Home » date » 2009 » Nov » 26 »

ACF met: d=D=0, 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: Thu, 26 Nov 2009 03:13:15 -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/26/t12592304321dw2iq69f83cerr.htm/, Retrieved Thu, 26 Nov 2009 11:13:54 +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/26/t12592304321dw2iq69f83cerr.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 «

1919 1911 1870 2263 1802 1863 1989 2197 2409 2502 2593 2598 2053 2213 2238 2359 2151 2474 3079 2312 2565 1972 2484 2202 2151 1976 2012 2114 1772 1957 2070 1990 2182 2008 1916 2397 2114 1778 1641 2186 1773 1785 2217 2153 1895 2475 1793 2308 2051 1898 2142 1874 1560 1808 1575 1525 1997 1753 1623 2251 1890

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	0.38771	3.0281	0.001802
2	0.41532	3.2438	0.000958
3	0.395494	3.0889	0.001512
4	0.236469	1.8469	0.034808
5	0.155079	1.2112	0.115244
6	0.129834	1.014	0.157286
7	0.075827	0.5922	0.277943
8	0.140573	1.0979	0.138279
9	0.126444	0.9876	0.163635
10	0.00769	0.0601	0.476152
11	0.03686	0.2879	0.387205
12	0.111134	0.868	0.194402
13	-0.025077	-0.1959	0.422686
14	0.027623	0.2157	0.414955
15	0.026236	0.2049	0.419164
16	-0.077338	-0.604	0.274032
17	0.011305	0.0883	0.464967
18	-0.128863	-1.0065	0.159087
19	-0.143003	-1.1169	0.134212
20	-0.1088	-0.8498	0.199391
21	-0.02381	-0.186	0.426546
22	-0.10979	-0.8575	0.197265
23	-0.057332	-0.4478	0.327951
24	0.059387	0.4638	0.32221
25	0.076488	0.5974	0.276229
26	-0.01678	-0.1311	0.44808
27	0.065224	0.5094	0.30615
28	-0.042307	-0.3304	0.371105
29	-0.033711	-0.2633	0.396608
30	-0.085728	-0.6696	0.252833
31	-0.14763	-1.153	0.126698
32	-0.051561	-0.4027	0.344287
33	-0.117104	-0.9146	0.181999
34	-0.146589	-1.1449	0.128362
35	-0.194352	-1.5179	0.067098
36	-0.121755	-0.9509	0.172695

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.38771	3.0281	0.001802
2	0.311883	2.4359	0.008896
3	0.213512	1.6676	0.050263
4	-0.042842	-0.3346	0.369536
5	-0.102901	-0.8037	0.212352
6	-0.027838	-0.2174	0.414301
7	0.000956	0.0075	0.497033
8	0.139923	1.0928	0.139382
9	0.082325	0.643	0.261323
10	-0.141366	-1.1041	0.136943
11	-0.087031	-0.6797	0.249622
12	0.120273	0.9394	0.175626
13	-0.028459	-0.2223	0.412424
14	0.019788	0.1546	0.438842
15	-0.010096	-0.0789	0.468704
16	-0.142248	-1.111	0.135466
17	0.032301	0.2523	0.400836
18	-0.107656	-0.8408	0.201867
19	-0.048158	-0.3761	0.354064
20	-0.022312	-0.1743	0.43112
21	0.162678	1.2706	0.104356
22	-0.00765	-0.0598	0.476275
23	-0.064769	-0.5059	0.307387
24	0.110348	0.8618	0.196074
25	0.144702	1.1302	0.131416
26	-0.125023	-0.9765	0.166346
27	0.02163	0.1689	0.433203
28	-0.111974	-0.8745	0.192626
29	-0.110128	-0.8601	0.196543
30	-0.018746	-0.1464	0.442041
31	-0.022988	-0.1795	0.429054
32	0.079541	0.6212	0.268381
33	-0.109236	-0.8532	0.198455
34	-0.079192	-0.6185	0.269271
35	-0.152516	-1.1912	0.119097
36	-0.002476	-0.0193	0.492318

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592304321dw2iq69f83cerr/1h8l81259230393.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592304321dw2iq69f83cerr/1h8l81259230393.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592304321dw2iq69f83cerr/2a35n1259230393.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592304321dw2iq69f83cerr/2a35n1259230393.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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