Appelen Golden Autocorrelation function

*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 13:34:29 -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/t1261082153yoit54otqtvjpkj.htm/, Retrieved Thu, 17 Dec 2009 21:35:56 +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/t1261082153yoit54otqtvjpkj.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 «

1.77 1.76 1.77 1.95 1.98 1.93 1.94 1.92 1.94 1.92 1.92 1.94 1.91 1.88 1.98 2.4 2.47 2.22 1.98 1.89 1.87 1.88 1.86 1.81 1.79 1.78 1.73 1.88 1.91 1.9 1.84 1.85 1.83 1.82 1.82 1.81 1.75 1.74 1.73 1.96 2.07 1.96 1.87 1.84 1.81 1.78 1.72 1.73 1.64 1.61 1.63 1.92 1.88 1.68 1.58 1.49 1.46 1.44 1.44 1.42 1.4 1.38 1.36 1.48 1.56 1.51 1.51 1.42 1.4 1.38 1.35 1.29

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 0.885602 7.5146 0 2 0.725352 6.1548 0 3 0.61527 5.2207 1e-06 4 0.563436 4.7809 4e-06 5 0.531319 4.5084 1.2e-05 6 0.506566 4.2984 2.7e-05 7 0.475893 4.0381 6.7e-05 8 0.447626 3.7982 0.000151 9 0.418283 3.5492 0.000342 10 0.403799 3.4264 0.000507 11 0.422022 3.581 0.000309 12 0.421487 3.5764 0.000314 13 0.329905 2.7993 0.003284 14 0.214487 1.82 0.036459 15 0.127978 1.0859 0.140567 16 0.075 0.6364 0.263269 17 0.039094 0.3317 0.370531 18 0.013534 0.1148 0.454447 19 -0.00696 -0.0591 0.476536 20 -0.007896 -0.067 0.473385 21 0.008252 0.07 0.472185 22 0.020098 0.1705 0.432533 23 0.056684 0.481 0.315996 24 0.081132 0.6884 0.246698 25 0.04443 0.377 0.353641 26 -0.022606 -0.1918 0.424212 27 -0.067219 -0.5704 0.285101 28 -0.089975 -0.7635 0.22384 29 -0.099389 -0.8433 0.200916 30 -0.109511 -0.9292 0.177936 31 -0.111802 -0.9487 0.172981 32 -0.101263 -0.8592 0.196529 33 -0.09357 -0.794 0.214912 34 -0.083723 -0.7104 0.23987 35 -0.052766 -0.4477 0.327844 36 -0.047578 -0.4037 0.343811 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.885602 7.5146 0 2 -0.273238 -2.3185 0.011633 3 0.197171 1.6731 0.049328 4 0.111363 0.945 0.173922 5 0.014563 0.1236 0.451001 6 0.07545 0.6402 0.262033 7 -0.010407 -0.0883 0.464938 8 0.049179 0.4173 0.338852 9 -0.011237 -0.0953 0.462152 10 0.084061 0.7133 0.238989 11 0.149074 1.2649 0.104986 12 -0.123289 -1.0461 0.149497 13 -0.340558 -2.8897 0.002546 14 0.019944 0.1692 0.433044 15 -0.069721 -0.5916 0.277985 16 -0.079816 -0.6773 0.250206 17 -0.025788 -0.2188 0.413705 18 -0.008076 -0.0685 0.472778 19 0.003198 0.0271 0.489213 20 0.090789 0.7704 0.2218 21 0.114633 0.9727 0.166981 22 -0.026347 -0.2236 0.411866 23 0.169665 1.4397 0.077149 24 -0.000122 -0.001 0.499589 25 -0.086698 -0.7357 0.232164 26 -0.025968 -0.2203 0.413114 27 0.015695 0.1332 0.447214 28 -0.078382 -0.6651 0.254057 29 -0.043356 -0.3679 0.357018 30 -0.056145 -0.4764 0.317613 31 0.006503 0.0552 0.478075 32 -0.063461 -0.5385 0.295951 33 -0.074376 -0.6311 0.264987 34 0.086965 0.7379 0.231479 35 -0.004484 -0.038 0.484879 36 -0.132254 -1.1222 0.132751

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082153yoit54otqtvjpkj/1ln1h1261082067.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082153yoit54otqtvjpkj/1ln1h1261082067.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082153yoit54otqtvjpkj/2439q1261082067.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082153yoit54otqtvjpkj/2439q1261082067.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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')

Copyright

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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