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acf d=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: Wed, 30 Dec 2009 15:27:55 -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/30/t1262212125j1nva7qjo58kour.htm/, Retrieved Wed, 30 Dec 2009 23:28:47 +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/30/t1262212125j1nva7qjo58kour.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 «

20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509 25447 24090 27786 26195 20516 22759 19028 16971

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	-0.574448	-3.9382	0.000135
2	0.32019	2.1951	0.016565
3	-0.133213	-0.9133	0.182884
4	0.004118	0.0282	0.488798
5	-0.119105	-0.8165	0.209155
6	0.168496	1.1552	0.126934
7	-0.216313	-1.483	0.072379
8	0.228572	1.567	0.061911
9	-0.13729	-0.9412	0.175705
10	0.008237	0.0565	0.477602
11	0.069618	0.4773	0.317688
12	-0.145506	-0.9975	0.161806
13	-0.018265	-0.1252	0.450442
14	-0.067222	-0.4609	0.323516
15	0.091435	0.6268	0.266897
16	-0.07143	-0.4897	0.313312
17	0.103668	0.7107	0.240388
18	-0.058791	-0.4031	0.344368
19	0.030861	0.2116	0.416678
20	-0.104549	-0.7168	0.238537
21	0.242959	1.6656	0.051219
22	-0.325374	-2.2306	0.015258
23	0.32451	2.2247	0.015469
24	-0.240763	-1.6506	0.052745
25	0.150688	1.0331	0.153431
26	0.007444	0.051	0.479757
27	0.077725	0.5329	0.298322
28	-0.153983	-1.0557	0.148261
29	0.174669	1.1975	0.118564
30	-0.206878	-1.4183	0.081353
31	0.153786	1.0543	0.148566
32	-0.053033	-0.3636	0.358902
33	-0.06122	-0.4197	0.338309
34	0.094268	0.6463	0.260623
35	-0.073872	-0.5064	0.307459
36	-0.020819	-0.1427	0.443558
37	0.016558	0.1135	0.455052
38	-0.004214	-0.0289	0.488538
39	-0.06567	-0.4502	0.327314
40	0.060518	0.4149	0.340055
41	-0.014667	-0.1005	0.460168
42	0.055847	0.3829	0.351772
43	-0.008123	-0.0557	0.477914
44	0.007476	0.0513	0.479671
45	-0.01479	-0.1014	0.459833
46	-0.002107	-0.0144	0.494268
47	NA	NA	NA
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	-0.574448	-3.9382	0.000135
2	-0.014627	-0.1003	0.460275
3	0.067189	0.4606	0.323596
4	-0.063962	-0.4385	0.331516
5	-0.240303	-1.6474	0.05307
6	0.047052	0.3226	0.374226
7	-0.072919	-0.4999	0.309737
8	0.049604	0.3401	0.367659
9	0.025783	0.1768	0.43023
10	-0.122223	-0.8379	0.203158
11	0.037962	0.2603	0.397903
12	-0.107262	-0.7354	0.232889
13	-0.211843	-1.4523	0.076528
14	-0.298157	-2.0441	0.023287
15	0.010961	0.0751	0.470209
16	0.003354	0.023	0.490875
17	-0.073745	-0.5056	0.30776
18	-0.063741	-0.437	0.332061
19	-0.097624	-0.6693	0.253297
20	-0.169958	-1.1652	0.124914
21	0.215125	1.4748	0.073464
22	-0.155602	-1.0668	0.145766
23	-0.082277	-0.5641	0.287697
24	-0.074923	-0.5136	0.304953
25	-0.059127	-0.4054	0.343527
26	0.024854	0.1704	0.432717
27	0.116183	0.7965	0.214871
28	-0.067707	-0.4642	0.322332
29	-0.107102	-0.7343	0.233221
30	0.022591	0.1549	0.438791
31	0.045754	0.3137	0.377579
32	-0.03642	-0.2497	0.401961
33	-0.106039	-0.727	0.235426
34	0.001578	0.0108	0.495706
35	0.003298	0.0226	0.491029
36	-0.095536	-0.655	0.257843
37	-0.131059	-0.8985	0.186751
38	-0.065612	-0.4498	0.327456
39	0.04199	0.2879	0.387357
40	0.007772	0.0533	0.478867
41	-0.017196	-0.1179	0.453329
42	-0.076801	-0.5265	0.300502
43	0.119029	0.816	0.209302
44	0.002468	0.0169	0.493286
45	0.052053	0.3569	0.361399
46	-0.106616	-0.7309	0.234227
47	NA	NA	NA
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/30/t1262212125j1nva7qjo58kour/16d2o1262212072.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262212125j1nva7qjo58kour/16d2o1262212072.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262212125j1nva7qjo58kour/23ms91262212072.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/30/t1262212125j1nva7qjo58kour/23ms91262212072.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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