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Paper(5) - (P)ACF met 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: Fri, 25 Dec 2009 05:47:18 -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/25/t1261745384x7ykvcniiozasts.htm/, Retrieved Fri, 25 Dec 2009 13:49:46 +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/25/t1261745384x7ykvcniiozasts.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 «

2.3 2.3 2.6 3.1 2.8 2.5 2.9 3.1 3.1 3.2 2.5 2.6 2.9 2.6 2.4 1.7 2 2.2 1.9 1.6 1.6 1.2 1.2 1.5 1.6 1.7 1.8 1.8 1.8 1.3 1.3 1.4 1.1 1.5 2.2 2.9 3.1 3.5 3.6 4.4 4.2 5.2 5.8 5.9 5.4 5.5 4.7 3.1 2.6 2.3 1.9 0.6 0.6 -0.4 -1.1 -1.7 -0.8 -1.2 -1 -0.1

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	0.287595	1.9716	0.027276
2	0.224038	1.5359	0.06563
3	0.234069	1.6047	0.05763
4	0.173815	1.1916	0.119697
5	-0.15078	-1.0337	0.153285
6	-0.008753	-0.06	0.476201
7	0.052972	0.3632	0.359058
8	-0.084886	-0.582	0.28169
9	-0.142268	-0.9753	0.167193
10	-0.182622	-1.252	0.108384
11	-0.110164	-0.7552	0.226935
12	-0.443827	-3.0427	0.001915
13	-0.262493	-1.7996	0.039176
14	-0.082355	-0.5646	0.287516
15	-0.014587	-0.1	0.460385
16	-0.102497	-0.7027	0.242859
17	0.08815	0.6043	0.274266
18	0.032745	0.2245	0.411675
19	-0.016524	-0.1133	0.455144
20	-0.122139	-0.8373	0.203319
21	-0.076874	-0.527	0.300328
22	2.2e-05	2e-04	0.499939
23	-0.02777	-0.1904	0.424916
24	-0.066071	-0.453	0.326331
25	0.100632	0.6899	0.246826
26	-0.008756	-0.06	0.476195
27	-0.089733	-0.6152	0.270703
28	-0.003162	-0.0217	0.491397
29	0.005301	0.0363	0.485581
30	-0.066526	-0.4561	0.325217
31	-0.021108	-0.1447	0.442779
32	0.133458	0.9149	0.182445
33	0.108855	0.7463	0.22961
34	0.074997	0.5142	0.304776
35	0.008979	0.0616	0.475589
36	0.116137	0.7962	0.214962

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.287595	1.9716	0.027276
2	0.154071	1.0563	0.148125
3	0.151034	1.0354	0.152881
4	0.060102	0.412	0.341092
5	-0.299814	-2.0554	0.022709
6	0.022701	0.1556	0.438494
7	0.103619	0.7104	0.240491
8	-0.056854	-0.3898	0.349233
9	-0.091585	-0.6279	0.266563
10	-0.239672	-1.6431	0.053518
11	0.017289	0.1185	0.453077
12	-0.346515	-2.3756	0.010825
13	-0.030087	-0.2063	0.418737
14	0.164262	1.1261	0.132915
15	0.126731	0.8688	0.19468
16	0.017599	0.1207	0.45224
17	-0.090956	-0.6236	0.267964
18	-0.120263	-0.8245	0.206916
19	0.03526	0.2417	0.405021
20	-0.18362	-1.2588	0.107153
21	-0.13723	-0.9408	0.175809
22	-0.021224	-0.1455	0.442468
23	0.025605	0.1755	0.430705
24	-0.195024	-1.337	0.093826
25	0.020469	0.1403	0.4445
26	-0.049307	-0.338	0.368422
27	0.074239	0.509	0.306582
28	0.018947	0.1299	0.448603
29	-0.062275	-0.4269	0.335687
30	-0.094898	-0.6506	0.25924
31	-0.067108	-0.4601	0.323793
32	0.004995	0.0342	0.486413
33	-0.014202	-0.0974	0.461425
34	-0.022442	-0.1539	0.439192
35	-0.05429	-0.3722	0.35571
36	-0.069961	-0.4796	0.316858

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745384x7ykvcniiozasts/1k9iw1261745236.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745384x7ykvcniiozasts/1k9iw1261745236.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745384x7ykvcniiozasts/2bymu1261745236.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261745384x7ykvcniiozasts/2bymu1261745236.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

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