Home » date » 2009 » Nov » 27 »

Methode 1 (D=0, 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: Fri, 27 Nov 2009 05:01:23 -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/27/t12593236161k538jckkkvmteg.htm/, Retrieved Fri, 27 Nov 2009 13:06:58 +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/27/t12593236161k538jckkkvmteg.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 «

98.71 98.54 98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29 103.69 103.68 104.2 104.08 104.16 103.05 104.66 104.46 104.95 105.85 106.23 104.86 107.44 108.23 108.45 109.39 110.15 109.13 110.28 110.17 109.99 109.26 109.11 107.06 109.53 108.92 109.24 109.12 109 107.23 109.49 109.04

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	0.929219	7.1977	0
2	0.88787	6.8774	0
3	0.848304	6.5709	0
4	0.788316	6.1063	0
5	0.73413	5.6866	0
6	0.715481	5.5421	0
7	0.639893	4.9566	3e-06
8	0.59394	4.6006	1.1e-05
9	0.55809	4.3229	2.9e-05
10	0.504095	3.9047	0.000121
11	0.458223	3.5494	0.000379
12	0.433292	3.3563	0.000688
13	0.352491	2.7304	0.004146
14	0.299721	2.3216	0.011833
15	0.24909	1.9294	0.029204
16	0.180864	1.401	0.083188
17	0.130406	1.0101	0.158248
18	0.109723	0.8499	0.199377
19	0.046769	0.3623	0.359212
20	0.015208	0.1178	0.453311
21	-0.004857	-0.0376	0.485056
22	-0.040479	-0.3135	0.377476
23	-0.068606	-0.5314	0.298544
24	-0.072891	-0.5646	0.287222
25	-0.119665	-0.9269	0.17884
26	-0.147336	-1.1413	0.129148
27	-0.170652	-1.3219	0.095615
28	-0.210585	-1.6312	0.054045
29	-0.237261	-1.8378	0.035521
30	-0.245896	-1.9047	0.030808
31	-0.282557	-2.1887	0.016262
32	-0.302713	-2.3448	0.011182
33	-0.312827	-2.4231	0.00921
34	-0.341763	-2.6473	0.005175
35	-0.361488	-2.8001	0.003432
36	-0.366185	-2.8365	0.003106

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.929219	7.1977	0
2	0.17885	1.3854	0.085535
3	0.035131	0.2721	0.393231
4	-0.161139	-1.2482	0.108408
5	-0.049577	-0.384	0.35116
6	0.243523	1.8863	0.032047
7	-0.341579	-2.6459	0.005194
8	0.068768	0.5327	0.298114
9	0.04757	0.3685	0.356907
10	-0.054812	-0.4246	0.336335
11	0.013312	0.1031	0.459107
12	-0.025237	-0.1955	0.422837
13	-0.266375	-2.0633	0.021708
14	0.026221	0.2031	0.419869
15	-0.058962	-0.4567	0.324761
16	-0.055598	-0.4307	0.334129
17	0.056017	0.4339	0.332957
18	0.077198	0.598	0.276055
19	-0.082422	-0.6384	0.262808
20	0.021135	0.1637	0.435255
21	0.046261	0.3583	0.360674
22	0.008333	0.0645	0.474374
23	-0.056089	-0.4345	0.332754
24	0.015449	0.1197	0.452572
25	-0.077849	-0.603	0.274386
26	-0.059626	-0.4619	0.322926
27	-0.03563	-0.276	0.391753
28	-0.049782	-0.3856	0.350575
29	0.010523	0.0815	0.467653
30	-0.048671	-0.377	0.353751
31	-0.011903	-0.0922	0.463424
32	-0.078042	-0.6045	0.273893
33	-0.003573	-0.0277	0.489007
34	-0.045551	-0.3528	0.362723
35	-0.054873	-0.425	0.336162
36	-0.027548	-0.2134	0.415876

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593236161k538jckkkvmteg/1xsv61259323281.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593236161k538jckkkvmteg/1xsv61259323281.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593236161k538jckkkvmteg/25jjj1259323281.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593236161k538jckkkvmteg/25jjj1259323281.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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