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WS9 ACF : d=2, D=0 en 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: Fri, 04 Dec 2009 07:08:10 -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/04/t1259935762eo7f138smnsbx4k.htm/, Retrieved Fri, 04 Dec 2009 15:09:24 +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/04/t1259935762eo7f138smnsbx4k.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 «

9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3

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	-0.033229	-0.2552	0.399714
2	-0.29232	-2.2453	0.014253
3	-0.294222	-2.26	0.013765
4	-0.248659	-1.91	0.0305
5	0.073637	0.5656	0.2869
6	0.427437	3.2832	0.000864
7	0.160783	1.235	0.110864
8	-0.086625	-0.6654	0.254201
9	-0.211438	-1.6241	0.054844
10	-0.212132	-1.6294	0.054276
11	-0.058233	-0.4473	0.328151
12	0.484756	3.7235	0.000221
13	-0.125582	-0.9646	0.169338
14	-0.083167	-0.6388	0.262706
15	0.015326	0.1177	0.453343
16	-0.069883	-0.5368	0.296719
17	-0.011587	-0.089	0.464691
18	0.123857	0.9514	0.17265
19	-0.000105	-8e-04	0.49968
20	-0.056264	-0.4322	0.333595
21	-0.003652	-0.0281	0.488858
22	-0.074723	-0.574	0.28409
23	-0.005793	-0.0445	0.482329
24	0.293295	2.2528	0.014001
25	-0.190628	-1.4642	0.074218
26	-0.060629	-0.4657	0.321572
27	0.004756	0.0365	0.485491
28	-0.040929	-0.3144	0.377171
29	0.044397	0.341	0.367151
30	0.101564	0.7801	0.219218
31	0.049028	0.3766	0.353915
32	-0.080776	-0.6204	0.268676
33	-0.166104	-1.2759	0.103501
34	0.004786	0.0368	0.485399
35	0.075814	0.5823	0.281278
36	0.246387	1.8925	0.031664

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.033229	-0.2552	0.399714
2	-0.293748	-2.2563	0.013885
3	-0.346826	-2.664	0.00497
4	-0.489509	-3.76	0.000196
5	-0.455758	-3.5007	0.000445
6	-0.16403	-1.2599	0.106327
7	-0.181669	-1.3954	0.084059
8	-0.129459	-0.9944	0.162047
9	-0.086851	-0.6671	0.25365
10	-0.0793	-0.6091	0.272394
11	-0.204344	-1.5696	0.060929
12	0.394343	3.029	0.001819
13	-0.230836	-1.7731	0.040688
14	-0.154901	-1.1898	0.119442
15	-0.071386	-0.5483	0.292769
16	-0.009682	-0.0744	0.470485
17	-0.075537	-0.5802	0.281991
18	-0.148249	-1.1387	0.12971
19	0.014856	0.1141	0.454769
20	0.023611	0.1814	0.428352
21	0.141841	1.0895	0.140181
22	-0.079856	-0.6134	0.270989
23	-0.034559	-0.2655	0.395793
24	0.16748	1.2864	0.101658
25	0.067296	0.5169	0.303575
26	0.066898	0.5139	0.304637
27	-0.098985	-0.7603	0.225046
28	0.01497	0.115	0.454423
29	0.039382	0.3025	0.381667
30	-0.062848	-0.4827	0.315533
31	0.030249	0.2323	0.408536
32	0.011435	0.0878	0.465155
33	-0.230417	-1.7699	0.040958
34	0.007798	0.0599	0.476218
35	-0.063671	-0.4891	0.313303
36	-0.041721	-0.3205	0.374873

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935762eo7f138smnsbx4k/1jxbg1259935688.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935762eo7f138smnsbx4k/1jxbg1259935688.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935762eo7f138smnsbx4k/25dks1259935688.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259935762eo7f138smnsbx4k/25dks1259935688.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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