Home » date » 2009 » Dec » 07 »

acf na diff d & 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, 07 Dec 2009 06:59:41 -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/07/t1260194429z6s0khlxrxkeb29.htm/, Retrieved Mon, 07 Dec 2009 15:00:31 +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/07/t1260194429z6s0khlxrxkeb29.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 «

104.1 90.2 99.2 116.5 98.4 90.6 130.5 107.4 106 196.5 107.8 90.5 123.8 114.7 115.3 197 88.4 93.8 111.3 105.9 123.6 171 97 99.2 126.6 103.4 121.3 129.6 110.8 98.9 122.8 120.9 133.1 203.1 110.2 119.5 135.1 113.9 137.4 157.1 126.4 112.2 128.8 136.8 156.5 215.2 146.7 130.8 133.1 153.4 159.9 174.6 145 112.9 137.8 150.6 162.1 226.4 112.3 126.3

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	-0.596894	-4.0921	8.3e-05
2	0.159391	1.0927	0.140041
3	-0.034827	-0.2388	0.406165
4	-0.13501	-0.9256	0.179696
5	0.231684	1.5883	0.059457
6	-0.064596	-0.4428	0.329954
7	-0.097029	-0.6652	0.254588
8	0.035978	0.2467	0.403125
9	0.042765	0.2932	0.385336
10	-0.095233	-0.6529	0.258505
11	0.326994	2.2418	0.014868
12	-0.488377	-3.3481	0.000805
13	0.30358	2.0812	0.021443
14	-0.125449	-0.86	0.197068
15	0.01619	0.111	0.456048
16	0.093521	0.6411	0.262271
17	-0.145905	-1.0003	0.161149
18	0.173351	1.1884	0.120316
19	-0.154806	-1.0613	0.146989
20	0.047543	0.3259	0.372958
21	0.088409	0.6061	0.273682
22	-0.108519	-0.744	0.230299
23	-0.001571	-0.0108	0.495726
24	0.098646	0.6763	0.251087
25	-0.159651	-1.0945	0.139655
26	0.144202	0.9886	0.163961
27	-0.022587	-0.1548	0.438802
28	-0.115064	-0.7888	0.217084
29	0.144282	0.9891	0.163829
30	-0.203521	-1.3953	0.084746
31	0.217802	1.4932	0.071037
32	-0.048424	-0.332	0.370692
33	-0.103244	-0.7078	0.241282
34	0.090459	0.6202	0.269076
35	-0.026618	-0.1825	0.427993
36	-0.023098	-0.1583	0.43743
37	0.101565	0.6963	0.244836
38	-0.096498	-0.6616	0.255744
39	-0.005716	-0.0392	0.484453
40	0.06371	0.4368	0.332139
41	-0.059349	-0.4069	0.342973
42	0.126438	0.8668	0.195224
43	-0.146646	-1.0054	0.159938
44	0.060221	0.4129	0.340794
45	-0.012222	-0.0838	0.46679
46	0.004121	0.0283	0.488791
47	NA	NA	NA
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	-0.596894	-4.0921	8.3e-05
2	-0.305866	-2.0969	0.020705
3	-0.159653	-1.0945	0.139651
4	-0.335134	-2.2976	0.013042
5	-0.074735	-0.5124	0.3054
6	0.131726	0.9031	0.185548
7	-0.045628	-0.3128	0.377906
8	-0.148529	-1.0183	0.156882
9	0.04065	0.2787	0.390856
10	-0.120323	-0.8249	0.2068
11	0.320665	2.1984	0.016441
12	-0.121673	-0.8342	0.204208
13	-0.080487	-0.5518	0.291854
14	-0.10843	-0.7434	0.230483
15	-0.106996	-0.7335	0.23344
16	-0.17057	-1.1694	0.124076
17	-0.096812	-0.6637	0.25506
18	0.214302	1.4692	0.074223
19	-0.010324	-0.0708	0.471936
20	-0.176526	-1.2102	0.116126
21	0.173162	1.1871	0.120569
22	-0.029687	-0.2035	0.419802
23	-0.019561	-0.1341	0.446946
24	0.022179	0.1521	0.439897
25	-0.033961	-0.2328	0.408455
26	-0.137912	-0.9455	0.174625
27	-0.026567	-0.1821	0.428131
28	-0.144329	-0.9895	0.16375
29	-0.176122	-1.2074	0.116653
30	-0.142849	-0.9793	0.166217
31	-0.013092	-0.0898	0.464432
32	-0.059818	-0.4101	0.341802
33	0.070235	0.4815	0.316194
34	-0.021103	-0.1447	0.442794
35	0.014074	0.0965	0.461771
36	-0.034191	-0.2344	0.407846
37	0.0502	0.3442	0.366132
38	-0.017336	-0.1189	0.45295
39	-0.023879	-0.1637	0.435332
40	-0.057429	-0.3937	0.347788
41	-0.072092	-0.4942	0.311719
42	-0.089792	-0.6156	0.270569
43	0.013913	0.0954	0.462209
44	0.001745	0.012	0.495253
45	-0.028913	-0.1982	0.421865
46	0.038931	0.2669	0.395357
47	NA	NA	NA
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://www.freestatistics.org/blog/date/2009/Dec/07/t1260194429z6s0khlxrxkeb29/1wvjv1260194379.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260194429z6s0khlxrxkeb29/1wvjv1260194379.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260194429z6s0khlxrxkeb29/24uki1260194379.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/07/t1260194429z6s0khlxrxkeb29/24uki1260194379.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

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