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Paper ACF d=D=1 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: Thu, 17 Dec 2009 10:16:30 -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/17/t1261070246v2s1bth2t6mmtzm.htm/, Retrieved Thu, 17 Dec 2009 18:17:28 +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/17/t1261070246v2s1bth2t6mmtzm.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 «

7.6 8.3 8.4 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.4 8.8 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

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	0.549918	4.2596	3.7e-05
2	-0.111776	-0.8658	0.19502
3	-0.562639	-4.3582	2.6e-05
4	-0.570559	-4.4195	2.1e-05
5	-0.201803	-1.5632	0.061637
6	0.195463	1.5141	0.067632
7	0.411024	3.1838	0.001153
8	0.35114	2.7199	0.004265
9	0.071133	0.551	0.291842
10	-0.115113	-0.8917	0.188068
11	-0.200127	-1.5502	0.063179
12	-0.173342	-1.3427	0.092213
13	0.000184	0.0014	0.499434
14	0.085623	0.6632	0.254861
15	0.062998	0.488	0.313671
16	0.013824	0.1071	0.457542
17	-0.060883	-0.4716	0.319463
18	-0.043909	-0.3401	0.367478
19	-0.022159	-0.1716	0.432147
20	0.061483	0.4762	0.317815
21	0.126945	0.9833	0.164701
22	-0.01521	-0.1178	0.453304
23	-0.112234	-0.8694	0.194057
24	-0.14207	-1.1005	0.137762
25	-0.043226	-0.3348	0.369462
26	0.069424	0.5378	0.296367
27	0.071315	0.5524	0.291362
28	-0.039114	-0.303	0.381479
29	-0.132781	-1.0285	0.153918
30	-0.136185	-1.0549	0.147853
31	0.049067	0.3801	0.352617
32	0.175263	1.3576	0.08984
33	0.165546	1.2823	0.102332
34	0.00715	0.0554	0.478009
35	-0.202194	-1.5662	0.061282
36	-0.283496	-2.196	0.015986

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.549918	4.2596	3.7e-05
2	-0.593739	-4.5991	1.1e-05
3	-0.305902	-2.3695	0.010523
4	-0.116792	-0.9047	0.18463
5	0.021606	0.1674	0.433824
6	-0.060232	-0.4666	0.321253
7	0.075468	0.5846	0.280514
8	0.061116	0.4734	0.318822
9	-0.035523	-0.2752	0.392068
10	0.223911	1.7344	0.043991
11	-0.025476	-0.1973	0.422114
12	-0.029611	-0.2294	0.409682
13	0.186892	1.4477	0.076459
14	-0.121058	-0.9377	0.176076
15	-0.110936	-0.8593	0.196795
16	0.059349	0.4597	0.32369
17	-0.136194	-1.055	0.147838
18	-0.029318	-0.2271	0.41056
19	-0.039558	-0.3064	0.380176
20	0.109252	0.8463	0.200384
21	0.012445	0.0964	0.461762
22	-0.194558	-1.507	0.068524
23	0.139652	1.0817	0.141849
24	-0.074083	-0.5738	0.284108
25	0.122549	0.9493	0.173148
26	-0.116267	-0.9006	0.185701
27	-0.103768	-0.8038	0.212347
28	-0.179547	-1.3908	0.084716
29	-0.053002	-0.4106	0.341432
30	-0.037634	-0.2915	0.385831
31	0.063742	0.4937	0.311645
32	0.006256	0.0485	0.480757
33	0.052437	0.4062	0.343029
34	-0.129941	-1.0065	0.159105
35	0.04177	0.3235	0.373703
36	-0.080421	-0.6229	0.267843

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261070246v2s1bth2t6mmtzm/1la1b1261070188.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261070246v2s1bth2t6mmtzm/1la1b1261070188.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261070246v2s1bth2t6mmtzm/2sg9m1261070188.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261070246v2s1bth2t6mmtzm/2sg9m1261070188.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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