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paper diffACF WLH

*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, 27 Dec 2009 07:56:24 -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/27/t1261925840ccrnzdl0a63m248.htm/, Retrieved Sun, 27 Dec 2009 15:57:22 +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/27/t1261925840ccrnzdl0a63m248.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 «

401 394 372 334 320 334 400 427 423 395 373 377 391 398 393 375 371 364 400 406 407 397 389 394 399 401 396 392 384 370 380 376 378 376 373 374 379 376 371 375 360 338 352 344 330 334 333 343 350 341 320 302 287 304 370 385 365 333 313 330 367

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	0.526725	3.6493	0.000324
2	-0.180711	-1.252	0.108317
3	-0.631502	-4.3752	3.3e-05
4	-0.497552	-3.4471	0.000594
5	-0.040856	-0.2831	0.389174
6	0.338461	2.3449	0.011607
7	0.321146	2.225	0.015409
8	0.041588	0.2881	0.387243
9	-0.154844	-1.0728	0.144365
10	-0.156855	-1.0867	0.141293
11	0.010632	0.0737	0.470792
12	0.099373	0.6885	0.247234
13	0.114672	0.7945	0.215416
14	0.032381	0.2243	0.411723
15	-0.066714	-0.4622	0.323009
16	-0.104452	-0.7237	0.236391
17	-0.077023	-0.5336	0.298031
18	-0.017714	-0.1227	0.451418
19	0.009383	0.065	0.474219
20	0.100036	0.6931	0.245803
21	0.105829	0.7332	0.233499
22	-0.016642	-0.1153	0.454345
23	-0.14763	-1.0228	0.155763
24	-0.176888	-1.2255	0.11318
25	-0.054427	-0.3771	0.353887
26	0.121924	0.8447	0.201231
27	0.160772	1.1139	0.135442
28	-0.011403	-0.079	0.468679
29	-0.162167	-1.1235	0.133401
30	-0.195142	-1.352	0.091358
31	0.019336	0.134	0.446997
32	0.225484	1.5622	0.062405
33	0.254944	1.7663	0.041852
34	0.013354	0.0925	0.463336
35	-0.27263	-1.8888	0.032482
36	-0.367277	-2.5446	0.007106
37	-0.172416	-1.1945	0.11907
38	0.138467	0.9593	0.171101
39	0.304375	2.1088	0.020104
40	0.233563	1.6182	0.05609
41	0.013328	0.0923	0.463406
42	-0.130508	-0.9042	0.185207
43	-0.123252	-0.8539	0.198697
44	-0.030743	-0.213	0.416117
45	0.031134	0.2157	0.415066
46	0.042777	0.2964	0.384113
47	0.029666	0.2055	0.419012
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.526725	3.6493	0.000324
2	-0.634064	-4.3929	3.1e-05
3	-0.328622	-2.2768	0.013649
4	0.06233	0.4318	0.333898
5	-0.035502	-0.246	0.40338
6	-0.027765	-0.1924	0.424135
7	-0.14529	-1.0066	0.159587
8	-0.042456	-0.2941	0.384958
9	0.140356	0.9724	0.167859
10	-0.044167	-0.306	0.380466
11	0.057704	0.3998	0.345544
12	-0.065898	-0.4566	0.325025
13	0.15609	1.0814	0.142456
14	0.047998	0.3325	0.370466
15	-0.097172	-0.6732	0.252015
16	0.024892	0.1725	0.431901
17	-0.035102	-0.2432	0.404447
18	-0.014453	-0.1001	0.460327
19	-0.10138	-0.7024	0.242917
20	0.1541	1.0676	0.145512
21	-0.037082	-0.2569	0.399171
22	-0.235186	-1.6294	0.054886
23	0.030752	0.2131	0.416091
24	-0.063258	-0.4383	0.331579
25	0.028817	0.1997	0.421299
26	-0.028141	-0.195	0.42312
27	-0.1915	-1.3268	0.095434
28	-0.091052	-0.6308	0.265573
29	0.042381	0.2936	0.385156
30	-0.117064	-0.811	0.210673
31	0.100538	0.6965	0.244724
32	0.015227	0.1055	0.458211
33	0.087435	0.6058	0.273761
34	-0.156782	-1.0862	0.141404
35	-0.10509	-0.7281	0.235049
36	-0.02918	-0.2022	0.420322
37	-0.081819	-0.5669	0.286727
38	-0.083768	-0.5804	0.282193
39	-0.030995	-0.2147	0.415441
40	0.005217	0.0361	0.485659
41	0.025112	0.174	0.431306
42	0.024003	0.1663	0.434312
43	0.046469	0.3219	0.374447
44	-0.047686	-0.3304	0.371275
45	0.059295	0.4108	0.341521
46	0.006566	0.0455	0.481952
47	-0.0333	-0.2307	0.409262
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261925840ccrnzdl0a63m248/1mf6b1261925781.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261925840ccrnzdl0a63m248/1mf6b1261925781.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261925840ccrnzdl0a63m248/20o9c1261925781.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261925840ccrnzdl0a63m248/20o9c1261925781.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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