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d=1 en D=2

*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 12:37:11 -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/t1259609875sbbyq2qjl5fxx2e.htm/, Retrieved Mon, 30 Nov 2009 20:37:58 +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/30/t1259609875sbbyq2qjl5fxx2e.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	-0.215415	-1.583	0.059634
2	0.162475	1.1939	0.11886
3	0.123043	0.9042	0.184959
4	0.081074	0.5958	0.27691
5	-0.092781	-0.6818	0.249139
6	0.128259	0.9425	0.175066
7	0.022558	0.1658	0.434479
8	0.111843	0.8219	0.20738
9	0.001468	0.0108	0.495717
10	-0.13587	-0.9984	0.161261
11	0.394901	2.9019	0.002679
12	-0.447989	-3.292	0.000879
13	0.075452	0.5545	0.290778
14	0.022747	0.1672	0.433936
15	0.055107	0.4049	0.343558
16	-0.086666	-0.6369	0.263452
17	0.12752	0.9371	0.176445
18	-0.062647	-0.4604	0.323552
19	0.028889	0.2123	0.416339
20	-0.134743	-0.9902	0.163257
21	-0.00814	-0.0598	0.476261
22	0.060451	0.4442	0.329328
23	-0.257922	-1.8953	0.031703
24	0.048953	0.3597	0.360226
25	-0.043998	-0.3233	0.373851
26	-0.077	-0.5658	0.286926
27	-0.064424	-0.4734	0.318913
28	-0.046338	-0.3405	0.367396
29	-0.05014	-0.3685	0.356987
30	-0.02325	-0.1709	0.432489
31	-0.068345	-0.5022	0.308773
32	0.04069	0.299	0.383039
33	-0.038701	-0.2844	0.388597
34	-0.093379	-0.6862	0.247764
35	0.092598	0.6805	0.249562
36	-0.0548	-0.4027	0.34438

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.215415	-1.583	0.059634
2	0.121719	0.8945	0.187525
3	0.1916	1.408	0.082436
4	0.135727	0.9974	0.161514
5	-0.108995	-0.8009	0.213336
6	0.027595	0.2028	0.420034
7	0.064561	0.4744	0.318556
8	0.14893	1.0944	0.139318
9	0.030779	0.2262	0.410958
10	-0.250127	-1.8381	0.035779
11	0.341785	2.5116	0.007521
12	-0.36661	-2.694	0.004694
13	-0.099007	-0.7275	0.235017
14	0.048796	0.3586	0.360655
15	0.146202	1.0744	0.14372
16	0.123766	0.9095	0.183567
17	-0.137853	-1.013	0.157787
18	0.014886	0.1094	0.456649
19	-0.031633	-0.2325	0.408533
20	-0.072593	-0.5334	0.297957
21	0.04186	0.3076	0.379784
22	-0.20172	-1.4823	0.072032
23	0.054947	0.4038	0.343985
24	-0.167574	-1.2314	0.111752
25	-0.088298	-0.6489	0.259592
26	-0.018188	-0.1337	0.447086
27	0.057223	0.4205	0.337893
28	-0.003148	-0.0231	0.490816
29	-0.028082	-0.2064	0.418643
30	-0.002933	-0.0215	0.491443
31	0.062609	0.4601	0.323654
32	-0.032706	-0.2403	0.40549
33	-0.059431	-0.4367	0.332026
34	-0.02951	-0.2169	0.414569
35	0.080238	0.5896	0.278949
36	-0.060471	-0.4444	0.329275

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259609875sbbyq2qjl5fxx2e/1hpq11259609829.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259609875sbbyq2qjl5fxx2e/1hpq11259609829.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259609875sbbyq2qjl5fxx2e/2a9971259609829.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t1259609875sbbyq2qjl5fxx2e/2a9971259609829.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 2 ; 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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