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ACF d=0,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 09:00:12 -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/t1259337662ev9q1z347snztju.htm/, Retrieved Fri, 27 Nov 2009 17:01:04 +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/t1259337662ev9q1z347snztju.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 «

12,6 15,7 13,2 20,3 12,8 8 0,9 3,6 14,1 21,7 24,5 18,9 13,9 11 5,8 15,5 22,4 31,7 30,3 31,4 20,2 19,7 10,8 13,2 15,1 15,6 15,5 12,7 10,9 10 9,1 10,3 16,9 22 27,6 28,9 31 32,9 38,1 28,8 29 21,8 28,8 25,6 28,2 20,2 17,9 16,3 13,2 8,1 4,5 -0,1 0 2,3 2,8 2,9 0,1 3,5 8,6 13,8

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	0.882393	6.1134	0
2	0.692114	4.7951	8e-06
3	0.441398	3.0581	0.001818
4	0.28379	1.9662	0.027539
5	0.180747	1.2523	0.108273
6	0.131267	0.9094	0.18383
7	0.06502	0.4505	0.3272
8	-0.029151	-0.202	0.420398
9	-0.163522	-1.1329	0.131439
10	-0.319137	-2.211	0.015915
11	-0.445069	-3.0835	0.001693
12	-0.51712	-3.5827	0.000396
13	-0.485822	-3.3659	0.000754
14	-0.393309	-2.7249	0.004474
15	-0.260426	-1.8043	0.038732
16	-0.14468	-1.0024	0.160595
17	-0.044025	-0.305	0.380837
18	0.022238	0.1541	0.439101
19	0.086035	0.5961	0.276965
20	0.115787	0.8022	0.213196
21	0.150534	1.0429	0.151102
22	0.156228	1.0824	0.142245
23	0.181876	1.2601	0.106867
24	0.186065	1.2891	0.101771
25	0.188767	1.3078	0.098583
26	0.147215	1.0199	0.156437
27	0.082795	0.5736	0.284451
28	-1e-05	-1e-04	0.499972
29	-0.078247	-0.5421	0.295125
30	-0.138259	-0.9579	0.17146
31	-0.180266	-1.2489	0.108875
32	-0.188059	-1.3029	0.099411
33	-0.183326	-1.2701	0.105082
34	-0.15674	-1.0859	0.141468
35	-0.148459	-1.0286	0.154422
36	-0.14694	-1.018	0.156883

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.882393	6.1134	0
2	-0.390739	-2.7071	0.004686
3	-0.336725	-2.3329	0.011946
4	0.491565	3.4057	0.000671
5	-0.080464	-0.5575	0.289898
6	-0.323928	-2.2442	0.014732
7	-0.011186	-0.0775	0.469274
8	-0.069624	-0.4824	0.315868
9	-0.255056	-1.7671	0.041786
10	-0.249474	-1.7284	0.045172
11	0.152203	1.0545	0.148469
12	0.019674	0.1363	0.446074
13	0.09166	0.635	0.264209
14	0.064937	0.4499	0.327405
15	0.002372	0.0164	0.493478
16	0.159608	1.1058	0.137162
17	0.155488	1.0773	0.143376
18	-0.15586	-1.0798	0.142807
19	0.013087	0.0907	0.464066
20	-0.163454	-1.1324	0.131536
21	-0.046684	-0.3234	0.373884
22	-0.156343	-1.0832	0.142071
23	0.076363	0.5291	0.299601
24	-0.025127	-0.1741	0.431266
25	-0.053989	-0.374	0.355009
26	0.047088	0.3262	0.372833
27	0.004782	0.0331	0.486855
28	0.115188	0.798	0.214386
29	-0.006654	-0.0461	0.48171
30	-0.083487	-0.5784	0.282844
31	0.058366	0.4044	0.343867
32	0.01519	0.1052	0.458312
33	-0.1226	-0.8494	0.199939
34	-0.072141	-0.4998	0.309747
35	-0.02844	-0.197	0.422316
36	-0.124969	-0.8658	0.19545

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337662ev9q1z347snztju/1faju1259337610.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337662ev9q1z347snztju/1faju1259337610.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337662ev9q1z347snztju/270dn1259337610.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259337662ev9q1z347snztju/270dn1259337610.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')

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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