ACF d=D=0 Jenever

*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, 20 Dec 2010 13:36:53 +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/20/t12928521598k4ow6g94ogjb6r.htm/, Retrieved Mon, 20 Dec 2010 14:36:00 +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/20/t12928521598k4ow6g94ogjb6r.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:

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11,04 11,02 11,03 11,17 11,19 11,15 11,13 11,06 11,01 11,03 10,99 10,94 11,00 11,06 11,06 11,05 11,04 11,15 11,20 11,16 11,30 11,23 11,25 11,25 11,12 11,14 11,17 11,25 11,27 11,34 11,39 11,44 11,46 11,49 11,51 11,48 11,49 11,52 11,56 11,58 11,58 11,58 11,60 11,62 11,62 11,64 11,67 11,66 11,72 11,82 11,90 12,04 12,08 12,15 12,19 12,22 12,23 12,25 12,26 12,27 12,34 12,38 12,42 12,43 12,48 12,50 12,50 12,49 12,46 12,45 12,45 12,38 12,42

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 2 seconds R Server 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.970249 8.2898 0 2 0.938893 8.0219 0 3 0.902531 7.7112 0 4 0.86737 7.4108 0 5 0.832052 7.1091 0 6 0.792719 6.773 0 7 0.752071 6.4257 0 8 0.709108 6.0586 0 9 0.664411 5.6767 0 10 0.620427 5.3009 1e-06 11 0.573908 4.9035 3e-06 12 0.52558 4.4906 1.3e-05 13 0.479547 4.0973 5.4e-05 14 0.43638 3.7284 0.000189 15 0.390909 3.3399 0.000661 16 0.344675 2.9449 0.002166 17 0.29778 2.5442 0.006534 18 0.25247 2.1571 0.017145 19 0.209609 1.7909 0.038727 20 0.166204 1.42 0.079926 21 0.129273 1.1045 0.136499 22 0.091681 0.7833 0.217985 23 0.059516 0.5085 0.306316 24 0.029216 0.2496 0.401791 25 -0.00243 -0.0208 0.491746 26 -0.031466 -0.2688 0.394405 27 -0.060968 -0.5209 0.302004 28 -0.086702 -0.7408 0.2306 29 -0.111867 -0.9558 0.171167 30 -0.135506 -1.1578 0.125367 31 -0.157225 -1.3433 0.091663 32 -0.178246 -1.5229 0.066048 33 -0.199121 -1.7013 0.046572 34 -0.220693 -1.8856 0.031664 35 -0.242341 -2.0706 0.020968 36 -0.264318 -2.2583 0.013457 37 -0.285505 -2.4394 0.008572 38 -0.305811 -2.6129 0.005448 39 -0.326146 -2.7866 0.003392 40 -0.345116 -2.9487 0.002142 41 -0.362691 -3.0988 0.001379 42 -0.378696 -3.2356 0.000913 43 -0.391921 -3.3486 0.000644 44 -0.402198 -3.4364 0.000488 45 -0.409233 -3.4965 0.000403 46 -0.415123 -3.5468 0.000343 47 -0.417152 -3.5641 0.000324 48 -0.419616 -3.5852 0.000303 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.970249 8.2898 0 2 -0.042478 -0.3629 0.358853 3 -0.101021 -0.8631 0.195447 4 0.005681 0.0485 0.48071 5 -0.01562 -0.1335 0.447098 6 -0.092404 -0.7895 0.216188 7 -0.041234 -0.3523 0.362813 8 -0.050995 -0.4357 0.332171 9 -0.054674 -0.4671 0.320898 10 -0.009848 -0.0841 0.466588 11 -0.065282 -0.5578 0.289353 12 -0.062561 -0.5345 0.297303 13 0.020811 0.1778 0.429684 14 0.024855 0.2124 0.416209 15 -0.082923 -0.7085 0.240447 16 -0.044416 -0.3795 0.352712 17 -0.029236 -0.2498 0.401724 18 -0.011683 -0.0998 0.460382 19 0.001993 0.017 0.493232 20 -0.049999 -0.4272 0.335249 21 0.070971 0.6064 0.273073 22 -0.037539 -0.3207 0.374664 23 0.045054 0.3849 0.350699 24 -0.006253 -0.0534 0.478768 25 -0.067848 -0.5797 0.281952 26 0.009146 0.0781 0.468965 27 -0.035876 -0.3065 0.38004 28 0.003836 0.0328 0.486973 29 -0.036831 -0.3147 0.37695 30 -0.008514 -0.0727 0.471105 31 -0.006866 -0.0587 0.476692 32 -0.025805 -0.2205 0.413056 33 -0.039961 -0.3414 0.366882 34 -0.048931 -0.4181 0.338564 35 -0.039871 -0.3407 0.367171 36 -0.03817 -0.3261 0.372632 37 -0.035975 -0.3074 0.379719 38 -0.030833 -0.2634 0.396476 39 -0.034258 -0.2927 0.38529 40 -0.015833 -0.1353 0.446382 41 0.005922 0.0506 0.479893 42 -0.026036 -0.2224 0.412293 43 0.024651 0.2106 0.416887 44 0.022638 0.1934 0.423584 45 0.011664 0.0997 0.460446 46 -0.008109 -0.0693 0.472477 47 0.020923 0.1788 0.429308 48 -0.030376 -0.2595 0.397978

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/20/t12928521598k4ow6g94ogjb6r/123wp1292852209.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t12928521598k4ow6g94ogjb6r/123wp1292852209.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t12928521598k4ow6g94ogjb6r/223wp1292852209.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t12928521598k4ow6g94ogjb6r/223wp1292852209.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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')

Copyright

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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