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ACF 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 13:40:32 -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/t1261082748oajv8q8tutsu22i.htm/, Retrieved Thu, 17 Dec 2009 21:45:50 +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/t1261082748oajv8q8tutsu22i.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 «

9,9 9,8 9,3 8,3 8 8,5 10,4 11,1 10,9 10 9,2 9,2 9,5 9,6 9,5 9,1 8,9 9 10,1 10,3 10,2 9,6 9,2 9,3 9,4 9,4 9,2 9 9 9 9,8 10 9,8 9,3 9 9 9,1 9,1 9,1 9,2 8,8 8,3 8,4 8,1 7,7 7,9 7,9 8 7,9 7,6 7,1 6,8 6,5 6,9 8,2 8,7 8,3 7,9 7,5 7,8

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	0.443364	3.4055	0.000597
2	-0.223004	-1.7129	0.045988
3	-0.599626	-4.6058	1.1e-05
4	-0.430321	-3.3054	0.000809
5	0.022562	0.1733	0.431502
6	0.282763	2.1719	0.016946
7	0.20729	1.5922	0.05834
8	-0.048624	-0.3735	0.355062
9	-0.209191	-1.6068	0.056716
10	-0.136192	-1.0461	0.149889
11	0.098482	0.7565	0.226194
12	0.35217	2.7051	0.004456
13	0.077751	0.5972	0.276324
14	-0.147723	-1.1347	0.13055
15	-0.24581	-1.8881	0.031966
16	-0.10749	-0.8256	0.206166
17	0.105978	0.814	0.209449
18	0.151805	1.166	0.124146
19	0.054665	0.4199	0.338046
20	-0.136982	-1.0522	0.148504
21	-0.197999	-1.5209	0.066819
22	-0.076941	-0.591	0.27839
23	0.134384	1.0322	0.15309
24	0.302849	2.3262	0.011731
25	0.102275	0.7856	0.217626
26	-0.118013	-0.9065	0.184187
27	-0.187613	-1.4411	0.077424
28	-0.112459	-0.8638	0.195594
29	0.054609	0.4195	0.338203
30	0.105029	0.8067	0.211527
31	0.074405	0.5715	0.284909
32	-0.05861	-0.4502	0.327111
33	-0.098173	-0.7541	0.226901
34	-0.06698	-0.5145	0.304418
35	0.030031	0.2307	0.409185
36	0.127243	0.9774	0.166188

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.443364	3.4055	0.000597
2	-0.522232	-4.0113	8.6e-05
3	-0.372371	-2.8602	0.002923
4	-0.074623	-0.5732	0.284347
5	0.00163	0.0125	0.495026
6	-0.142916	-1.0978	0.138385
7	-0.14525	-1.1157	0.134541
8	-0.125566	-0.9645	0.169369
9	-0.11512	-0.8843	0.190073
10	-0.076986	-0.5913	0.278275
11	0.030103	0.2312	0.40897
12	0.257539	1.9782	0.026291
13	-0.406742	-3.1242	0.001382
14	0.186898	1.4356	0.0782
15	0.057299	0.4401	0.330728
16	-0.059359	-0.4559	0.325051
17	-0.042644	-0.3276	0.372204
18	0.011608	0.0892	0.464627
19	0.003004	0.0231	0.490835
20	-0.248163	-1.9062	0.030751
21	-0.057646	-0.4428	0.329769
22	0.017357	0.1333	0.447196
23	-0.067804	-0.5208	0.302222
24	-0.067407	-0.5178	0.30328
25	0.042732	0.3282	0.37195
26	-0.083851	-0.6441	0.261012
27	0.083892	0.6444	0.260911
28	-0.109413	-0.8404	0.202035
29	0.056487	0.4339	0.332976
30	-0.014312	-0.1099	0.456419
31	-0.028413	-0.2182	0.413996
32	-0.02627	-0.2018	0.42039
33	0.006826	0.0524	0.47918
34	-0.086527	-0.6646	0.25444
35	-0.078176	-0.6005	0.275244
36	-0.054282	-0.417	0.339114

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082748oajv8q8tutsu22i/1kymz1261082431.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082748oajv8q8tutsu22i/1kymz1261082431.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082748oajv8q8tutsu22i/2t9o21261082431.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261082748oajv8q8tutsu22i/2t9o21261082431.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

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

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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