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Model 1 (d = 1, D = 2)

*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: Tue, 24 Nov 2009 10:46:32 -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/Nov/24/t1259084845srgikf9iycb38y2.htm/, Retrieved Tue, 24 Nov 2009 18:47:28 +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/Nov/24/t1259084845srgikf9iycb38y2.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 «

8.2 8 7.5 6.8 6.5 6.6 7.6 8 8.1 7.7 7.5 7.6 7.8 7.8 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.2 7.9 7.3 6.9 6.6 6.7 6.9 7 7.1 7.2 7.1 6.9 7 6.8 6.4 6.7 6.6 6.4 6.3 6.2 6.5 6.8 6.8 6.4 6.1 5.8 6.1 7.2 7.3 6.9 6.1 5.8 6.2 7.1 7.7 7.9 7.7 7.4 7.5 8 8.1 8

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	0.421977	2.7991	0.00379
2	-0.030915	-0.2051	0.419234
3	-0.364937	-2.4207	0.009842
4	-0.339817	-2.2541	0.014611
5	-0.105644	-0.7008	0.243571
6	0.079016	0.5241	0.301407
7	0.148982	0.9882	0.164221
8	0.047726	0.3166	0.376529
9	-0.071988	-0.4775	0.31768
10	-0.084326	-0.5594	0.289378
11	0.047819	0.3172	0.376299
12	-0.028434	-0.1886	0.425634
13	0.068622	0.4552	0.325606
14	0.006748	0.0448	0.482251
15	-0.032446	-0.2152	0.415294
16	-0.173012	-1.1476	0.128661
17	-0.195764	-1.2985	0.100432
18	0.014532	0.0964	0.461821
19	0.122776	0.8144	0.209899
20	0.267258	1.7728	0.041593
21	0.209488	1.3896	0.085823
22	0.022693	0.1505	0.440519
23	-0.242536	-1.6088	0.057406
24	-0.275538	-1.8277	0.03719
25	-0.1486	-0.9857	0.164834
26	-0.008364	-0.0555	0.478004
27	-0.000343	-0.0023	0.499098
28	0.010962	0.0727	0.471182
29	0.034487	0.2288	0.410058
30	-0.000579	-0.0038	0.498477
31	0.056228	0.373	0.355478
32	0.034602	0.2295	0.409762
33	0.034719	0.2303	0.409463
34	-0.067404	-0.4471	0.328495
35	-0.082838	-0.5495	0.292726
36	-0.059102	-0.392	0.348461

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.421977	2.7991	0.00379
2	-0.254252	-1.6865	0.049387
3	-0.313847	-2.0818	0.021604
4	-0.066484	-0.441	0.330685
5	0.036193	0.2401	0.405694
6	-0.034968	-0.232	0.408826
7	-0.011112	-0.0737	0.470789
8	-0.070384	-0.4669	0.321447
9	-0.057618	-0.3822	0.352079
10	0.020214	0.1341	0.446974
11	0.114648	0.7605	0.22551
12	-0.210684	-1.3975	0.084632
13	0.146759	0.9735	0.167816
14	-0.036393	-0.2414	0.405181
15	-0.055044	-0.3651	0.358385
16	-0.198594	-1.3173	0.097274
17	-0.0626	-0.4152	0.339993
18	0.132821	0.881	0.191544
19	-0.043078	-0.2857	0.388207
20	0.147258	0.9768	0.167004
21	0.048292	0.3203	0.375117
22	-0.049382	-0.3276	0.372398
23	-0.104804	-0.6952	0.245296
24	-0.055842	-0.3704	0.356426
25	-0.005141	-0.0341	0.486475
26	-0.16473	-1.0927	0.140237
27	-0.115705	-0.7675	0.223442
28	-0.038579	-0.2559	0.39961
29	-0.0162	-0.1075	0.457457
30	-0.016392	-0.1087	0.456953
31	-0.019671	-0.1305	0.448391
32	-0.024329	-0.1614	0.436266
33	-0.02683	-0.178	0.429781
34	-0.047187	-0.313	0.377879
35	-0.035962	-0.2385	0.406283
36	-0.053557	-0.3553	0.362048

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259084845srgikf9iycb38y2/15i3r1259084790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259084845srgikf9iycb38y2/15i3r1259084790.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259084845srgikf9iycb38y2/222221259084790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/24/t1259084845srgikf9iycb38y2/222221259084790.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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