Home » date » 2009 » Dec » 13 »

deel2 D=1, 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: Sun, 13 Dec 2009 10:47:20 -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/13/t1260726488a7f87p1uap9vgqv.htm/, Retrieved Sun, 13 Dec 2009 18:48:10 +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/13/t1260726488a7f87p1uap9vgqv.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 «

2350.44 2440.25 2408.64 2472.81 2407.6 2454.62 2448.05 2497.84 2645.64 2756.76 2849.27 2921.44 2981.85 3080.58 3106.22 3119.31 3061.26 3097.31 3161.69 3257.16 3277.01 3295.32 3363.99 3494.17 3667.03 3813.06 3917.96 3895.51 3801.06 3570.12 3701.61 3862.27 3970.1 4138.52 4199.75 4290.89 4443.91 4502.64 4356.98 4591.27 4696.96 4621.4 4562.84 4202.52 4296.49 4435.23 4105.18 4116.68 3844.49 3720.98 3674.4 3857.62 3801.06 3504.37 3032.6 3047.03 2962.34 2197.82 2014.45 1862.83 1905.41 1810.99 1670.07 1864.44 2052.02 2029.6 2070.83 2293.41 2443.27 2513.17

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	0.195175	1.4735	0.073053
2	0.086199	0.6508	0.258899
3	0.205287	1.5499	0.063353
4	0.068195	0.5149	0.304319
5	0.298487	2.2535	0.014045
6	0.106227	0.802	0.212943
7	-0.156347	-1.1804	0.121374
8	0.091221	0.6887	0.246902
9	0.051011	0.3851	0.350789
10	-0.044968	-0.3395	0.367741
11	0.119684	0.9036	0.185007
12	-0.423572	-3.1979	0.00113
13	-0.12384	-0.935	0.176873
14	0.162133	1.2241	0.112979
15	-0.118052	-0.8913	0.188265
16	-0.065602	-0.4953	0.311152
17	-0.184306	-1.3915	0.084743
18	-0.196081	-1.4804	0.072139
19	0.026796	0.2023	0.420198
20	-0.135904	-1.026	0.154602
21	-0.158821	-1.1991	0.117731
22	-0.105909	-0.7996	0.213632
23	-0.179979	-1.3588	0.08978
24	-0.086413	-0.6524	0.258383
25	0.016549	0.1249	0.450505
26	-0.119785	-0.9044	0.184806
27	0.005676	0.0429	0.482983
28	0.090026	0.6797	0.249727
29	0.01393	0.1052	0.458305
30	0.026075	0.1969	0.422319
31	-0.08951	-0.6758	0.250954
32	-0.010411	-0.0786	0.468814
33	0.012354	0.0933	0.463009
34	0.012921	0.0976	0.461314
35	-0.003683	-0.0278	0.488958
36	0.064841	0.4895	0.313169
37	0.028865	0.2179	0.414134
38	-0.018471	-0.1395	0.444792
39	-0.014303	-0.108	0.457194
40	-0.061427	-0.4638	0.322293
41	0.022566	0.1704	0.432663
42	0.042361	0.3198	0.375136
43	0.011406	0.0861	0.465838
44	0.006436	0.0486	0.480708
45	0.006475	0.0489	0.48059
46	0.004197	0.0317	0.487415
47	-0.001313	-0.0099	0.496062
48	-0.01539	-0.1162	0.453954
49	-0.023263	-0.1756	0.430603
50	0.01915	0.1446	0.442776
51	0.0173	0.1306	0.448272
52	0.006941	0.0524	0.479195
53	0.005652	0.0427	0.483057
54	-0.005493	-0.0415	0.483532
55	0.01538	0.1161	0.453985
56	0.003324	0.0251	0.490033
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	0.195175	1.4735	0.073053
2	0.050011	0.3776	0.353576
3	0.187122	1.4127	0.081585
4	-0.006251	-0.0472	0.48126
5	0.28971	2.1873	0.01642
6	-0.039908	-0.3013	0.382142
7	-0.216009	-1.6308	0.05422
8	0.059709	0.4508	0.326924
9	0.017017	0.1285	0.449112
10	-0.091988	-0.6945	0.245097
11	0.121975	0.9209	0.180494
12	-0.461772	-3.4863	0.000475
13	0.078172	0.5902	0.278698
14	0.17382	1.3123	0.097338
15	-0.024091	-0.1819	0.428159
16	-0.09183	-0.6933	0.245469
17	-0.024966	-0.1885	0.42558
18	-0.074618	-0.5634	0.287701
19	-0.129057	-0.9744	0.166997
20	-0.044105	-0.333	0.370184
21	0.107833	0.8141	0.209482
22	-0.223889	-1.6903	0.048214
23	0.101195	0.764	0.224007
24	-0.295224	-2.2289	0.01489
25	0.123671	0.9337	0.177199
26	0.172512	1.3024	0.099002
27	0.084435	0.6375	0.263185
28	0.058551	0.4421	0.330062
29	-0.064437	-0.4865	0.314243
30	-0.194723	-1.4701	0.073513
31	-0.117853	-0.8898	0.188664
32	-0.04802	-0.3625	0.359142
33	0.097681	0.7375	0.23193
34	-0.12494	-0.9433	0.174761
35	0.1025	0.7739	0.221107
36	-0.105824	-0.799	0.213817
37	0.037948	0.2865	0.387766
38	0.057561	0.4346	0.332755
39	-0.067574	-0.5102	0.305951
40	-0.012371	-0.0934	0.462956
41	-0.011983	-0.0905	0.464116
42	-0.181988	-1.374	0.087413
43	-0.03321	-0.2507	0.401462
44	0.014293	0.1079	0.457223
45	0.134858	1.0182	0.156454
46	-0.090182	-0.6809	0.249358
47	0.008515	0.0643	0.474485
48	-0.036339	-0.2744	0.392402
49	0.02236	0.1688	0.43327
50	0.055687	0.4204	0.337877
51	-0.025021	-0.1889	0.42542
52	-0.04034	-0.3046	0.380904
53	-0.028023	-0.2116	0.4166
54	-0.123563	-0.9329	0.177408
55	-0.080669	-0.609	0.272461
56	0.003871	0.0292	0.488393
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/13/t1260726488a7f87p1uap9vgqv/1u1po1260726438.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260726488a7f87p1uap9vgqv/1u1po1260726438.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260726488a7f87p1uap9vgqv/23b1k1260726438.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/13/t1260726488a7f87p1uap9vgqv/23b1k1260726438.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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