0.306166 3.3539 0.000533 15 0.238918 2.6172 0.005003 16 0.151614 1.6608 0.049678 17 0.077477 0.8487 0.198863 18 0.025129 0.2753 0.391788 19 0.011143 0.1221 0.451524 20 0.011635 0.1275 0.449398 21 0.006994 0.0766 0.469528 22 -0.015867 -0.1738 0.431152 23 -0.045477 -0.4982 0.309637 24 -0.060683 -0.6648 0.253742 25 -0.069257 -0.7587 0.224769 26 -0.05998 -0.6571 0.256203 27 -0.072382 -0.7929 0.214698 28 -0.121053 -1.3261 0.093668 29 -0.187688 -2.056 0.020975 30 -0.252376 -2.7646 0.003299 31 -0.279367 -3.0603 0.001364 32 -0.276161 -3.0252 0.00152 33 -0.246545 -2.7008 0.003959 34 -0.213471 -2.3385 0.010509 35 -0.191456 -2.0973 0.019033 36 -0.183655 -2.0118 0.023238 37 -0.192135 -2.1047 0.0187 38 -0.191053 -2.0929 0.019233 39 -0.185209 -2.0289 0.022343 40 -0.178054 -1.9505 0.026725 41 -0.178064 -1.9506 0.026718 42 -0.201891 -2.2116 0.014444 43 -0.238952 -2.6176 0.004998 44 -0.270869 -2.9672 0.001814 45 -0.265837 -2.9121 0.002141 46 -0.227271 -2.4896 0.007079 47 -0.181503 -1.9883 0.02453 48 -0.159438 -1.7466 0.041636 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.918942 10.0665 0 2 -0.38493 -4.2167 2.4e-05 3 0.121945 1.3358 0.092064 4 0.253474 2.7767 0.003187 5 0.147967 1.6209 0.053832 6 -0.101798 -1.1151 0.133509 7 -0.071706 -0.7855 0.216853 8 0.035397 0.3878 0.349443 9 0.032939 0.3608 0.359433 10 -0.021418 -0.2346 0.407451 11 0.087085 0.954 0.171008 12 -0.023802 -0.2607 0.39737 13 -0.205038 -2.2461 0.013264 14 0.10823 1.1856 0.119061 15 -0.156465 -1.714 0.044556 16 -0.239475 -2.6233 0.004919 17 0.044276 0.485 0.314274 18 0.019837 0.2173 0.414172 19 0.098996 1.0844 0.140171 20 -0.100032 -1.0958 0.137682 21 0.038235 0.4188 0.338039 22 0.020892 0.2289 0.409682 23 -0.004885 -0.0535 0.478705 24 0.104388 1.1435 0.12755 25 -0.079125 -0.8668 0.193899 26 0.048703 0.5335 0.297333 27 -0.157645 -1.7269 0.043378 28 -0.09848 -1.0788 0.141421 29 -0.029686 -0.3252 0.3728 30 -0.059157 -0.648 0.2591 31 0.049672 0.5441 0.293681 32 -0.052532 -0.5755 0.283029 33 0.136276 1.4928 0.069053 34 0.024611 0.2696 0.393966 35 0.008553 0.0937 0.462753 36 0.006204 0.068 0.472963 37 -0.019447 -0.213 0.415831 38 0.036984 0.4051 0.343047 39 -0.03224 -0.3532 0.362289 40 0.00246 0.0269 0.489272 41 -0.077963 -0.854 0.197393 42 -0.075789 -0.8302 0.204031 43 -0.074421 -0.8152 0.208275 44 0.055461 0.6075 0.27232 45 0.057657 0.6316 0.264424 46 -0.058859 -0.6448 0.260153 47 -0.036387 -0.3986 0.345449 48 -0.108336 -1.1868 0.118834

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/19/t12927553897mqm2lwf8nv2pny/1moz81292755462.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t12927553897mqm2lwf8nv2pny/1moz81292755462.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t12927553897mqm2lwf8nv2pny/2xxyb1292755462.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t12927553897mqm2lwf8nv2pny/2xxyb1292755462.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t12927553897mqm2lwf8nv2pny/3xxyb1292755462.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t12927553897mqm2lwf8nv2pny/3xxyb1292755462.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 (par8 != '') par8 <- as.numeric(par8) ox <- x if (par8 == '') { if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } } else { x <- log(x,base=par8) } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) bitmap(file='picts.png') op <- par(mfrow=c(2,1)) plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value') if (par8=='') { mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } else { mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } plot(x,type='l', main=mytitle,xlab='time',ylab='value') par(op) dev.off() bitmap(file='pic1.png') racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) dev.off() bitmap(file='pic2.png') rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) 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')

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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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