Autocorrelation Function 2 d=1 D=0
| Summary of compuational 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 |
| 0 | 1 | 7.6811 | 0 |
| 1 | -0.06648 | -0.5106 | 0.694245 |
| 2 | 0.209024 | 1.6055 | 0.056857 |
| 3 | -0.172771 | -1.3271 | 0.905202 |
| 4 | -0.035877 | -0.2756 | 0.608081 |
| 5 | -0.187285 | -1.4386 | 0.922221 |
| 6 | -0.145153 | -1.1149 | 0.865301 |
| 7 | -0.190534 | -1.4635 | 0.925683 |
| 8 | 0.072264 | 0.5551 | 0.290473 |
| 9 | -0.048572 | -0.3731 | 0.64479 |
| 10 | 0.151777 | 1.1658 | 0.124189 |
| 11 | -0.016613 | -0.1276 | 0.550553 |
| 12 | 0.29546 | 2.2695 | 0.013455 |
| 13 | -0.029359 | -0.2255 | 0.588819 |
| 14 | 0.018995 | 0.1459 | 0.442248 |
| 15 | -0.180763 | -1.3885 | 0.914892 |
| 16 | 0.009546 | 0.0733 | 0.470897 |
| 17 | -0.165903 | -1.2743 | 0.896227 |
| 18 | -0.011639 | -0.0894 | 0.535468 |
| 19 | -0.174197 | -1.338 | 0.906989 |
| 20 | 0.153754 | 1.181 | 0.12117 |
| 21 | -0.056038 | -0.4304 | 0.665775 |
| 22 | 0.134584 | 1.0338 | 0.152734 |
| 23 | 0.025806 | 0.1982 | 0.421777 |
| 24 | 0.161941 | 1.2439 | 0.109229 |
| 25 | 0.025429 | 0.1953 | 0.422905 |
| 26 | 0.071857 | 0.5519 | 0.291536 |
| 27 | -0.028846 | -0.2216 | 0.587294 |
| 28 | 0.025181 | 0.1934 | 0.423649 |
| 29 | -0.110328 | -0.8474 | 0.799914 |
| 30 | -0.084497 | -0.649 | 0.740583 |
| 31 | -0.167347 | -1.2854 | 0.898166 |
| 32 | -0.023767 | -0.1826 | 0.572114 |
| 33 | -0.049712 | -0.3818 | 0.648027 |
| 34 | 0.126716 | 0.9733 | 0.167183 |
| 35 | -0.000758 | -0.0058 | 0.502314 |
| 36 | 0.129784 | 0.9969 | 0.161444 |
| 37 | 0.066852 | 0.5135 | 0.304759 |
| 38 | 0.062546 | 0.4804 | 0.316352 |
| 39 | -0.107521 | -0.8259 | 0.793901 |
| 40 | -0.026458 | -0.2032 | 0.580171 |
| 41 | -0.078387 | -0.6021 | 0.725294 |
| 42 | -0.077094 | -0.5922 | 0.722001 |
| 43 | 0.029987 | 0.2303 | 0.409315 |
| 44 | -0.100757 | -0.7739 | 0.778968 |
| 45 | 0.049766 | 0.3823 | 0.351822 |
| 46 | 0.166513 | 1.279 | 0.10295 |
| 47 | 0.073741 | 0.5664 | 0.28663 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | -0.06648 | -0.5106 | 0.694245 |
| 1 | 0.205513 | 1.5786 | 0.059891 |
| 2 | -0.155284 | -1.1928 | 0.881131 |
| 3 | -0.097851 | -0.7516 | 0.772363 |
| 4 | -0.135385 | -1.0399 | 0.848687 |
| 5 | -0.173562 | -1.3332 | 0.906197 |
| 6 | -0.18986 | -1.4583 | 0.924975 |
| 7 | 0.055951 | 0.4298 | 0.334464 |
| 8 | -0.055021 | -0.4226 | 0.662948 |
| 9 | 0.022077 | 0.1696 | 0.432963 |
| 10 | -0.047363 | -0.3638 | 0.641346 |
| 11 | 0.206518 | 1.5863 | 0.059009 |
| 12 | -0.00614 | -0.0472 | 0.518728 |
| 13 | -0.093523 | -0.7184 | 0.762315 |
| 14 | -0.100868 | -0.7748 | 0.779218 |
| 15 | 0.043898 | 0.3372 | 0.368586 |
| 16 | -0.0713 | -0.5477 | 0.707007 |
| 17 | -0.028238 | -0.2169 | 0.585482 |
| 18 | -0.108436 | -0.8329 | 0.795873 |
| 19 | 0.049806 | 0.3826 | 0.351708 |
| 20 | -0.069765 | -0.5359 | 0.70297 |
| 21 | -0.02969 | -0.2281 | 0.589803 |
| 22 | 0.058499 | 0.4493 | 0.327416 |
| 23 | 0.045576 | 0.3501 | 0.363765 |
| 24 | 0.031092 | 0.2388 | 0.406035 |
| 25 | 0.079112 | 0.6077 | 0.272868 |
| 26 | 0.13151 | 1.0101 | 0.158275 |
| 27 | 0.027109 | 0.2082 | 0.417884 |
| 28 | -0.008499 | -0.0653 | 0.525914 |
| 29 | -0.066965 | -0.5144 | 0.695541 |
| 30 | -0.056986 | -0.4377 | 0.668404 |
| 31 | -0.103106 | -0.792 | 0.784226 |
| 32 | -0.032548 | -0.25 | 0.598273 |
| 33 | 0.068298 | 0.5246 | 0.30091 |
| 34 | -0.04217 | -0.3239 | 0.626425 |
| 35 | -0.059164 | -0.4544 | 0.674413 |
| 36 | 0.077045 | 0.5918 | 0.278125 |
| 37 | 0.022679 | 0.1742 | 0.431152 |
| 38 | -0.114737 | -0.8813 | 0.809137 |
| 39 | -0.02015 | -0.1548 | 0.561236 |
| 40 | 0.103603 | 0.7958 | 0.214672 |
| 41 | -0.033602 | -0.2581 | 0.601387 |
| 42 | 0.119656 | 0.9191 | 0.180893 |
| 43 | -0.085495 | -0.6567 | 0.743037 |
| 44 | -0.03716 | -0.2854 | 0.611844 |
| 45 | 0.126389 | 0.9708 | 0.167802 |
| 46 | 0.041646 | 0.3199 | 0.37509 |
| 47 | -0.019472 | -0.1496 | 0.559193 |
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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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
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