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Paper PAF IGP d=0 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: Sat, 12 Dec 2009 11:13:42 -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/12/t126064167938d23sya40jtqbu.htm/, Retrieved Sat, 12 Dec 2009 19:14:42 +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/12/t126064167938d23sya40jtqbu.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 «

100.01 103.84 104.48 95.43 104.80 108.64 105.65 108.42 115.35 113.64 115.24 100.33 101.29 104.48 99.26 100.11 103.52 101.18 96.39 97.56 96.39 85.10 79.77 79.13 80.84 82.75 92.55 96.60 96.92 95.32 98.52 100.22 104.91 103.10 97.13 103.42 111.72 118.11 111.62 100.22 102.03 105.76 107.68 110.77 105.44 112.26 114.07 117.90 124.72 126.42 134.73 135.79 143.36 140.37 144.74 151.98 150.92 163.38 154.43 146.66 157.95 162.10 180.42 179.57 171.58 185.43 190.64 203.00 202.36 193.41 186.17 192.24 209.60 206.41 209.82 230.37 235.80 232.07 244.64 242.19 217.48 209.39 211.73 221.00 203.11 214.71 224.19 238.04 238.36 246.24 259.87 249.97 266.48 282.98 306.31 301.73 314.62 332.62 355.51 370.32 408.13 433.58 440.51 386.29 342.84 254.97 203.42 170.09 174.03 167.85 177.01 188.19 211.20 240.91 230.26 251.25 241.66

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	0.932824	9.5586	0
2	0.832946	8.5352	0
3	0.729171	7.4718	0
4	0.621416	6.3676	0
5	0.497882	5.1018	1e-06
6	0.366404	3.7545	0.000143
7	0.245307	2.5136	0.006734
8	0.137135	1.4052	0.081455
9	0.049708	0.5094	0.305788
10	-0.023412	-0.2399	0.405437
11	-0.100206	-1.0268	0.153436
12	-0.166052	-1.7015	0.045902
13	-0.176783	-1.8115	0.036462
14	-0.145934	-1.4954	0.068908
15	-0.102017	-1.0454	0.149128
16	-0.06262	-0.6417	0.261246
17	-0.017731	-0.1817	0.428089
18	0.020415	0.2092	0.417354
19	0.059284	0.6075	0.272423
20	0.091853	0.9412	0.174379
21	0.103859	1.0642	0.14483
22	0.100309	1.0279	0.153189
23	0.088781	0.9097	0.182523
24	0.08648	0.8862	0.188779
25	0.085387	0.875	0.191797
26	0.05775	0.5918	0.27764
27	0.020743	0.2126	0.416043
28	-0.017142	-0.1756	0.430454
29	-0.053578	-0.549	0.292081
30	-0.073916	-0.7574	0.225249
31	-0.100892	-1.0338	0.151794
32	-0.130059	-1.3327	0.092755
33	-0.15497	-1.588	0.05765
34	-0.162053	-1.6606	0.049893
35	-0.152243	-1.56	0.060882
36	-0.151458	-1.552	0.061838

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.932824	9.5586	0
2	-0.286622	-2.937	0.002037
3	-0.026486	-0.2714	0.393306
4	-0.094245	-0.9657	0.1682
5	-0.186247	-1.9085	0.029531
6	-0.098403	-1.0083	0.157807
7	0.005381	0.0551	0.478067
8	-0.026894	-0.2756	0.391707
9	0.064155	0.6574	0.256182
10	-0.018532	-0.1899	0.424878
11	-0.167748	-1.7189	0.044289
12	0.006921	0.0709	0.471799
13	0.333387	3.4162	0.000452
14	0.131234	1.3447	0.090802
15	0.024432	0.2504	0.4014
16	-0.077294	-0.792	0.215064
17	-0.048189	-0.4938	0.311241
18	-0.170651	-1.7486	0.041637
19	0.069821	0.7155	0.237959
20	0.023526	0.2411	0.404984
21	-0.056976	-0.5838	0.280292
22	-0.009998	-0.1024	0.459299
23	-0.114248	-1.1707	0.122186
24	0.035631	0.3651	0.357882
25	0.181586	1.8607	0.032792
26	-0.075967	-0.7784	0.219034
27	0.03019	0.3094	0.378833
28	-0.057448	-0.5887	0.278675
29	-0.110358	-1.1308	0.130352
30	0.093317	0.9562	0.17058
31	-0.080083	-0.8206	0.206863
32	-0.033667	-0.345	0.365397
33	-0.017593	-0.1803	0.428642
34	-0.022966	-0.2353	0.407204
35	0.019021	0.1949	0.42292
36	-0.040867	-0.4188	0.338122

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/12/t126064167938d23sya40jtqbu/18gxl1260641620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t126064167938d23sya40jtqbu/18gxl1260641620.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t126064167938d23sya40jtqbu/22os41260641620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/12/t126064167938d23sya40jtqbu/22os41260641620.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.7 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = -0.7 ; par3 = 0 ; 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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