ACF - Serie 1 - D=1 en d=1 - paper
| Summary of compuational transaction | |
| Raw Input | view raw input (R code) |
| Raw Output | view raw output of R engine |
| Computing time | 1 seconds |
| R Server | 'Gwilym Jenkins' @ 72.249.127.135 |
| Autocorrelation Function | |||
| Time lag k | ACF(k) | T-STAT | P-value |
| 0 | 1 | 6.8557 | 0 |
| 1 | -0.352175 | -2.4144 | 0.990146 |
| 2 | 0.029033 | 0.199 | 0.421545 |
| 3 | -0.055311 | -0.3792 | 0.646875 |
| 4 | -0.192553 | -1.3201 | 0.903399 |
| 5 | 0.108563 | 0.7443 | 0.230209 |
| 6 | 0.047538 | 0.3259 | 0.372972 |
| 7 | -0.083323 | -0.5712 | 0.714719 |
| 8 | -0.000884 | -0.0061 | 0.502404 |
| 9 | 0.200646 | 1.3756 | 0.087739 |
| 10 | -0.069969 | -0.4797 | 0.683162 |
| 11 | -0.017199 | -0.1179 | 0.546679 |
| 12 | -0.189268 | -1.2976 | 0.899613 |
| 13 | -0.073724 | -0.5054 | 0.692188 |
| 14 | 0.030862 | 0.2116 | 0.416674 |
| 15 | 0.229638 | 1.5743 | 0.061061 |
| 16 | -0.241383 | -1.6548 | 0.94769 |
| 17 | 0.109018 | 0.7474 | 0.229276 |
| 18 | 0.095349 | 0.6537 | 0.258252 |
| 19 | -0.112103 | -0.7685 | 0.776993 |
| 20 | 0.184435 | 1.2644 | 0.106157 |
| 21 | -0.188797 | -1.2943 | 0.899061 |
| 22 | -0.091827 | -0.6295 | 0.733976 |
| 23 | 0.10578 | 0.7252 | 0.235965 |
| 24 | 0.074474 | 0.5106 | 0.306021 |
| 25 | 0.022462 | 0.154 | 0.439137 |
| 26 | 0.106939 | 0.7331 | 0.233558 |
| 27 | -0.175479 | -1.203 | 0.882503 |
| 28 | 0.072451 | 0.4967 | 0.310858 |
| 29 | -0.052991 | -0.3633 | 0.64099 |
| 30 | -0.064573 | -0.4427 | 0.66999 |
| 31 | -0.010777 | -0.0739 | 0.529293 |
| 32 | -0.017974 | -0.1232 | 0.548773 |
| 33 | 0.164503 | 1.1278 | 0.13257 |
| 34 | -0.070783 | -0.4853 | 0.685129 |
| 35 | 0.060535 | 0.415 | 0.340013 |
| 36 | -0.121819 | -0.8351 | 0.79607 |
| 37 | -0.074477 | -0.5106 | 0.693987 |
| 38 | 0.102746 | 0.7044 | 0.242333 |
| 39 | -0.040394 | -0.2769 | 0.608476 |
| 40 | 0.07319 | 0.5018 | 0.309087 |
| 41 | -0.015712 | -0.1077 | 0.542661 |
| 42 | -0.023549 | -0.1614 | 0.563782 |
| 43 | 0.069853 | 0.4789 | 0.31712 |
| 44 | -0.057253 | -0.3925 | 0.651771 |
| 45 | 0.046136 | 0.3163 | 0.376589 |
| 46 | -0.039853 | -0.2732 | 0.607058 |
| 47 | NA | NA | NA |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | -0.352175 | -2.4144 | 0.990146 |
| 1 | -0.108445 | -0.7435 | 0.769548 |
| 2 | -0.09492 | -0.6507 | 0.740808 |
| 3 | -0.28433 | -1.9493 | 0.971377 |
| 4 | -0.099159 | -0.6798 | 0.750017 |
| 5 | 0.024393 | 0.1672 | 0.433954 |
| 6 | -0.114644 | -0.786 | 0.782082 |
| 7 | -0.146644 | -1.0053 | 0.840059 |
| 8 | 0.212897 | 1.4596 | 0.075533 |
| 9 | 0.123455 | 0.8464 | 0.200819 |
| 10 | -0.048044 | -0.3294 | 0.628332 |
| 11 | -0.233512 | -1.6009 | 0.941948 |
| 12 | -0.168736 | -1.1568 | 0.873399 |
| 13 | -0.178038 | -1.2206 | 0.885831 |
| 14 | 0.080789 | 0.5539 | 0.29115 |
| 15 | -0.283691 | -1.9449 | 0.971108 |
| 16 | -0.163068 | -1.1179 | 0.865362 |
| 17 | 0.134704 | 0.9235 | 0.180236 |
| 18 | 0.012431 | 0.0852 | 0.466224 |
| 19 | 0.046862 | 0.3213 | 0.374714 |
| 20 | 0.039732 | 0.2724 | 0.393257 |
| 21 | -0.021757 | -0.1492 | 0.558967 |
| 22 | -0.05416 | -0.3713 | 0.643959 |
| 23 | -0.057836 | -0.3965 | 0.653237 |
| 24 | 0.011329 | 0.0777 | 0.469212 |
| 25 | 0.132498 | 0.9084 | 0.184161 |
| 26 | -0.064875 | -0.4448 | 0.670733 |
| 27 | -0.017772 | -0.1218 | 0.548228 |
| 28 | -0.075477 | -0.5174 | 0.696363 |
| 29 | -0.040162 | -0.2753 | 0.607869 |
| 30 | 0.019407 | 0.133 | 0.447361 |
| 31 | -0.12068 | -0.8273 | 0.793887 |
| 32 | 0.062668 | 0.4296 | 0.334714 |
| 33 | 0.004536 | 0.0311 | 0.487663 |
| 34 | -0.09674 | -0.6632 | 0.744784 |
| 35 | 0.012151 | 0.0833 | 0.466981 |
| 36 | -0.049901 | -0.3421 | 0.633101 |
| 37 | 0.013098 | 0.0898 | 0.464416 |
| 38 | -0.012463 | -0.0854 | 0.533864 |
| 39 | 0.030713 | 0.2106 | 0.41707 |
| 40 | -0.022856 | -0.1567 | 0.561922 |
| 41 | -0.045858 | -0.3144 | 0.62269 |
| 42 | -0.066183 | -0.4537 | 0.673943 |
| 43 | -0.09048 | -0.6203 | 0.730971 |
| 44 | 0.089548 | 0.6139 | 0.271118 |
| 45 | 0.015961 | 0.1094 | 0.456667 |
| 46 | NA | NA | NA |
| 47 | NA | NA | NA |
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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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