Home » date » 2009 » Dec » 21 »

ACF 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: Sun, 20 Dec 2009 18:28:39 -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/21/t12613590104ycj017gbxpffwq.htm/, Retrieved Mon, 21 Dec 2009 02:30:12 +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/21/t12613590104ycj017gbxpffwq.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 «

91,98 91,72 90,27 91,89 92,07 92,92 93,34 93,6 92,41 93,6 93,77 93,6 93,6 93,51 92,66 94,2 94,37 94,45 94,62 94,37 93,43 94,79 94,88 94,79 94,62 94,71 93,77 95,73 95,99 95,82 95,47 95,82 94,71 96,33 96,5 96,16 96,33 96,33 95,05 96,84 96,92 97,44 97,78 97,69 96,67 98,29 98,2 98,71 98,54 98,2 96,92 99,06 99,65 99,82 99,99 100,33 99,31 101,1 101,1 100,93 100,85 100,93 99,6 101,88 101,81 102,38 102,74 102,82 101,72 103,47 102,98 102,68 102,9 103,03 101,29 103,69 103,68 104,2 104,08 104,16 103,05 104,66 104,46 104,95 105,85 106,23 104,86 107,44 108,23 108,45 109,39 110,15 109,13 110,28 110,17 109,99 109,26 109,11 107,06 109,53 108,92 109,24 109,12 109 107,23 109,49 109,04 109,02

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	0.135783	1.3234	0.094432
2	0.178303	1.7379	0.042736
3	0.10518	1.0252	0.153944
4	0.205458	2.0026	0.024038
5	0.02104	0.2051	0.418976
6	0.092656	0.9031	0.184378
7	0.032627	0.318	0.375587
8	-0.002198	-0.0214	0.491477
9	-0.180457	-1.7589	0.040909
10	-0.097348	-0.9488	0.172558
11	0.066173	0.645	0.260248
12	-0.439656	-4.2852	2.2e-05
13	-0.164251	-1.6009	0.056357
14	-0.078785	-0.7679	0.222225
15	-0.014466	-0.141	0.444085
16	-0.122183	-1.1909	0.118331
17	-0.117928	-1.1494	0.126634
18	-0.060458	-0.5893	0.278538
19	0.023942	0.2334	0.407993
20	-0.060861	-0.5932	0.277229
21	0.050565	0.4928	0.311628
22	0.06517	0.6352	0.263412
23	-0.084454	-0.8232	0.206242
24	0.003612	0.0352	0.485995
25	0.062723	0.6114	0.271213
26	0.030508	0.2974	0.383423
27	-0.002892	-0.0282	0.488786
28	0.001555	0.0152	0.493972
29	0.063865	0.6225	0.267558
30	0.050472	0.4919	0.311947
31	-0.038927	-0.3794	0.352612
32	0.062026	0.6046	0.273459
33	0.051454	0.5015	0.308586
34	0.007712	0.0752	0.470119
35	-0.05399	-0.5262	0.299978
36	0.075964	0.7404	0.23044

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.135783	1.3234	0.094432
2	0.162869	1.5875	0.057867
3	0.065721	0.6406	0.261673
4	0.166068	1.6186	0.054422
5	-0.046177	-0.4501	0.32684
6	0.036427	0.3551	0.361669
7	-0.004009	-0.0391	0.484457
8	-0.05764	-0.5618	0.287785
9	-0.19632	-1.9135	0.029348
10	-0.088777	-0.8653	0.194529
11	0.150402	1.4659	0.072984
12	-0.464296	-4.5254	9e-06
13	-0.021241	-0.207	0.418215
14	0.115533	1.1261	0.131485
15	0.037881	0.3692	0.356395
16	0.063235	0.6163	0.269573
17	-0.151865	-1.4802	0.071065
18	0.038267	0.373	0.354998
19	0.095851	0.9342	0.176273
20	-0.014421	-0.1406	0.44426
21	-0.097812	-0.9534	0.171415
22	-0.048141	-0.4692	0.319992
23	0.062086	0.6051	0.273263
24	-0.208495	-2.0322	0.022465
25	-0.012315	-0.12	0.452354
26	0.005754	0.0561	0.477698
27	0.038523	0.3755	0.354071
28	0.088622	0.8638	0.194941
29	-0.100004	-0.9747	0.166087
30	0.040616	0.3959	0.346544
31	0.038534	0.3756	0.354033
32	0.078633	0.7664	0.222664
33	-0.032855	-0.3202	0.374749
34	-0.037354	-0.3641	0.358302
35	-0.089474	-0.8721	0.192681
36	-0.001476	-0.0144	0.494277

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t12613590104ycj017gbxpffwq/180vl1261358917.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12613590104ycj017gbxpffwq/180vl1261358917.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12613590104ycj017gbxpffwq/2tu2c1261358917.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12613590104ycj017gbxpffwq/2tu2c1261358917.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

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by