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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: Mon, 08 Dec 2008 17:29:53 -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/09/t1228782639j8i4ll4ivjkjqcz.htm/, Retrieved Tue, 09 Dec 2008 00:30:41 +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/09/t1228782639j8i4ll4ivjkjqcz.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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.175177	-1.2137	0.115408
2	-0.318043	-2.2035	0.016197
3	0.002365	0.0164	0.493498
4	-0.124798	-0.8646	0.195772
5	0.338358	2.3442	0.011627
6	0.079409	0.5502	0.29238
7	-0.2807	-1.9447	0.028839
8	0.023709	0.1643	0.435109
9	-0.083	-0.575	0.283976
10	0.297401	2.0605	0.022399
11	0.257603	1.7847	0.040313
12	-0.515301	-3.5701	0.000411
13	-0.052873	-0.3663	0.357869
14	0.226553	1.5696	0.061538
15	0.012929	0.0896	0.464499
16	0.181588	1.2581	0.107225
17	-0.305392	-2.1158	0.019787
18	-0.081986	-0.568	0.286337
19	0.08654	0.5996	0.275807
20	0.070019	0.4851	0.314903
21	0.167428	1.16	0.125898
22	-0.183351	-1.2703	0.105052
23	-0.226927	-1.5722	0.061237
24	0.221005	1.5312	0.066147
25	0.073714	0.5107	0.30595
26	-0.084366	-0.5845	0.280809
27	-0.023192	-0.1607	0.43651
28	-0.113777	-0.7883	0.217207
29	0.027426	0.19	0.42505
30	0.100503	0.6963	0.244799
31	-0.006065	-0.042	0.483329
32	-0.018006	-0.1248	0.450621
33	-0.108071	-0.7487	0.228834
34	0.072047	0.4992	0.309974
35	0.032665	0.2263	0.410959
36	-0.017908	-0.1241	0.450888
37	-0.055913	-0.3874	0.350095
38	0.030706	0.2127	0.416217
39	0.003	0.0208	0.491751
40	0.001203	0.0083	0.496692
41	0.036241	0.2511	0.401411
42	-0.012526	-0.0868	0.465602
43	-0.090834	-0.6293	0.266064
44	0.029072	0.2014	0.420613
45	0.037495	0.2598	0.398075
46	-0.002827	-0.0196	0.492226
47	-0.027944	-0.1936	0.423652
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
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	-0.175177	-1.2137	0.115408
2	-0.35977	-2.4926	0.008093
3	-0.16166	-1.12	0.134141
4	-0.339604	-2.3528	0.011388
5	0.210266	1.4568	0.075846
6	0.096519	0.6687	0.253444
7	-0.04026	-0.2789	0.390748
8	0.023022	0.1595	0.436972
9	-0.136487	-0.9456	0.174543
10	0.260344	1.8037	0.038777
11	0.328997	2.2794	0.013566
12	-0.187362	-1.2981	0.100231
13	-0.06502	-0.4505	0.3272
14	0.105827	0.7332	0.233505
15	-0.028472	-0.1973	0.422229
16	0.027388	0.1897	0.425153
17	-0.164114	-1.137	0.130588
18	0.056967	0.3947	0.347415
19	-0.246771	-1.7097	0.046892
20	-0.012698	-0.088	0.465131
21	-0.074289	-0.5147	0.304567
22	0.026764	0.1854	0.426838
23	0.027474	0.1903	0.42492
24	-0.035144	-0.2435	0.404335
25	-0.009375	-0.065	0.474242
26	-0.091647	-0.6349	0.264238
27	0.056929	0.3944	0.34751
28	0.068345	0.4735	0.318998
29	-0.134706	-0.9333	0.177676
30	-0.023858	-0.1653	0.434703
31	-0.056861	-0.3939	0.347683
32	-0.017009	-0.1178	0.453341
33	0.090237	0.6252	0.267407
34	0.03695	0.256	0.399524
35	-0.097812	-0.6777	0.25062
36	-0.004855	-0.0336	0.486654
37	0.000236	0.0016	0.499351
38	0.03568	0.2472	0.402903
39	0.015254	0.1057	0.458137
40	0.068881	0.4772	0.317686
41	-0.02619	-0.1815	0.428388
42	-0.003653	-0.0253	0.489958
43	-0.126152	-0.874	0.193234
44	-0.046773	-0.3241	0.373653
45	-0.004518	-0.0313	0.48758
46	-0.005143	-0.0356	0.485862
47	-0.129794	-0.8992	0.186507
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
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/09/t1228782639j8i4ll4ivjkjqcz/1lavx1228782591.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782639j8i4ll4ivjkjqcz/1lavx1228782591.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782639j8i4ll4ivjkjqcz/2r0291228782591.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782639j8i4ll4ivjkjqcz/2r0291228782591.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

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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