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ACF d=D=lambda=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: Mon, 30 Nov 2009 04:44:53 -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/30/t1259581533ste6vd5wzwrzqcq.htm/, Retrieved Mon, 30 Nov 2009 12:45:42 +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/30/t1259581533ste6vd5wzwrzqcq.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 «

244.576 241.572 240.541 236.089 236.997 264.579 270.349 269.645 267.037 258.113 262.813 267.413 267.366 264.777 258.863 254.844 254.868 277.267 285.351 286.602 283.042 276.687 277.915 277.128 277.103 275.037 270.150 267.140 264.993 287.259 291.186 292.300 288.186 281.477 282.656 280.190 280.408 276.836 275.216 274.352 271.311 289.802 290.726 292.300 278.506 269.826 265.861 269.034 264.176 255.198 253.353 246.057 235.372 258.556 260.993 254.663 250.643 243.422 247.105 248.541 245.039 237.080 237.085 225.554 226.839 247.934 248.333 246.969 245.098 246.263 255.765 264.319 268.347 273.046 273.963 267.430 271.993 292.710 295.881

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	0.114034	0.9264	0.178802
2	0.291383	2.3672	0.010432
3	0.329121	2.6738	0.004722
4	0.188793	1.5338	0.064934
5	0.099187	0.8058	0.211626
6	0.221327	1.7981	0.03837
7	0.091377	0.7424	0.230253
8	0.165415	1.3438	0.091801
9	0.104334	0.8476	0.199858
10	-0.075943	-0.617	0.269689
11	0.323613	2.629	0.005321
12	-0.132632	-1.0775	0.142588
13	0.041319	0.3357	0.36909
14	0.11001	0.8937	0.187357
15	0.074971	0.6091	0.272284
16	-0.045142	-0.3667	0.357496
17	0.092869	0.7545	0.226625
18	-0.079744	-0.6478	0.259666
19	0.012572	0.1021	0.45948
20	-0.073345	-0.5959	0.276653
21	-0.117155	-0.9518	0.172343
22	-0.00729	-0.0592	0.476475
23	-0.171724	-1.3951	0.083832
24	-0.141254	-1.1476	0.127648
25	-0.118431	-0.9621	0.169747
26	-0.049247	-0.4001	0.345193
27	-0.147319	-1.1968	0.117828
28	-0.084788	-0.6888	0.246675
29	-0.064767	-0.5262	0.300266
30	-0.080606	-0.6548	0.257422
31	-0.061788	-0.502	0.308681
32	0.004241	0.0345	0.486309
33	-0.050752	-0.4123	0.340724
34	-0.075166	-0.6107	0.271763
35	0.064022	0.5201	0.30236
36	-0.086548	-0.7031	0.242228

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.114034	0.9264	0.178802
2	0.282047	2.2914	0.012571
3	0.300615	2.4422	0.008642
4	0.097364	0.791	0.215892
5	-0.085511	-0.6947	0.244844
6	0.063474	0.5157	0.303904
7	0.006459	0.0525	0.479154
8	0.093897	0.7628	0.224144
9	0.006549	0.0532	0.478865
10	-0.22985	-1.8673	0.03315
11	0.293644	2.3856	0.009965
12	-0.189155	-1.5367	0.064573
13	-0.01313	-0.1067	0.457687
14	0.044932	0.365	0.358129
15	0.089127	0.7241	0.235792
16	-0.00258	-0.021	0.491672
17	-0.092611	-0.7524	0.227251
18	-0.087864	-0.7138	0.238931
19	-0.007822	-0.0636	0.47476
20	-0.072469	-0.5887	0.279021
21	-0.010045	-0.0816	0.467603
22	-0.128931	-1.0474	0.149359
23	-0.019628	-0.1595	0.436898
24	-0.067009	-0.5444	0.294005
25	-0.074461	-0.6049	0.273652
26	0.105007	0.8531	0.198349
27	0.04419	0.359	0.360371
28	-0.073425	-0.5965	0.276437
29	0.066879	0.5433	0.294367
30	-0.081634	-0.6632	0.254756
31	0.110404	0.8969	0.186508
32	0.081448	0.6617	0.255237
33	-0.0581	-0.472	0.319238
34	-0.05517	-0.4482	0.327738
35	0.128741	1.0459	0.149713
36	-0.034183	-0.2777	0.391055

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259581533ste6vd5wzwrzqcq/1tvqp1259581492.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259581533ste6vd5wzwrzqcq/1tvqp1259581492.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259581533ste6vd5wzwrzqcq/2akki1259581492.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259581533ste6vd5wzwrzqcq/2akki1259581492.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

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