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deel2 ACF d=2

*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: Tue, 15 Dec 2009 13:48:16 -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/15/t1260910167bt7invnb2sgao3r.htm/, Retrieved Tue, 15 Dec 2009 21:49:29 +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/15/t1260910167bt7invnb2sgao3r.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	-0.362498	-2.9892	0.001945
2	-0.234612	-1.9347	0.028597
3	0.093061	0.7674	0.22275
4	-0.007031	-0.058	0.476967
5	0.204408	1.6856	0.048229
6	-0.187683	-1.5477	0.063171
7	-0.131489	-1.0843	0.141034
8	0.205157	1.6918	0.047635
9	0.042769	0.3527	0.362709
10	-0.308073	-2.5404	0.00668
11	0.28016	2.3103	0.011957
12	-0.043959	-0.3625	0.359055
13	-0.130222	-1.0738	0.143346
14	0.157113	1.2956	0.09975
15	-0.124394	-1.0258	0.154316
16	0.17865	1.4732	0.072658
17	-0.08717	-0.7188	0.237356
18	-0.179036	-1.4764	0.07223
19	0.217988	1.7976	0.038342
20	-0.032137	-0.265	0.395903
21	-0.054199	-0.4469	0.32817
22	-0.02363	-0.1949	0.423043
23	0.014001	0.1155	0.454213
24	-0.042641	-0.3516	0.363104
25	0.105956	0.8737	0.192669
26	-0.09497	-0.7831	0.218131
27	-0.007802	-0.0643	0.474447
28	0.121134	0.9989	0.160693
29	-0.07344	-0.6056	0.273399
30	0.019745	0.1628	0.43557
31	-0.035143	-0.2898	0.386426
32	0.039916	0.3292	0.371524
33	-0.003612	-0.0298	0.488164
34	0.018928	0.1561	0.438214
35	-0.109421	-0.9023	0.185038
36	0.055951	0.4614	0.322997
37	0.053237	0.439	0.331024
38	-0.04915	-0.4053	0.343265
39	0.020544	0.1694	0.432987
40	-0.042561	-0.351	0.363348
41	0.034023	0.2806	0.38995
42	0.028665	0.2364	0.406924
43	-0.023579	-0.1944	0.423207
44	0.021189	0.1747	0.430906
45	-0.025639	-0.2114	0.416595
46	0.014596	0.1204	0.452276
47	-0.014458	-0.1192	0.452724
48	0.015254	0.1258	0.450134
49	-0.056464	-0.4656	0.321491
50	0.046291	0.3817	0.351927
51	-0.001642	-0.0135	0.494619
52	-0.008578	-0.0707	0.471907
53	0.026552	0.219	0.413671
54	-0.050926	-0.4199	0.337925
55	0.07037	0.5803	0.281819
56	-0.030828	-0.2542	0.400048
57	-0.005316	-0.0438	0.482581
58	-0.000678	-0.0056	0.497778
59	0.001719	0.0142	0.494366
60	0.006328	0.0522	0.479269

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.362498	-2.9892	0.001945
2	-0.42139	-3.4749	0.000447
3	-0.25278	-2.0845	0.020438
4	-0.25455	-2.0991	0.019763
5	0.120367	0.9926	0.162219
6	-0.039635	-0.3268	0.372398
7	-0.157826	-1.3015	0.098745
8	-0.026511	-0.2186	0.413802
9	0.068901	0.5682	0.285895
10	-0.345699	-2.8507	0.002885
11	0.102378	0.8442	0.200749
12	-0.004041	-0.0333	0.486759
13	-0.174614	-1.4399	0.077242
14	0.028383	0.2341	0.407824
15	0.044006	0.3629	0.358909
16	0.07571	0.6243	0.267254
17	0.012896	0.1063	0.457813
18	-0.034683	-0.286	0.387873
19	0.014647	0.1208	0.452111
20	-0.123638	-1.0195	0.155779
21	0.076775	0.6331	0.264395
22	-0.069452	-0.5727	0.284363
23	-0.058012	-0.4784	0.316956
24	-0.156009	-1.2865	0.101319
25	-0.038497	-0.3175	0.375936
26	-0.075468	-0.6223	0.267904
27	-0.126742	-1.0451	0.14983
28	-0.001601	-0.0132	0.494753
29	0.122937	1.0138	0.157145
30	-0.106075	-0.8747	0.192403
31	-0.010496	-0.0866	0.46564
32	0.073632	0.6072	0.272874
33	-0.073512	-0.6062	0.273203
34	0.025817	0.2129	0.416023
35	-0.053812	-0.4437	0.329316
36	-0.071487	-0.5895	0.278739
37	-0.092567	-0.7633	0.223955
38	0.079654	0.6568	0.256749
39	0.026322	0.2171	0.414408
40	-0.082807	-0.6828	0.248511
41	-0.000146	-0.0012	0.49952
42	-0.008153	-0.0672	0.473296
43	-0.06145	-0.5067	0.306993
44	0.056591	0.4667	0.321116
45	-0.03529	-0.291	0.385966
46	0.035007	0.2887	0.386854
47	-0.046759	-0.3856	0.350503
48	-0.036217	-0.2987	0.383058
49	-0.083163	-0.6858	0.247593
50	-0.022226	-0.1833	0.427562
51	-0.021293	-0.1756	0.43057
52	0.043431	0.3581	0.360672
53	-0.035589	-0.2935	0.385028
54	0.017359	0.1431	0.4433
55	0.038002	0.3134	0.377478
56	0.061529	0.5074	0.306764
57	-0.061312	-0.5056	0.307389
58	-0.015054	-0.1241	0.450787
59	-0.033031	-0.2724	0.393078
60	-0.042132	-0.3474	0.364672

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260910167bt7invnb2sgao3r/10i2g1260910092.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260910167bt7invnb2sgao3r/10i2g1260910092.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260910167bt7invnb2sgao3r/2gpe91260910092.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/15/t1260910167bt7invnb2sgao3r/2gpe91260910092.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = -0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par8 = 2 ; par9 = 1 ;

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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