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Paper (4bis) - (P)ACF d=0 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 06:21:24 -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/t1261747363w93u257wodsntu7.htm/, Retrieved Fri, 25 Dec 2009 14:22:45 +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/t1261747363w93u257wodsntu7.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:

P4bis

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	0.942978	6.5331	0
2	0.84333	5.8428	0
3	0.71672	4.9656	5e-06
4	0.57384	3.9757	0.000118
5	0.40285	2.791	0.003759
6	0.247441	1.7143	0.04646
7	0.101955	0.7064	0.241688
8	-0.03524	-0.2442	0.404077
9	-0.166267	-1.1519	0.127527
10	-0.269622	-1.868	0.033937
11	-0.355011	-2.4596	0.008782
12	-0.42642	-2.9543	0.002421
13	-0.451156	-3.1257	0.001504
14	-0.437878	-3.0337	0.001946
15	-0.407891	-2.826	0.003425
16	-0.376222	-2.6065	0.006074
17	-0.332135	-2.3011	0.012886
18	-0.293428	-2.0329	0.023805
19	-0.26179	-1.8137	0.037986
20	-0.238807	-1.6545	0.052276
21	-0.201935	-1.399	0.084114
22	-0.165208	-1.1446	0.129026
23	-0.130785	-0.9061	0.184703
24	-0.097146	-0.673	0.252073
25	-0.058616	-0.4061	0.343236
26	-0.033444	-0.2317	0.408877
27	-0.012448	-0.0862	0.465817
28	0.008621	0.0597	0.476311
29	0.031483	0.2181	0.41413
30	0.045535	0.3155	0.376884
31	0.060657	0.4202	0.338091
32	0.080654	0.5588	0.289451
33	0.089244	0.6183	0.26965
34	0.082807	0.5737	0.284424
35	0.070813	0.4906	0.31297
36	0.061615	0.4269	0.335686

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.942978	6.5331	0
2	-0.414088	-2.8689	0.003053
3	-0.188963	-1.3092	0.098353
4	-0.122997	-0.8522	0.199181
5	-0.326636	-2.263	0.014098
6	0.231897	1.6066	0.057348
7	-0.119061	-0.8249	0.20676
8	-0.131816	-0.9133	0.182838
9	-0.054143	-0.3751	0.354615
10	-0.024768	-0.1716	0.432238
11	-0.050633	-0.3508	0.363639
12	-0.095593	-0.6623	0.255478
13	0.386776	2.6797	0.005033
14	-0.114758	-0.7951	0.215244
15	-0.107915	-0.7477	0.229157
16	-0.113748	-0.7881	0.217265
17	-0.187645	-1.3	0.099898
18	-0.028918	-0.2003	0.421028
19	0.000772	0.0053	0.497877
20	-0.016986	-0.1177	0.453406
21	0.092007	0.6374	0.263434
22	0.001072	0.0074	0.497052
23	-0.102988	-0.7135	0.23949
24	-0.063899	-0.4427	0.329983
25	0.111407	0.7719	0.221993
26	-0.06152	-0.4262	0.335925
27	0.066668	0.4619	0.323123
28	-0.023105	-0.1601	0.436747
29	-0.115687	-0.8015	0.213394
30	-0.095739	-0.6633	0.255156
31	0.019015	0.1317	0.44787
32	0.035236	0.2441	0.404088
33	-0.103679	-0.7183	0.238025
34	0.084976	0.5887	0.279401
35	-0.105876	-0.7335	0.233402
36	0.00809	0.056	0.477768

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261747363w93u257wodsntu7/1qrro1261747282.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261747363w93u257wodsntu7/1qrro1261747282.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261747363w93u257wodsntu7/2zhgy1261747282.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/25/t1261747363w93u257wodsntu7/2zhgy1261747282.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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