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ACF d=1 en 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: Sat, 06 Dec 2008 05:54:17 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/06/t1228568094gkkcot0rj7f9lui.htm/, Retrieved Sat, 06 Dec 2008 12:54:55 +0000

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/2008/Dec/06/t1228568094gkkcot0rj7f9lui.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

92.66 94.2 94.37 94.45 94.62 94.37 93.43 94.79 94.88 94.79 94.62 94.71 93.77 95.73 95.99 95.82 95.47 95.82 94.71 96.33 96.5 96.16 96.33 96.33 95.05 96.84 96.92 97.44 97.78 97.69 96.67 98.29 98.2 98.71 98.54 98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.17291	1.2706	0.104655
2	0.080452	0.5912	0.278428
3	0.027238	0.2002	0.421055
4	-0.195874	-1.4394	0.077909
5	-0.062487	-0.4592	0.323972
6	-0.482286	-3.5441	0.000411
7	-0.311542	-2.2894	0.012997
8	-0.125762	-0.9242	0.179758
9	-0.023047	-0.1694	0.433073
10	0.184897	1.3587	0.089943
11	0.284777	2.0927	0.020546
12	0.129347	0.9505	0.173046
13	0.262323	1.9277	0.029581
14	0.220878	1.6231	0.055194
15	-0.026008	-0.1911	0.424574
16	0.056563	0.4156	0.339657
17	-0.234417	-1.7226	0.045341
18	-0.252764	-1.8574	0.034353
19	-0.168816	-1.2405	0.110069
20	-0.152088	-1.1176	0.13434
21	0.021754	0.1599	0.436796
22	-0.046875	-0.3445	0.36592
23	-0.029455	-0.2164	0.414728
24	0.288678	2.1213	0.01925
25	0.142642	1.0482	0.149608
26	0.065841	0.4838	0.315232
27	0.111704	0.8209	0.20767
28	-0.077893	-0.5724	0.284715
29	0.05995	0.4405	0.330653
30	-0.180091	-1.3234	0.095641
31	-0.126651	-0.9307	0.178079
32	-0.063025	-0.4631	0.322565
33	-0.186817	-1.3728	0.087742
34	0.012066	0.0887	0.464839
35	-0.070789	-0.5202	0.302528
36	0.08399	0.6172	0.269849
37	0.109833	0.8071	0.211574
38	0.09546	0.7015	0.243007
39	0.054672	0.4018	0.344725
40	0.033277	0.2445	0.403872
41	0.045799	0.3366	0.368879
42	-0.078497	-0.5768	0.283225
43	-0.074949	-0.5508	0.292034
44	-0.121795	-0.895	0.187379
45	-0.016966	-0.1247	0.450623
46	-0.024793	-0.1822	0.428058
47	-0.01397	-0.1027	0.459308
48	0.03941	0.2896	0.386615
49	-0.014127	-0.1038	0.45885
50	0.045313	0.333	0.370218
51	0.014081	0.1035	0.458985
52	0.003032	0.0223	0.491154
53	0.014899	0.1095	0.456612
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.17291	1.2706	0.104655
2	0.052112	0.3829	0.351633
3	0.005211	0.0383	0.484799
4	-0.212266	-1.5598	0.062321
5	0.001706	0.0125	0.495021
6	-0.480698	-3.5324	0.000426
7	-0.198351	-1.4576	0.075375
8	-0.115918	-0.8518	0.199037
9	0.036936	0.2714	0.39355
10	0.035443	0.2605	0.397754
11	0.287911	2.1157	0.019499
12	-0.21081	-1.5491	0.063596
13	0.110408	0.8113	0.21037
14	0.064326	0.4727	0.319166
15	-0.012364	-0.0909	0.46397
16	0.17676	1.2989	0.099747
17	0.107053	0.7867	0.217455
18	-0.208099	-1.5292	0.066025
19	-0.000627	-0.0046	0.49817
20	0.090155	0.6625	0.255234
21	-0.053471	-0.3929	0.34796
22	0.000602	0.0044	0.498243
23	-0.11945	-0.8778	0.191978
24	0.047692	0.3505	0.363677
25	-0.126241	-0.9277	0.178851
26	-0.010317	-0.0758	0.469924
27	-0.010556	-0.0776	0.469228
28	0.034284	0.2519	0.401024
29	0.012115	0.089	0.464695
30	-0.143631	-1.0555	0.147955
31	0.0719	0.5284	0.299709
32	-0.034846	-0.2561	0.399436
33	-0.04672	-0.3433	0.366346
34	-0.004251	-0.0312	0.487598
35	-0.140602	-1.0332	0.153056
36	0.027458	0.2018	0.420426
37	0.01798	0.1321	0.447687
38	-0.012942	-0.0951	0.462291
39	-0.04627	-0.34	0.367582
40	-0.037066	-0.2724	0.393185
41	-0.083657	-0.6147	0.270651
42	-0.043977	-0.3232	0.37391
43	0.01824	0.134	0.446935
44	0.046396	0.3409	0.367235
45	-0.025294	-0.1859	0.426621
46	0.100218	0.7364	0.232323
47	-0.011314	-0.0831	0.467024
48	-0.07328	-0.5385	0.296225
49	-0.030394	-0.2233	0.412053
50	-0.025156	-0.1849	0.427016
51	-0.056313	-0.4138	0.340325
52	-0.017707	-0.1301	0.448477
53	-0.007876	-0.0579	0.47703
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228568094gkkcot0rj7f9lui/13fzs1228568051.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228568094gkkcot0rj7f9lui/13fzs1228568051.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228568094gkkcot0rj7f9lui/267211228568051.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228568094gkkcot0rj7f9lui/267211228568051.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.2 ; par3 = 1 ; par4 = 1 ; par5 = 6 ;

Parameters (R input):

par1 = 60 ; par2 = -1.2 ; par3 = 1 ; par4 = 1 ; par5 = 6 ;

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 (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 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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