Home » date » 2010 » Dec » 23 »

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: Thu, 23 Dec 2010 08:12:56 +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/23/t1293091959tl2jwdyj7yfmmky.htm/, Retrieved Thu, 23 Dec 2010 09:12:42 +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/23/t1293091959tl2jwdyj7yfmmky.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 «

206010 198112 194519 185705 180173 176142 203401 221902 197378 185001 176356 180449 180144 173666 165688 161570 156145 153730 182698 200765 176512 166618 158644 159585 163095 159044 155511 153745 150569 150605 179612 194690 189917 184128 175335 179566 181140 177876 175041 169292 166070 166972 206348 215706 202108 195411 193111 195198 198770 194163 190420 189733 186029 191531 232571 243477 227247 217859 208679 213188 216234 213586 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580 208795 197922 194596 194581 185686 178106 172608 167302 168053 202300 202388 182516 173476 166444 171297 169701 164182 161914 159612 151001 158114 186530 187069 174330 169362 166827 178037 186413 189226 191563 188906 186005 195309 223532 226899 etc...

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	0.237247	2.8271	0.002688
2	-0.315694	-3.7619	0.000123
3	-0.304912	-3.6334	0.000195
4	-0.143527	-1.7103	0.044695
5	0.089236	1.0634	0.144711
6	0.111146	1.3245	0.09374
7	0.100269	1.1948	0.11707
8	-0.137018	-1.6328	0.052368
9	-0.263627	-3.1415	0.001023
10	-0.306579	-3.6533	0.000182
11	0.249438	2.9724	0.001736
12	0.82865	9.8745	0
13	0.19369	2.3081	0.01122
14	-0.299292	-3.5665	0.000247
15	-0.291718	-3.4762	0.000337
16	-0.152554	-1.8179	0.035595
17	0.058702	0.6995	0.242687
18	0.09314	1.1099	0.13446
19	0.062717	0.7474	0.228043
20	-0.144973	-1.7276	0.043121
21	-0.251719	-2.9996	0.001597
22	-0.294114	-3.5048	0.000306
23	0.239194	2.8503	0.002509
24	0.725542	8.6458	0
25	0.140313	1.672	0.048361
26	-0.295374	-3.5198	0.00029
27	-0.270472	-3.223	0.000787
28	-0.145948	-1.7392	0.042086
29	0.047171	0.5621	0.287463
30	0.057077	0.6801	0.248759
31	0.043704	0.5208	0.301661
32	-0.14323	-1.7068	0.045024
33	-0.236128	-2.8138	0.002796
34	-0.260946	-3.1095	0.001132
35	0.262387	3.1267	0.001072
36	0.675168	8.0456	0
37	0.087802	1.0463	0.148604
38	-0.282274	-3.3637	0.000494
39	-0.238528	-2.8424	0.002569
40	-0.129986	-1.549	0.061808
41	0.054781	0.6528	0.257472
42	0.063253	0.7537	0.226126
43	0.040661	0.4845	0.314376
44	-0.123939	-1.4769	0.070957
45	-0.216974	-2.5855	0.005365
46	-0.211656	-2.5222	0.006383
47	0.236588	2.8193	0.002751
48	0.601188	7.164	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.237247	2.8271	0.002688
2	-0.394166	-4.697	3e-06
3	-0.13421	-1.5993	0.055989
4	-0.17552	-2.0916	0.019129
5	0.019818	0.2362	0.406827
6	-0.073713	-0.8784	0.190606
7	0.083209	0.9916	0.161551
8	-0.222905	-2.6562	0.004403
9	-0.145901	-1.7386	0.042136
10	-0.421836	-5.0268	1e-06
11	0.363588	4.3326	1.4e-05
12	0.660695	7.8731	0
13	-0.05958	-0.71	0.239442
14	0.02247	0.2678	0.394637
15	0.115771	1.3796	0.084943
16	-0.108607	-1.2942	0.098847
17	-0.011007	-0.1312	0.447915
18	-0.116727	-1.391	0.083206
19	-0.117374	-1.3987	0.082045
20	-0.1382	-1.6468	0.0509
21	-0.067758	-0.8074	0.210386
22	-0.148344	-1.7677	0.039627
23	-0.038116	-0.4542	0.325187
24	0.040863	0.4869	0.313528
25	-0.087897	-1.0474	0.148343
26	-0.064297	-0.7662	0.22242
27	0.073353	0.8741	0.191768
28	-0.05501	-0.6555	0.256597
29	0.039837	0.4747	0.317859
30	-0.134886	-1.6074	0.055099
31	0.044272	0.5276	0.299312
32	-0.109304	-1.3025	0.097426
33	-0.012851	-0.1531	0.439252
34	-0.060084	-0.716	0.237588
35	0.093506	1.1143	0.133525
36	0.035877	0.4275	0.334822
37	-0.02274	-0.271	0.393399
38	-0.02722	-0.3244	0.373072
39	0.102073	1.2163	0.112936
40	-0.125054	-1.4902	0.069196
41	0.110283	1.3142	0.095452
42	-0.06729	-0.8019	0.211988
43	0.059905	0.7139	0.238244
44	-0.057047	-0.6798	0.248871
45	0.042914	0.5114	0.304939
46	-0.046202	-0.5506	0.291398
47	-0.153257	-1.8263	0.034955
48	-0.121954	-1.4533	0.07418

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/23/t1293091959tl2jwdyj7yfmmky/19ps61293091973.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/23/t1293091959tl2jwdyj7yfmmky/19ps61293091973.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/23/t1293091959tl2jwdyj7yfmmky/29ps61293091973.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/23/t1293091959tl2jwdyj7yfmmky/29ps61293091973.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/23/t1293091959tl2jwdyj7yfmmky/31ga91293091973.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/23/t1293091959tl2jwdyj7yfmmky/31ga91293091973.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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 (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')

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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