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d=2

*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, 03 Dec 2009 08:04:47 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/03/t1259852767s7t0wisidsvun3v.htm/, Retrieved Thu, 03 Dec 2009 16:06:09 +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/2009/Dec/03/t1259852767s7t0wisidsvun3v.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

267413 267366 264777 258863 254844 254868 277267 285351 286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.615461	-4.4806	2e-05
2	0.117236	0.8535	0.198615
3	0.045772	0.3332	0.37014
4	0.051363	0.3739	0.354974
5	-0.157697	-1.148	0.128052
6	0.124766	0.9083	0.183913
7	-0.100471	-0.7314	0.233866
8	0.067989	0.495	0.311335
9	0.065382	0.476	0.318021
10	-0.342444	-2.493	0.007912
11	0.52002	3.7858	0.000196
12	-0.375653	-2.7348	0.004235
13	0.074934	0.5455	0.29384
14	0.014696	0.107	0.4576
15	0.09315	0.6781	0.250315
16	-0.165414	-1.2042	0.116926
17	0.205175	1.4937	0.070593
18	-0.187455	-1.3647	0.089058
19	0.125817	0.916	0.181918
20	-0.028897	-0.2104	0.417093
21	-0.097995	-0.7134	0.239359
22	0.138437	1.0078	0.159056
23	-0.088463	-0.644	0.261169
24	0.00513	0.0373	0.485174
25	-0.022819	-0.1661	0.434347
26	0.098695	0.7185	0.237799
27	-0.096028	-0.6991	0.243775
28	0.025744	0.1874	0.426022
29	-0.037209	-0.2709	0.393767
30	0.039189	0.2853	0.388262
31	0.006009	0.0437	0.482637
32	-0.052094	-0.3793	0.353008
33	0.082786	0.6027	0.274643
34	-0.07008	-0.5102	0.306017
35	0.066169	0.4817	0.315995
36	-0.049055	-0.3571	0.361207

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.615461	-4.4806	2e-05
2	-0.421044	-3.0652	0.001709
3	-0.216855	-1.5787	0.060175
4	0.069203	0.5038	0.308243
5	-0.046746	-0.3403	0.367482
6	-0.038683	-0.2816	0.389667
7	-0.160125	-1.1657	0.124472
8	-0.106955	-0.7786	0.219825
9	0.166482	1.212	0.115443
10	-0.3831	-2.789	0.003664
11	0.160308	1.1671	0.124204
12	0.003223	0.0235	0.490684
13	-0.084416	-0.6146	0.270739
14	-0.126136	-0.9183	0.181315
15	-0.09891	-0.7201	0.23732
16	0.05729	0.4171	0.339153
17	0.153284	1.1159	0.134744
18	0.024312	0.177	0.430094
19	0.008643	0.0629	0.475034
20	-0.099304	-0.7229	0.236446
21	0.064187	0.4673	0.321105
22	-0.094364	-0.687	0.247545
23	-0.045911	-0.3342	0.36976
24	0.020397	0.1485	0.44126
25	-0.097464	-0.7095	0.240547
26	-0.013978	-0.1018	0.459664
27	0.062202	0.4528	0.326256
28	-0.172239	-1.2539	0.107687
29	-0.051415	-0.3743	0.354834
30	-0.195574	-1.4238	0.080182
31	-0.010829	-0.0788	0.468729
32	-0.083523	-0.6081	0.272874
33	0.00053	0.0039	0.498467
34	-0.09208	-0.6704	0.252772
35	-0.04339	-0.3159	0.376666
36	0.076497	0.5569	0.289968

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259852767s7t0wisidsvun3v/1vacu1259852685.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259852767s7t0wisidsvun3v/1vacu1259852685.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259852767s7t0wisidsvun3v/2z5oq1259852685.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259852767s7t0wisidsvun3v/2z5oq1259852685.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; 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 (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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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