Home » date » 2009 » Dec » 19 »

D=0, 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: Sat, 19 Dec 2009 13:04:17 -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/19/t1261253129xjp1dgyrdmc9dt5.htm/, Retrieved Sat, 19 Dec 2009 21:05:31 +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/19/t1261253129xjp1dgyrdmc9dt5.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 «

3016 2155 2172 2150 2533 2058 2160 2260 2498 2695 2799 2946 2930 2318 2540 2570 2669 2450 2842 3440 2678 2981 2260 2844 2546 2456 2295 2379 2479 2057 2280 2351 2276 2548 2311 2201 2725 2408 2139 1898 2537 2068 2063 2520 2434 2190 2794 2070 2615 2265 2139 2428 2137 1823 2063 1806 1758 2243 1993 1932 2465

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	-0.469806	-3.6391	0.000285
2	0.042624	0.3302	0.371213
3	0.046969	0.3638	0.358636
4	0.013261	0.1027	0.459265
5	-0.047587	-0.3686	0.356858
6	-0.025759	-0.1995	0.421264
7	-0.079296	-0.6142	0.270694
8	0.034748	0.2692	0.394366
9	0.043134	0.3341	0.369728
10	-0.068803	-0.5329	0.298019
11	-0.071914	-0.557	0.289786
12	0.187099	1.4493	0.076236
13	-0.093067	-0.7209	0.236888
14	-0.045925	-0.3557	0.361643
15	0.123961	0.9602	0.170405
16	-0.147227	-1.1404	0.129322
17	0.151044	1.17	0.123318
18	-0.158879	-1.2307	0.111624
19	0.05886	0.4559	0.325045
20	-0.108066	-0.8371	0.202936
21	0.208073	1.6117	0.056135
22	-0.142923	-1.1071	0.13634
23	-0.043959	-0.3405	0.367333
24	0.069646	0.5395	0.295778
25	0.134564	1.0423	0.150721
26	-0.159129	-1.2326	0.111265
27	0.118674	0.9192	0.180823
28	-0.026347	-0.2041	0.41949
29	0.017753	0.1375	0.445542
30	0.005574	0.0432	0.482853
31	-0.105701	-0.8188	0.208082
32	0.070979	0.5498	0.292249
33	-0.00272	-0.0211	0.491631
34	0.049753	0.3854	0.350659
35	-0.171495	-1.3284	0.094539
36	0.125394	0.9713	0.16765

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.469806	-3.6391	0.000285
2	-0.228535	-1.7702	0.040885
3	-0.048467	-0.3754	0.354334
4	0.039429	0.3054	0.380553
5	-0.011741	-0.0909	0.46392
6	-0.076057	-0.5891	0.278991
7	-0.190895	-1.4787	0.07223
8	-0.138721	-1.0745	0.143445
9	0.000644	0.005	0.498019
10	-0.026178	-0.2028	0.419998
11	-0.167141	-1.2947	0.100197
12	0.041228	0.3194	0.375284
13	0.006439	0.0499	0.480193
14	-0.095534	-0.74	0.231092
15	0.044865	0.3475	0.364708
16	-0.121749	-0.9431	0.174715
17	0.036291	0.2811	0.389798
18	-0.124417	-0.9637	0.169525
19	-0.059161	-0.4583	0.324211
20	-0.203987	-1.5801	0.059674
21	0.061089	0.4732	0.318895
22	0.010041	0.0778	0.469131
23	-0.130958	-1.0144	0.157234
24	-0.144025	-1.1156	0.134517
25	0.119612	0.9265	0.178947
26	-0.011537	-0.0894	0.464544
27	0.036798	0.285	0.388298
28	0.070585	0.5468	0.293289
29	-0.014461	-0.112	0.455592
30	0.011858	0.0919	0.463561
31	-0.079997	-0.6197	0.268916
32	0.032658	0.253	0.400578
33	-0.008012	-0.0621	0.47536
34	0.115478	0.8945	0.187318
35	-0.034425	-0.2667	0.395325
36	-0.080745	-0.6254	0.267024

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261253129xjp1dgyrdmc9dt5/1xfwq1261253055.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261253129xjp1dgyrdmc9dt5/1xfwq1261253055.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261253129xjp1dgyrdmc9dt5/26jp81261253055.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/19/t1261253129xjp1dgyrdmc9dt5/26jp81261253055.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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