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Autocorrelation d=1 en 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: Thu, 17 Dec 2009 10:58:29 -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/t12610727802vu1qxhn1llpmtx.htm/, Retrieved Thu, 17 Dec 2009 18:59:42 +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/17/t12610727802vu1qxhn1llpmtx.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 97.56592292 93.71196755 92.69776876 89.65517241 89.04665314 98.98580122 105.6795132 101.6227181 98.37728195 94.11764706 93.30628803 94.72616633 93.30628803 90.87221095 89.85801217 88.43813387 87.42393509 98.17444219 103.4482759 104.0567951 102.0283976 95.53752535 95.53752535 96.55172414 96.34888438 95.3346856 93.50912779 92.29208925 92.49492901 104.8681542 106.4908722 106.0851927 105.2738337 103.2454361 103.8539554 105.2738337 104.8681542 103.4482759 103.2454361 101.6227181 102.8397566 115.4158215 117.6470588 117.2413793 114.6044625 110.9533469 112.5760649 113.9959432 113.7931034 112.5760649 110.3448276 108.9249493 110.1419878 120.4868154 123.9350913 124.3407708 123.9350913 120.4868154 120.6896552 119.8782961 119.4726166 118.4584178 116.2271805 115.010142 115.4158215 125.9634888 127.5862069 127.3833671 124.137931 120.6896552 121.0953347 120.2839757 119.6754564 117.6470588 116.4300203 116.2271805 116.2271805 125.7606491 126.9776 etc...

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	-0.004559	-0.0444	0.482325
2	-0.099935	-0.974	0.166254
3	-0.031979	-0.3117	0.377978
4	0.01265	0.1233	0.451064
5	0.177664	1.7317	0.04329
6	0.144417	1.4076	0.081257
7	-0.032388	-0.3157	0.376471
8	0.015691	0.1529	0.439385
9	0.054794	0.5341	0.297271
10	-0.078565	-0.7658	0.222859
11	0.141133	1.3756	0.086091
12	-0.045654	-0.445	0.328672
13	-0.007741	-0.0755	0.470006
14	0.163343	1.5921	0.057345
15	-0.010798	-0.1052	0.458203
16	0.007573	0.0738	0.470657
17	-0.049824	-0.4856	0.314176
18	0.047001	0.4581	0.323962
19	0.007257	0.0707	0.471879
20	-0.012433	-0.1212	0.451903
21	-0.020908	-0.2038	0.419477
22	-0.04107	-0.4003	0.344916
23	0.157884	1.5389	0.063581
24	-0.042721	-0.4164	0.339031
25	-0.105635	-1.0296	0.152904
26	-0.113801	-1.1092	0.135072
27	0.053646	0.5229	0.301139
28	-0.039206	-0.3821	0.351607
29	0.063514	0.6191	0.268679
30	-0.060344	-0.5882	0.27891
31	-0.064403	-0.6277	0.265845
32	0.043642	0.4254	0.335766
33	-0.065435	-0.6378	0.262575
34	-0.050921	-0.4963	0.310408
35	0.00148	0.0144	0.494259
36	-0.050918	-0.4963	0.31042
37	0.054735	0.5335	0.297471
38	0.067625	0.6591	0.255704
39	-0.063701	-0.6209	0.268082
40	-0.065141	-0.6349	0.263505
41	-0.017877	-0.1742	0.431023
42	-0.06112	-0.5957	0.276387
43	0.061119	0.5957	0.276392
44	-0.015976	-0.1557	0.438295
45	-0.061679	-0.6012	0.274579
46	0.015751	0.1535	0.439157
47	-0.105647	-1.0297	0.152878
48	-0.131398	-1.2807	0.101707
49	-0.038841	-0.3786	0.352923
50	0.057892	0.5643	0.286953
51	-0.00869	-0.0847	0.466339
52	-0.041808	-0.4075	0.342279
53	-0.180723	-1.7615	0.040688
54	-0.029008	-0.2827	0.388998
55	-0.049605	-0.4835	0.314932
56	0.064345	0.6272	0.266029
57	0.045387	0.4424	0.329612
58	-0.015603	-0.1521	0.439723
59	-0.138211	-1.3471	0.090574
60	-0.06235	-0.6077	0.272415

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.004559	-0.0444	0.482325
2	-0.099958	-0.9743	0.166199
3	-0.033269	-0.3243	0.373224
4	0.002251	0.0219	0.49127
5	0.173186	1.688	0.047345
6	0.154075	1.5017	0.068241
7	0.00901	0.0878	0.465103
8	0.055191	0.5379	0.295941
9	0.060539	0.5901	0.278277
10	-0.111047	-1.0824	0.140917
11	0.103109	1.005	0.158729
12	-0.082102	-0.8002	0.212787
13	-0.00173	-0.0169	0.493289
14	0.145096	1.4142	0.080283
15	0.001698	0.0165	0.493416
16	0.030244	0.2948	0.384402
17	-0.06645	-0.6477	0.259378
18	0.067692	0.6598	0.255496
19	-0.05843	-0.5695	0.285179
20	-0.078006	-0.7603	0.224477
21	0.011903	0.116	0.453943
22	-0.086591	-0.844	0.200398
23	0.179109	1.7457	0.042045
24	-0.040273	-0.3925	0.347773
25	-0.10912	-1.0636	0.145109
26	-0.07907	-0.7707	0.221406
27	0.012167	0.1186	0.452924
28	-0.102377	-0.9978	0.160445
29	0.015727	0.1533	0.439247
30	-0.013572	-0.1323	0.447518
31	0.029754	0.29	0.386221
32	0.023852	0.2325	0.408333
33	0.001582	0.0154	0.493864
34	-0.098166	-0.9568	0.170548
35	0.011929	0.1163	0.453843
36	-0.037361	-0.3642	0.358276
37	0.025062	0.2443	0.403772
38	0.069366	0.6761	0.250312
39	0.044553	0.4343	0.332545
40	-0.000512	-0.005	0.498014
41	-0.032383	-0.3156	0.376489
42	-0.059361	-0.5786	0.282121
43	-0.015491	-0.151	0.440152
44	-0.028275	-0.2756	0.391729
45	-0.020035	-0.1953	0.422795
46	-0.013528	-0.1319	0.447689
47	-0.065209	-0.6356	0.263291
48	-0.109272	-1.065	0.144777
49	-0.056494	-0.5506	0.291589
50	0.014671	0.143	0.4433
51	-0.022362	-0.218	0.413967
52	-0.061004	-0.5946	0.276766
53	-0.11751	-1.1453	0.127472
54	0.001864	0.0182	0.49277
55	-0.097083	-0.9462	0.173212
56	0.084622	0.8248	0.205776
57	0.083927	0.818	0.207698
58	0.056364	0.5494	0.292019
59	-0.081651	-0.7958	0.214056
60	-0.060722	-0.5918	0.27768

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t12610727802vu1qxhn1llpmtx/1sekm1261072707.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t12610727802vu1qxhn1llpmtx/1sekm1261072707.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t12610727802vu1qxhn1llpmtx/2o1641261072707.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t12610727802vu1qxhn1llpmtx/2o1641261072707.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -1.9 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = -1.9 ; 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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