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WS8 ACF d=2 D=0

*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 14:14:29 -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/t1259270146y1ybsunwclvc5dc.htm/, Retrieved Thu, 26 Nov 2009 22:15:48 +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/t1259270146y1ybsunwclvc5dc.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 «

153,4 145 137,7 148,3 152,2 169,4 168,6 161,1 174,1 179 190,6 190 181,6 174,8 180,5 196,8 193,8 197 216,3 221,4 217,9 229,7 227,4 204,2 196,6 198,8 207,5 190,7 201,6 210,5 223,5 223,8 231,2 244 234,7 250,2 265,7 287,6 283,3 295,4 312,3 333,8 347,7 383,2 407,1 413,6 362,7 321,9 239,4 191 159,7 163,4 157,6 166,2 176,7 198,3 226,2 216,2 235,9 226,9

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	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.308281	-2.3478	0.011159
2	0.181197	1.38	0.086448
3	-0.199232	-1.5173	0.06731
4	0.134036	1.0208	0.155796
5	-0.248027	-1.8889	0.031953
6	-0.128053	-0.9752	0.166749
7	0.080104	0.6101	0.272104
8	-0.047506	-0.3618	0.359409
9	-0.091371	-0.6959	0.244648
10	-0.064027	-0.4876	0.31383
11	0.226552	1.7254	0.044893
12	-0.043449	-0.3309	0.370958
13	-0.077056	-0.5868	0.279794
14	0.064782	0.4934	0.311809
15	0.146736	1.1175	0.134192
16	-0.073457	-0.5594	0.289012
17	-0.062925	-0.4792	0.316792
18	-0.019699	-0.15	0.440635
19	0.109039	0.8304	0.204855
20	-0.21455	-1.634	0.053841
21	0.13105	0.9981	0.1612
22	-0.080116	-0.6101	0.272074
23	0.171871	1.3089	0.09786
24	-0.209297	-1.594	0.05819
25	0.18541	1.412	0.081641
26	0.043321	0.3299	0.371324
27	-0.021212	-0.1615	0.436112
28	-0.043075	-0.3281	0.372028
29	-0.041011	-0.3123	0.377953
30	0.092103	0.7014	0.242918
31	-0.171572	-1.3067	0.098244
32	0.076475	0.5824	0.281273
33	-0.061217	-0.4662	0.321405
34	0.052495	0.3998	0.34539
35	-0.000999	-0.0076	0.496979
36	0.016622	0.1266	0.449852

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.308281	-2.3478	0.011159
2	0.095209	0.7251	0.235657
3	-0.133079	-1.0135	0.157515
4	0.033418	0.2545	0.400002
5	-0.192005	-1.4623	0.074533
6	-0.323863	-2.4665	0.008311
7	0.01962	0.1494	0.440869
8	-0.061226	-0.4663	0.321381
9	-0.22919	-1.7455	0.0431
10	-0.212343	-1.6172	0.055636
11	0.051043	0.3887	0.349448
12	-0.015743	-0.1199	0.45249
13	-0.225997	-1.7211	0.045278
14	-0.108751	-0.8282	0.205471
15	0.069301	0.5278	0.299833
16	-0.019469	-0.1483	0.441321
17	-0.105306	-0.802	0.212918
18	-0.220419	-1.6787	0.049299
19	0.01626	0.1238	0.450938
20	-0.090054	-0.6858	0.247776
21	0.002818	0.0215	0.491475
22	-0.202774	-1.5443	0.06398
23	-0.029237	-0.2227	0.412291
24	-0.030228	-0.2302	0.409369
25	0.006812	0.0519	0.479402
26	0.021794	0.166	0.434376
27	-0.080023	-0.6094	0.272306
28	0.030365	0.2313	0.408966
29	-0.029418	-0.224	0.411756
30	-0.016021	-0.122	0.451655
31	-0.046732	-0.3559	0.361604
32	0.024672	0.1879	0.425807
33	-0.009038	-0.0688	0.472681
34	-0.069234	-0.5273	0.30001
35	0.130728	0.9956	0.161791
36	0.02547	0.194	0.423436

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259270146y1ybsunwclvc5dc/1wl5z1259270067.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259270146y1ybsunwclvc5dc/1wl5z1259270067.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259270146y1ybsunwclvc5dc/2o9vp1259270067.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259270146y1ybsunwclvc5dc/2o9vp1259270067.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ;

Parameters (R input):

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