Home » date » 2009 » Nov » 27 »

WS 8: ACF 2, D=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: Fri, 27 Nov 2009 06:03:43 -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/t1259327118100x9sqkrrxs34t.htm/, Retrieved Fri, 27 Nov 2009 14:05:21 +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/t1259327118100x9sqkrrxs34t.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 «
114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109 109 108 107
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.8515515.89970
20.7062514.8936e-06
30.5627393.89880.00015
40.4465693.09390.001645
50.3278122.27110.013831
60.2457431.70260.047559
70.2013341.39490.084737
80.1540811.06750.145541
90.1328390.92030.181001
100.0727580.50410.308255
110.0022830.01580.493722
12-0.088599-0.61380.271113
13-0.17679-1.22480.113307
14-0.267568-1.85380.034962
15-0.351717-2.43680.009289
16-0.429902-2.97840.002266
17-0.495773-3.43480.000616
18-0.51687-3.5810.000398
19-0.506451-3.50880.000494
20-0.429854-2.97810.002268
21-0.400513-2.77480.003923
22-0.346569-2.40110.010134
23-0.30535-2.11550.0198
24-0.27035-1.8730.03358
25-0.256652-1.77810.040858
26-0.237399-1.64480.053278
27-0.220401-1.5270.066665
28-0.215356-1.4920.071117
29-0.12711-0.88060.19145
30-0.046463-0.32190.374462
310.0319580.22140.412855
320.0669370.46380.32246
330.1015830.70380.242482
340.1162870.80570.212207
350.1033930.71630.238631
360.0880920.61030.272264


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.8515515.89970
2-0.068722-0.47610.318075
3-0.078517-0.5440.294486
40.0088370.06120.475718
5-0.089935-0.62310.268089
60.045760.3170.376296
70.075540.52340.301566
8-0.064138-0.44440.329389
90.0629840.43640.332265
10-0.166619-1.15440.127032
11-0.096833-0.67090.252756
12-0.105256-0.72920.234701
13-0.099796-0.69140.24632
14-0.091196-0.63180.26525
15-0.1021-0.70740.241379
16-0.145084-1.00520.159928
17-0.105122-0.72830.234982
18-0.009538-0.06610.473794
190.0128280.08890.464776
200.1901131.31710.097022
21-0.178082-1.23380.111645
220.0707230.490.313189
23-0.014463-0.10020.4603
24-0.047811-0.33120.37095
250.0005170.00360.498577
260.0020110.01390.494471
27-0.095107-0.65890.256549
28-0.071177-0.49310.312085
290.1784691.23650.111151
30-0.028857-0.19990.421192
31-0.018625-0.1290.448935
32-0.1406-0.97410.167444
33-0.06893-0.47760.317566
34-0.047616-0.32990.371457
35-0.116524-0.80730.211737
36-0.015247-0.10560.458156
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259327118100x9sqkrrxs34t/1e30v1259327022.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259327118100x9sqkrrxs34t/1e30v1259327022.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Nov/27/t1259327118100x9sqkrrxs34t/2wdwe1259327022.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Nov/27/t1259327118100x9sqkrrxs34t/2wdwe1259327022.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 0 ; 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')
 





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