Home » date » 2009 » Dec » 03 »

ACF met: d=0, D=0, lambda=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: Thu, 03 Dec 2009 15:50:11 -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/t1259880653v1j27chvhr5zmpe.htm/, Retrieved Thu, 03 Dec 2009 23:50:55 +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/t1259880653v1j27chvhr5zmpe.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 «

462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412 406 398 397 385 390 413 413 401 397 397 409 419 424 428 430 424 433 456 459 446 441

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	0.936394	7.3135	0
2	0.853493	6.666	0
3	0.800916	6.2554	0
4	0.773913	6.0445	0
5	0.757963	5.9199	0
6	0.720657	5.6285	0
7	0.645465	5.0412	2e-06
8	0.549159	4.2891	3.3e-05
9	0.468852	3.6618	0.000263
10	0.415354	3.244	0.000957
11	0.398701	3.114	0.001405
12	0.36028	2.8139	0.00329
13	0.252218	1.9699	0.026698
14	0.144131	1.1257	0.13235
15	0.066297	0.5178	0.303238
16	0.014011	0.1094	0.456611
17	-0.019828	-0.1549	0.43872
18	-0.061473	-0.4801	0.31643
19	-0.126824	-0.9905	0.162915
20	-0.210428	-1.6435	0.052713
21	-0.270713	-2.1143	0.019291
22	-0.304843	-2.3809	0.010204
23	-0.313739	-2.4504	0.008577
24	-0.337882	-2.6389	0.005271
25	-0.396131	-3.0939	0.00149
26	-0.445993	-3.4833	0.000461
27	-0.464779	-3.63	0.000291
28	-0.462719	-3.6139	0.000306
29	-0.441872	-3.4511	0.00051
30	-0.420129	-3.2813	0.000856
31	-0.413681	-3.231	0.000995
32	-0.416517	-3.2531	0.000931
33	-0.394022	-3.0774	0.001563
34	-0.363989	-2.8428	0.003037
35	-0.330077	-2.578	0.006184
36	-0.302128	-2.3597	0.010753

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.936394	7.3135	0
2	-0.189507	-1.4801	0.071997
3	0.23335	1.8225	0.036639
4	0.102147	0.7978	0.214042
5	0.085488	0.6677	0.253428
6	-0.152188	-1.1886	0.119596
7	-0.242023	-1.8903	0.031738
8	-0.210634	-1.6451	0.052546
9	-0.032646	-0.255	0.399801
10	-0.001759	-0.0137	0.494543
11	0.270028	2.109	0.019529
12	-0.176552	-1.3789	0.086478
13	-0.432044	-3.3744	0.000645
14	0.091485	0.7145	0.238816
15	-0.019096	-0.1491	0.440966
16	-0.059871	-0.4676	0.320866
17	0.043703	0.3413	0.367015
18	0.017527	0.1369	0.445784
19	0.042593	0.3327	0.370264
20	-0.143014	-1.117	0.134192
21	0.087942	0.6868	0.247391
22	-0.117506	-0.9178	0.181182
23	-0.100124	-0.782	0.218621
24	0.010242	0.08	0.468251
25	0.022594	0.1765	0.430256
26	0.001829	0.0143	0.494324
27	0.132931	1.0382	0.151631
28	-0.032275	-0.2521	0.400914
29	0.101422	0.7921	0.215677
30	-0.001615	-0.0126	0.494988
31	0.094119	0.7351	0.23255
32	-0.011365	-0.0888	0.464781
33	0.059722	0.4664	0.32128
34	-0.198434	-1.5498	0.063179
35	-0.074688	-0.5833	0.280911
36	0.022976	0.1794	0.429091

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259880653v1j27chvhr5zmpe/1tokj1259880608.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259880653v1j27chvhr5zmpe/1tokj1259880608.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259880653v1j27chvhr5zmpe/20dc71259880608.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259880653v1j27chvhr5zmpe/20dc71259880608.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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