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WS 8 Methode 1: ACF van Y[t] (d=1, D=1, Lambda=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, 25 Nov 2009 06:07:25 -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/25/t1259154508xarneo9pvjh01sz.htm/, Retrieved Wed, 25 Nov 2009 14:08:30 +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/25/t1259154508xarneo9pvjh01sz.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:

SHW WS 8 Methode 1: ACF van Y[t] (d=1, D=1, Lambda=1)

Dataseries X:

» Textbox « » Textfile « » CSV «

14.2 13.5 11.9 14.6 15.6 14.1 14.9 14.2 14.6 17.2 15.4 14.3 17.5 14.5 14.4 16.6 16.7 16.6 16.9 15.7 16.4 18.4 16.9 16.5 18.3 15.1 15.7 18.1 16.8 18.9 19 18.1 17.8 21.5 17.1 18.7 19 16.4 16.9 18.6 19.3 19.4 17.6 18.6 18.1 20.4 18.1 19.6 19.9 19.2 17.8 19.2 22 21.1 19.5 22.2 20.9 22.2 23.5 21.5 24.3 22.8 20.3 23.7 23.3 19.6 18 17.3 16.8 18.2 16.5 16 18.4

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	-0.484859	-3.7557	0.000196
2	0.037122	0.2875	0.387343
3	0.406183	3.1463	0.001287
4	-0.332857	-2.5783	0.0062
5	0.070657	0.5473	0.293098
6	0.254063	1.968	0.026849
7	-0.382595	-2.9636	0.002178
8	0.221064	1.7124	0.045998
9	0.055524	0.4301	0.334337
10	-0.262759	-2.0353	0.023121
11	0.222657	1.7247	0.044866
12	-0.096706	-0.7491	0.228368
13	-0.150653	-1.167	0.123922
14	0.173088	1.3407	0.092531
15	-0.058967	-0.4568	0.324748
16	-0.139198	-1.0782	0.142625
17	0.173279	1.3422	0.092291
18	-0.133049	-1.0306	0.153433
19	-0.080031	-0.6199	0.268829
20	0.163815	1.2689	0.104688
21	-0.144753	-1.1213	0.133324
22	-0.076449	-0.5922	0.27798
23	0.299266	2.3181	0.011935
24	-0.312933	-2.424	0.009191
25	0.17716	1.3723	0.087543
26	0.05923	0.4588	0.324021
27	-0.158615	-1.2286	0.112005
28	0.056222	0.4355	0.332384
29	0.129775	1.0052	0.159411
30	-0.160172	-1.2407	0.109776
31	0.097411	0.7545	0.226738
32	-0.000667	-0.0052	0.497948
33	-0.017401	-0.1348	0.446614
34	-0.013453	-0.1042	0.458676
35	0.001133	0.0088	0.496513
36	-0.050397	-0.3904	0.34882

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.484859	-3.7557	0.000196
2	-0.25881	-2.0047	0.024755
3	0.425058	3.2925	0.000834
4	0.130729	1.0126	0.157653
5	-0.120786	-0.9356	0.176613
6	0.091736	0.7106	0.240048
7	-0.142766	-1.1059	0.136601
8	-0.041852	-0.3242	0.373464
9	0.050948	0.3946	0.347254
10	-0.020449	-0.1584	0.437338
11	-0.019476	-0.1509	0.440297
12	-0.100132	-0.7756	0.220511
13	-0.09976	-0.7727	0.221355
14	-0.068825	-0.5331	0.297962
15	0.129587	1.0038	0.159759
16	-0.005143	-0.0398	0.484177
17	-0.065367	-0.5063	0.307241
18	-0.078807	-0.6104	0.271938
19	-0.147082	-1.1393	0.129555
20	-0.001168	-0.009	0.496407
21	0.062385	0.4832	0.315345
22	-0.092295	-0.7149	0.238718
23	0.183721	1.4231	0.079943
24	-0.055229	-0.4278	0.335164
25	0.050067	0.3878	0.349762
26	-0.069642	-0.5394	0.295787
27	0.059489	0.4608	0.323304
28	-0.143234	-1.1095	0.135824
29	0.013136	0.1018	0.459645
30	0.162844	1.2614	0.106027
31	-0.049028	-0.3798	0.352728
32	-0.117239	-0.9081	0.183722
33	0.088684	0.6869	0.247383
34	-0.087399	-0.677	0.250508
35	-0.086018	-0.6663	0.25389
36	-0.060719	-0.4703	0.319914

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259154508xarneo9pvjh01sz/108s31259154444.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259154508xarneo9pvjh01sz/108s31259154444.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259154508xarneo9pvjh01sz/28sa51259154444.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259154508xarneo9pvjh01sz/28sa51259154444.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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