Home » date » 2010 » Dec » 07 »

WS9 ACF 4 d=D=1 (timlag 48)

*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: Tue, 07 Dec 2010 08:56:39 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/07/t1291712129tal73e7e3cb7xmb.htm/, Retrieved Tue, 07 Dec 2010 09:55:30 +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/2010/Dec/07/t1291712129tal73e7e3cb7xmb.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

562.325 560.854 555.332 543.599 536.662 542.722 593.530 610.763 612.613 611.324 594.167 595.454 590.865 589.379 584.428 573.100 567.456 569.028 620.735 628.884 628.232 612.117 595.404 597.141 593.408 590.072 579.799 574.205 572.775 572.942 619.567 625.809 619.916 587.625 565.742 557.274 560.576 548.854 531.673 525.919 511.038 498.662 555.362 564.591 541.657 527.070 509.846 514.258 516.922 507.561 492.622 490.243 469.357 477.580 528.379 533.590 517.945 506.174 501.866 516.141 528.222 532.638 536.322 536.535 523.597 536.214 586.570 596.594 580.523 564.478 557.560 575.093

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.143055	1.0988	0.138154
2	0.259855	1.996	0.025279
3	0.321667	2.4708	0.008195
4	0.216045	1.6595	0.051164
5	0.091707	0.7044	0.241972
6	0.159475	1.225	0.112731
7	0.016969	0.1303	0.448369
8	0.123744	0.9505	0.172869
9	0.044831	0.3444	0.365903
10	-0.077516	-0.5954	0.276921
11	0.296981	2.2812	0.013083
12	-0.055072	-0.423	0.336911
13	-0.012613	-0.0969	0.461573
14	0.179232	1.3767	0.086902
15	0.072134	0.5541	0.290812
16	0.0029	0.0223	0.491152
17	0.05832	0.448	0.327909
18	-0.062481	-0.4799	0.316526
19	0.039444	0.303	0.381486
20	-0.039222	-0.3013	0.382133
21	-0.180633	-1.3875	0.085259
22	-0.040046	-0.3076	0.379736
23	-0.11445	-0.8791	0.191455
24	-0.213424	-1.6393	0.053232
25	-0.098435	-0.7561	0.226302
26	-0.164383	-1.2627	0.105841
27	-0.222735	-1.7109	0.04618
28	-0.171957	-1.3208	0.095829
29	-0.093886	-0.7211	0.236833
30	-0.116446	-0.8944	0.187361
31	-0.020356	-0.1564	0.438142
32	-0.141554	-1.0873	0.140664
33	-0.000933	-0.0072	0.497153
34	-0.043629	-0.3351	0.369361
35	0.014462	0.1111	0.455963
36	-0.040451	-0.3107	0.378558
37	-0.043843	-0.3368	0.368744
38	-0.059831	-0.4596	0.323756
39	-0.083626	-0.6423	0.26157
40	-0.075945	-0.5833	0.280942
41	-0.131483	-1.0099	0.158324
42	-0.075191	-0.5775	0.282883
43	-0.078603	-0.6038	0.274159
44	-0.028927	-0.2222	0.412467
45	-0.042499	-0.3264	0.372624
46	-0.027454	-0.2109	0.416856
47	-0.007174	-0.0551	0.478122
48	0.003817	0.0293	0.488353

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.143055	1.0988	0.138154
2	0.244392	1.8772	0.032718
3	0.280791	2.1568	0.017554
4	0.126779	0.9738	0.167064
5	-0.070739	-0.5434	0.294465
6	-0.002597	-0.02	0.492075
7	-0.10704	-0.8222	0.20714
8	0.074219	0.5701	0.285391
9	0.017705	0.136	0.446143
10	-0.130546	-1.0027	0.160041
11	0.3248	2.4948	0.00771
12	-0.109614	-0.842	0.201604
13	-0.071688	-0.5506	0.291977
14	0.114334	0.8782	0.191694
15	0.012113	0.093	0.463093
16	0.018175	0.1396	0.444725
17	-0.103452	-0.7946	0.215007
18	-0.098969	-0.7602	0.225083
19	0.020339	0.1562	0.438192
20	-0.04909	-0.3771	0.353737
21	-0.080847	-0.621	0.268496
22	-0.137079	-1.0529	0.148335
23	0.008032	0.0617	0.475507
24	-0.043137	-0.3313	0.370782
25	-0.103071	-0.7917	0.215853
26	-0.056214	-0.4318	0.333734
27	-0.102326	-0.786	0.217512
28	-0.080583	-0.619	0.269159
29	0.127638	0.9804	0.165444
30	-0.017471	-0.1342	0.446853
31	0.120183	0.9231	0.179845
32	-0.012886	-0.099	0.460746
33	0.012726	0.0977	0.461232
34	-0.033439	-0.2568	0.399095
35	0.128792	0.9893	0.163286
36	0.034225	0.2629	0.396778
37	-0.091207	-0.7006	0.243161
38	0.013734	0.1055	0.458171
39	-0.069925	-0.5371	0.296607
40	-0.060914	-0.4679	0.320794
41	-0.019908	-0.1529	0.439492
42	-0.059372	-0.456	0.325016
43	0.076334	0.5863	0.279944
44	0.006727	0.0517	0.479483
45	-0.016662	-0.128	0.449299
46	-0.126088	-0.9685	0.168374
47	0.003626	0.0279	0.488936
48	0.008901	0.0684	0.472862

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291712129tal73e7e3cb7xmb/1skx91291712196.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291712129tal73e7e3cb7xmb/1skx91291712196.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291712129tal73e7e3cb7xmb/2skx91291712196.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/07/t1291712129tal73e7e3cb7xmb/2skx91291712196.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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