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WS 8 ACF (0;0;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 11:32:39 -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/t125926045819p70e2ydp20nss.htm/, Retrieved Thu, 26 Nov 2009 19:34:20 +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/t125926045819p70e2ydp20nss.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 «

108,01 101,21 119,93 94,76 95,26 117,96 115,86 111,44 108,16 108,77 109,45 124,83 115,31 109,49 124,24 92,85 98,42 120,88 111,72 116,1 109,37 111,65 114,29 133,68 114,27 126,49 131 104 108,88 128,48 132,44 128,04 116,35 120,93 118,59 133,1 121,05 127,62 135,44 114,88 114,34 128,85 138,9 129,44 114,96 127,98 127,03 128,75 137,91 128,37 135,9 122,19 113,08 136,2 138 115,24 110,95 99,23 102,39 112,67

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	0.409377	3.171	0.001197
2	0.143564	1.112	0.135277
3	0.287645	2.2281	0.014817
4	0.195374	1.5134	0.067719
5	0.277126	2.1466	0.017938
6	0.330314	2.5586	0.006525
7	0.21041	1.6298	0.054189
8	0.122472	0.9487	0.173299
9	0.074961	0.5806	0.281827
10	-0.094364	-0.7309	0.233831
11	0.12332	0.9552	0.171646
12	0.485283	3.759	0.000194
13	0.108799	0.8428	0.201357
14	-0.081158	-0.6286	0.265982
15	0.026707	0.2069	0.418405
16	0.02404	0.1862	0.426452
17	0.054797	0.4245	0.336375
18	0.086851	0.6727	0.251845
19	0.032391	0.2509	0.401374
20	-0.087099	-0.6747	0.251239
21	-0.123706	-0.9582	0.170898
22	-0.24864	-1.926	0.029426
23	-0.081721	-0.633	0.264566
24	0.136349	1.0562	0.147566
25	-0.068231	-0.5285	0.299545
26	-0.267843	-2.0747	0.021156
27	-0.204182	-1.5816	0.059501
28	-0.12856	-0.9958	0.161668
29	-0.146435	-1.1343	0.130594
30	-0.114049	-0.8834	0.190267
31	-0.07856	-0.6085	0.272568
32	-0.22477	-1.7411	0.043399
33	-0.231777	-1.7953	0.038818
34	-0.261414	-2.0249	0.023667
35	-0.206061	-1.5961	0.057855
36	-0.015893	-0.1231	0.451216

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.409377	3.171	0.001197
2	-0.028862	-0.2236	0.411928
3	0.287348	2.2258	0.014898
4	-0.03182	-0.2465	0.403077
5	0.269889	2.0906	0.020407
6	0.091904	0.7119	0.239647
7	0.054393	0.4213	0.337511
8	-0.070285	-0.5444	0.294084
9	-0.065634	-0.5084	0.306519
10	-0.281817	-2.1829	0.016482
11	0.233538	1.809	0.037732
12	0.420261	3.2553	0.000932
13	-0.23819	-1.845	0.034986
14	-0.129342	-1.0019	0.160212
15	-0.070924	-0.5494	0.292392
16	0.13637	1.0563	0.14753
17	-0.132607	-1.0272	0.154233
18	-0.051716	-0.4006	0.345072
19	-0.036496	-0.2827	0.389191
20	-0.122239	-0.9469	0.173754
21	0.015756	0.122	0.451634
22	-0.06059	-0.4693	0.320268
23	0.031148	0.2413	0.405085
24	-0.128268	-0.9936	0.162213
25	0.13209	1.0232	0.15517
26	-0.177784	-1.3771	0.086798
27	-0.004459	-0.0345	0.486281
28	-0.056905	-0.4408	0.330476
29	-0.007781	-0.0603	0.47607
30	-0.09601	-0.7437	0.229984
31	0.056485	0.4375	0.33165
32	-0.104376	-0.8085	0.211002
33	0.023883	0.185	0.426927
34	0.013265	0.1028	0.459251
35	-0.105134	-0.8144	0.209328
36	0.01941	0.1504	0.440495

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t125926045819p70e2ydp20nss/1ryri1259260358.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t125926045819p70e2ydp20nss/1ryri1259260358.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t125926045819p70e2ydp20nss/2iaxt1259260358.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t125926045819p70e2ydp20nss/2iaxt1259260358.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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