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Paper; toepassing ACF 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: Mon, 21 Dec 2009 07:24:33 -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/t12614056162j92hru9j1dmjkl.htm/, Retrieved Mon, 21 Dec 2009 15:26:58 +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/t12614056162j92hru9j1dmjkl.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:

Shw; Paper; toepassing ACF d = 0 & D = 1

Dataseries X:

» Textbox « » Textfile « » CSV «

103.1 103.1 103.3 103.5 103.3 103.5 103.8 103.9 103.9 104.2 104.6 104.9 105.2 105.2 105.6 105.6 106.2 106.3 106.4 106.9 107.2 107.3 107.3 107.4 107.55 107.87 108.37 108.38 107.92 108.03 108.14 108.3 108.64 108.66 109.04 109.03 109.03 109.54 109.75 109.83 109.65 109.82 109.95 110.12 110.15 110.2 109.99 110.14 110.14 110.81 110.97 110.99 109.73 109.81 110.02 110.18 110.21 110.25 110.36 110.51 110.64 110.95 111.18 111.19 111.69 111.7 111.83 111.77 111.73 112.01 111.86 112.04

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.906257	7.0198	0
2	0.823652	6.38	0
3	0.743507	5.7592	0
4	0.696286	5.3934	1e-06
5	0.638264	4.944	3e-06
6	0.570856	4.4218	2.1e-05
7	0.498869	3.8642	0.000138
8	0.415279	3.2167	0.001045
9	0.328016	2.5408	0.006832
10	0.239455	1.8548	0.034269
11	0.14647	1.1346	0.130538
12	0.058676	0.4545	0.325553
13	0.061874	0.4793	0.316742
14	0.056353	0.4365	0.332017
15	0.048222	0.3735	0.355035
16	0.021667	0.1678	0.43364
17	0.001054	0.0082	0.496758
18	-0.021868	-0.1694	0.433031
19	-0.036159	-0.2801	0.390188
20	-0.034882	-0.2702	0.393968
21	-0.023721	-0.1837	0.427418
22	-0.021471	-0.1663	0.434234
23	-0.024734	-0.1916	0.424355
24	-0.035239	-0.273	0.39291
25	-0.090676	-0.7024	0.242582
26	-0.148556	-1.1507	0.127208
27	-0.187514	-1.4525	0.075789
28	-0.21589	-1.6723	0.049838
29	-0.244317	-1.8925	0.031628
30	-0.280254	-2.1708	0.016955
31	-0.32391	-2.509	0.007413
32	-0.371602	-2.8784	0.002765
33	-0.406549	-3.1491	0.001276
34	-0.429364	-3.3258	0.000754
35	-0.446669	-3.4599	5e-04
36	-0.47174	-3.6541	0.000272

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.906257	7.0198	0
2	0.01315	0.1019	0.459605
3	-0.028185	-0.2183	0.413961
4	0.140105	1.0853	0.141076
5	-0.071374	-0.5529	0.291207
6	-0.089486	-0.6932	0.245442
7	-0.044266	-0.3429	0.366443
8	-0.13407	-1.0385	0.151601
9	-0.104835	-0.8121	0.209986
10	-0.080389	-0.6227	0.267925
11	-0.126393	-0.979	0.165746
12	-0.062876	-0.487	0.314003
13	0.478478	3.7063	0.00023
14	-0.004581	-0.0355	0.485905
15	-0.005039	-0.039	0.484498
16	0.095271	0.738	0.231707
17	-0.092401	-0.7157	0.238467
18	-0.158651	-1.2289	0.111953
19	-0.010365	-0.0803	0.468137
20	-0.068703	-0.5322	0.298286
21	-0.042986	-0.333	0.370158
22	-0.006604	-0.0512	0.479687
23	-0.096469	-0.7472	0.228917
24	-0.039041	-0.3024	0.381692
25	-0.042025	-0.3255	0.372959
26	-0.168051	-1.3017	0.098994
27	0.056953	0.4412	0.330343
28	-0.017717	-0.1372	0.445651
29	-0.075548	-0.5852	0.280305
30	-0.039315	-0.3045	0.380886
31	-0.053024	-0.4107	0.341369
32	-0.037674	-0.2918	0.385714
33	0.131834	1.0212	0.155633
34	-0.028505	-0.2208	0.412998
35	-0.054439	-0.4217	0.337382
36	-0.061151	-0.4737	0.318726

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614056162j92hru9j1dmjkl/1llhh1261405471.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614056162j92hru9j1dmjkl/1llhh1261405471.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614056162j92hru9j1dmjkl/2yepd1261405471.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t12614056162j92hru9j1dmjkl/2yepd1261405471.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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

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